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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99日的当周)回报在2.79%2.96%之间,超额回报在0.08%0.25%之间;小市值样本而言,策略本周回报在3.77%3.90%之间,超额回报在0.28%0.42%之间。今年以来,全样本下策略的超额回报最高达12.25%,小市值样本下的超额回报最高达16.65%

 

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

9月以来回报

9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

2.79%

0.08%

2.53%

0.74%

2.72%

11.95%

ic_ir>0.5

2.85%

0.14%

2.60%

0.87%

2.81%

12.25%

rankic_ir>0.3

2.96%

0.25%

2.80%

1.01%

2.37%

11.90%

rankic_ir>0.5

2.85%

0.14%

2.60%

0.87%

2.56%

12.03%

t>1.5

2.96%

0.25%

2.80%

1.01%

2.80%

12.17%

t>2.0

2.85%

0.14%

2.60%

0.87%

2.56%

12.03%

小市值

ic_ir>0.3

3.79%

0.31%

4.48%

1.69%

14.59%

16.44%

ic_ir>0.5

3.79%

0.30%

4.25%

1.48%

15.21%

16.65%

rankic_ir>0.3

3.90%

0.42%

4.37%

1.58%

11.97%

14.12%

rankic_ir>0.5

3.79%

0.30%

4.25%

1.48%

14.10%

15.48%

t>1.5

3.90%

0.42%

4.37%

1.58%

10.87%

13.12%

t>2.0

3.77%

0.28%

4.23%

1.47%

15.04%

16.42%

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