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11月4日的当周）回报在1.24%至1.78%之间，超额回报在0.39%至0.52%之间；小市值样本而言，策略本周回报在2.87%至3.47%之间，超额回报在0.66%至1.14%之间。今年以来，全样本下策略的超额回报最高达15.09%，小市值样本下的超额回报最高达22.02%。
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 |
11月以来回报 |
11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 |
1.29% |
0.39% |
1.34% |
0.39% |
7.06% |
13.78% |
|
ic_ir>0.5 |
1.78% |
0.57% |
1.70% |
0.44% |
8.21% |
15.02% |
|
|
rankic_ir>0.3 |
1.42% |
0.52% |
1.34% |
0.39% |
7.55% |
14.57% |
|
|
rankic_ir>0.5 |
1.77% |
0.49% |
1.70% |
0.44% |
7.97% |
14.57% |
|
|
t>1.5 |
1.24% |
0.51% |
1.22% |
0.42% |
7.88% |
15.09% |
|
|
t>2.0 |
1.77% |
0.49% |
1.70% |
0.44% |
7.97% |
14.57% |
|
|
小市值 |
ic_ir>0.3 |
2.89% |
0.68% |
2.88% |
0.75% |
25.52% |
20.28% |
|
ic_ir>0.5 |
3.41% |
0.79% |
3.38% |
0.85% |
27.73% |
22.02% |
|
|
rankic_ir>0.3 |
2.87% |
0.66% |
2.84% |
0.72% |
23.36% |
18.44% |
|
|
rankic_ir>0.5 |
3.47% |
0.79% |
3.38% |
0.86% |
26.60% |
20.53% |
|
|
t>1.5 |
3.17% |
1.14% |
3.09% |
1.14% |
23.37% |
18.92% |
|
|
t>2.0 |
3.47% |
0.79% |
3.38% |
0.86% |
27.21% |
21.13% |
0
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