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基于双步骤有效因子筛选的多因子选股策略周报

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78日的当周)回报在3.59%3.83%之间,超额回报在0.51%0.61%之间;小市值样本而言,策略本周回报在3.45%4.60%之间,超额回报在0.17%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%

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%

 

 

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