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15日的当周）回报在1.21%至1.21%之间，超额回报在-0.22%至0.00%之间；小市值样本而言，策略本周回报在0.48%至1.00%之间，超额回报在-0.55%至0.24%之间。今年以来，全样本下策略的超额回报最高达9.88%，小市值样本下的超额回报最高达12.52%。
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 |
1.21% |
-0.22% |
5.32% |
0.81% |
-0.75% |
9.88% |
|
ic_ir>0.5 |
1.21% |
0.00% |
5.58% |
1.20% |
-0.64% |
9.82% |
|
|
rankic_ir>0.3 |
1.21% |
-0.22% |
5.32% |
0.81% |
-1.62% |
9.30% |
|
|
rankic_ir>0.5 |
1.21% |
0.00% |
5.58% |
1.20% |
-0.64% |
9.82% |
|
|
t>1.5 |
1.21% |
-0.22% |
5.32% |
0.81% |
-1.21% |
9.55% |
|
|
t>2.0 |
1.21% |
0.00% |
5.58% |
1.20% |
-0.64% |
9.82% |
|
|
小市值 |
ic_ir>0.3 |
0.72% |
-0.31% |
4.64% |
0.17% |
6.67% |
12.41% |
|
ic_ir>0.5 |
1.00% |
0.24% |
6.16% |
1.64% |
7.61% |
12.52% |
|
|
rankic_ir>0.3 |
0.72% |
-0.31% |
4.64% |
0.17% |
4.04% |
10.07% |
|
|
rankic_ir>0.5 |
1.00% |
0.24% |
6.16% |
1.64% |
6.68% |
11.59% |
|
|
t>1.5 |
0.48% |
-0.55% |
4.33% |
-0.14% |
2.98% |
9.10% |
|
|
t>2.0 |
1.00% |
0.24% |
6.16% |
1.64% |
7.58% |
12.48% |
0
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