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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1028日的当周)回报在-0.05%0.17%之间,超额回报在-0.02%0.25%之间;小市值样本而言,策略本周回报在-0.45%-0.13%之间,超额回报在-0.49%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%

 

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%

 

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