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10月28日的当周）回报在-0.05%至0.17%之间，超额回报在-0.02%至0.25%之间；小市值样本而言，策略本周回报在-0.45%至-0.13%之间，超额回报在-0.49%至0.02%之间。今年以来，全样本下策略的超额回报最高达14.44%，小市值样本下的超额回报最高达20.51%。
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 |
10月以来回报 |
10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 |
0.08% |
0.06% |
4.47% |
0.37% |
5.70% |
13.25% |
|
ic_ir>0.5 |
0.00% |
-0.02% |
4.52% |
0.42% |
6.31% |
14.24% |
|
|
rankic_ir>0.3 |
0.00% |
-0.02% |
4.52% |
0.42% |
6.04% |
13.89% |
|
|
rankic_ir>0.5 |
-0.05% |
-0.02% |
4.56% |
0.27% |
6.10% |
13.88% |
|
|
t>1.5 |
0.17% |
0.25% |
4.60% |
0.71% |
6.56% |
14.44% |
|
|
t>2.0 |
-0.05% |
-0.02% |
4.56% |
0.27% |
6.10% |
13.88% |
|
|
小市值 |
ic_ir>0.3 |
-0.25% |
-0.31% |
6.44% |
1.17% |
22.00% |
19.03% |
|
ic_ir>0.5 |
-0.42% |
-0.49% |
6.24% |
0.98% |
23.52% |
20.51% |
|
|
rankic_ir>0.3 |
-0.42% |
-0.49% |
6.24% |
0.98% |
19.92% |
17.26% |
|
|
rankic_ir>0.5 |
-0.45% |
-0.47% |
6.26% |
0.77% |
22.36% |
19.05% |
|
|
t>1.5 |
-0.13% |
0.02% |
6.98% |
1.90% |
19.57% |
17.20% |
|
|
t>2.0 |
-0.45% |
-0.47% |
6.26% |
0.77% |
22.95% |
19.63% |
0
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