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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722日的当周)回报在-0.42%-0.28%之间,超额回报在0.28%0.29%之间;小市值样本而言,策略本周回报在-0.43%0.05%之间,超额回报在-0.13%0.04%之间。今年以来,全样本下策略的超额回报最高达10.10%,小市值样本下的超额回报最高达12.36%.

 

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

-0.28%

0.28%

5.02%

1.10%

-1.03%

10.10%

ic_ir>0.5

-0.42%

0.29%

5.13%

1.49%

-1.06%

10.04%

rankic_ir>0.3

-0.28%

0.28%

5.02%

1.10%

-1.90%

9.52%

rankic_ir>0.5

-0.42%

0.29%

5.13%

1.49%

-1.06%

10.04%

t>1.5

-0.28%

0.28%

5.02%

1.10%

-1.49%

9.78%

t>2.0

-0.42%

0.29%

5.13%

1.49%

-1.06%

10.04%

小市值

ic_ir>0.3

-0.12%

-0.04%

4.51%

0.13%

6.54%

12.36%

ic_ir>0.5

-0.43%

-0.11%

5.70%

1.51%

7.15%

12.36%

rankic_ir>0.3

-0.12%

-0.04%

4.51%

0.13%

3.91%

10.02%

rankic_ir>0.5

-0.43%

-0.11%

5.70%

1.51%

6.23%

11.43%

t>1.5

0.05%

0.13%

4.38%

0.00%

3.03%

9.23%

t>2.0

-0.43%

-0.11%

5.70%

1.51%

7.12%

12.32%

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