我们对“基于双步骤有效因子筛选的多因子选股策略”进行动态结果追踪。以前36月数据为依据进行因子筛选和股票池筛选的情况下，策略表现结果如表1所示。全部A股而言，策略本周（截止7月8日的当周）回报在3.59%至3.83%之间，超额回报在0.51%至0.61%之间；小市值样本而言，策略本周回报在3.45%至4.60%之间，超额回报在0.17%至0.95%之间。今年以来，全样本下策略的超额回报最高达9.95%，小市值样本下的超额回报最高达12.61%。
表1基于双步骤有效因子筛选的多因子选股策略表现
|
|
因子选择标准 |
本周回报 |
本周超额回报 |
7月以来回报 |
7月以来超额回报 |
今年以来回报 |
今年以来超额回报 |
|
全样本 |
ic_ir>0.3 |
3.59% |
0.51% |
4.06% |
1.02% |
-1.93% |
9.95% |
|
ic_ir>0.5 |
3.83% |
0.61% |
4.32% |
1.19% |
-1.83% |
9.71% |
|
|
rankic_ir>0.3 |
3.59% |
0.51% |
4.06% |
1.02% |
-2.79% |
9.38% |
|
|
rankic_ir>0.5 |
3.83% |
0.61% |
4.32% |
1.19% |
-1.83% |
9.71% |
|
|
t>1.5 |
3.59% |
0.51% |
4.06% |
1.02% |
-2.39% |
9.63% |
|
|
t>2.0 |
3.83% |
0.61% |
4.32% |
1.19% |
-1.83% |
9.71% |
|
|
小市值 |
ic_ir>0.3 |
3.62% |
0.33% |
3.88% |
0.48% |
5.90% |
12.61% |
|
ic_ir>0.5 |
4.60% |
0.95% |
5.11% |
1.37% |
6.55% |
12.17% |
|
|
rankic_ir>0.3 |
3.62% |
0.33% |
3.88% |
0.48% |
3.29% |
10.28% |
|
|
rankic_ir>0.5 |
4.60% |
0.95% |
5.11% |
1.37% |
5.63% |
11.25% |
|
|
t>1.5 |
3.45% |
0.17% |
3.83% |
0.43% |
2.49% |
9.56% |
|
|
t>2.0 |
4.60% |
0.95% |
5.11% |
1.37% |
6.52% |
12.13% |
0
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