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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715日的当周)回报在1.21%1.21%之间,超额回报在-0.22%0.00%之间;小市值样本而言,策略本周回报在0.48%1.00%之间,超额回报在-0.55%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%

 

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%

 



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