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（截至11月11日的当周）回报在1.61%至1.71%之间，超额回报在-0.04%至0.13%之间；小市值样本而言，策略本周回报在2.94%至3.17%之间，超额回报在0.26%至0.80%之间。今年以来，全样本下策略的超额回报最高达15.46%，小市值样本下的超额回报最高达22.96%。
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 |
1.71% |
0.03% |
3.06% |
0.43% |
8.88% |
14.05% |
|
ic_ir>0.5 |
1.63% |
-0.04% |
3.36% |
0.40% |
9.97% |
15.22% |
|
|
rankic_ir>0.3 |
1.71% |
0.03% |
3.06% |
0.43% |
9.38% |
14.85% |
|
|
rankic_ir>0.5 |
1.63% |
-0.04% |
3.36% |
0.40% |
9.73% |
14.77% |
|
|
t>1.5 |
1.61% |
0.13% |
2.85% |
0.56% |
9.61% |
15.46% |
|
|
t>2.0 |
1.63% |
-0.04% |
3.36% |
0.40% |
9.73% |
14.77% |
|
|
小市值 |
ic_ir>0.3 |
3.16% |
0.41% |
6.13% |
1.19% |
29.49% |
21.35% |
|
ic_ir>0.5 |
2.95% |
0.28% |
6.43% |
1.16% |
31.50% |
22.96% |
|
|
rankic_ir>0.3 |
3.17% |
0.41% |
6.10% |
1.16% |
27.27% |
19.45% |
|
|
rankic_ir>0.5 |
2.94% |
0.26% |
6.42% |
1.15% |
30.32% |
21.41% |
|
|
t>1.5 |
3.15% |
0.80% |
6.34% |
1.99% |
27.26% |
20.35% |
|
|
t>2.0 |
2.94% |
0.26% |
6.42% |
1.15% |
30.95% |
22.03% |
数据来源：国信证券博士后工作站
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