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2017年3月17日的近5个交易日）回报在0.73%至0.76%之间，超额回报在-0.03%至0.02%之间；小市值样本而言，策略本周回报在1.05%至1.27%之间，超额回报在0.27%至0.49%之间。2017年以来，全样本下策略的超额回报最高达2.10%，小市值样本下的超额回报最高达1.01%。
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 |
2月回报 |
2月超额回报 |
今年以来回报 |
今年以来超额回报 |
|
全样本 |
ic_ir>0.3 |
0.76% |
0.01% |
1.55% |
0.43% |
5.97% |
2.10% |
|
ic_ir>0.5 |
0.76% |
0.01% |
1.55% |
0.43% |
4.76% |
0.89% |
|
|
rankic_ir>0.3 |
0.76% |
0.02% |
1.52% |
0.45% |
4.63% |
0.70% |
|
|
rankic_ir>0.5 |
0.73% |
-0.03% |
1.91% |
0.48% |
4.71% |
1.02% |
|
|
t>1.5 |
0.76% |
0.02% |
1.52% |
0.45% |
4.55% |
0.74% |
|
|
t>2.0 |
0.76% |
0.01% |
1.55% |
0.43% |
4.33% |
1.02% |
|
|
小市值 |
ic_ir>0.3 |
1.27% |
0.49% |
0.52% |
0.01% |
2.91% |
-0.15% |
|
ic_ir>0.5 |
1.05% |
0.27% |
0.51% |
0.01% |
2.44% |
-0.61% |
|
|
rankic_ir>0.3 |
1.12% |
0.36% |
0.46% |
-0.04% |
2.57% |
-0.50% |
|
|
rankic_ir>0.5 |
1.13% |
0.29% |
0.79% |
0.34% |
4.11% |
1.01% |
|
|
t>1.5 |
1.10% |
0.34% |
0.47% |
-0.04% |
2.75% |
-0.15% |
|
|
t>2.0 |
1.05% |
0.27% |
0.51% |
0.01% |
2.33% |
0.06% |
数据来源：国信证券博士后工作站
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