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，策略截止2017年4月14日的本周回报在-1.97%至-1.77%之间，超额回报在0.07%至0.21%之间；小市值样本而言，策略截止2017年4月14日的本周回报在-2.84%至-2.14%之间，超额回报在-0.30%至0.85%之间。2017年以来，全样本下策略的超额回报最高达1.20%，小市值样本下的超额回报最高达2.62%。
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 |
4月回报 |
4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 |
-1.81% |
0.09% |
1.14% |
0.18% |
3.13% |
1.20% |
|
ic_ir>0.5 |
-1.81% |
0.09% |
1.14% |
0.18% |
1.95% |
0.02% |
|
|
rankic_ir>0.3 |
-1.81% |
0.09% |
1.14% |
0.18% |
1.78% |
-0.22% |
|
|
rankic_ir>0.5 |
-1.97% |
0.21% |
0.94% |
0.36% |
1.53% |
0.43% |
|
|
t>1.5 |
-1.77% |
0.07% |
1.18% |
0.18% |
1.75% |
-0.18% |
|
|
t>2.0 |
-1.97% |
0.21% |
0.94% |
0.36% |
1.33% |
0.34% |
|
|
小市值 |
ic_ir>0.3 |
-2.82% |
-0.28% |
0.52% |
0.01% |
-3.29% |
-1.77% |
|
ic_ir>0.5 |
-2.72% |
-0.18% |
0.51% |
0.01% |
-3.37% |
-1.84% |
|
|
rankic_ir>0.3 |
-2.72% |
-0.18% |
0.46% |
-0.04% |
-3.32% |
-1.84% |
|
|
rankic_ir>0.5 |
-2.14% |
0.85% |
0.79% |
0.34% |
0.45% |
2.62% |
|
|
t>1.5 |
-2.81% |
-0.30% |
0.47% |
-0.04% |
-3.19% |
-1.51% |
|
|
t>2.0 |
-2.84% |
0.14% |
0.51% |
0.01% |
-3.63% |
-0.82% |
数据来源：国信证券博士后工作站
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