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21日的本周回报在-6.12%至-6.01%之间，超额回报在-1.11%至-1.06%之间；小市值样本而言，策略截止2017年4月21日的本周回报在-8.05%至-7.14%之间，超额回报在-0.98%至0.06%之间。2017年以来，全样本下策略的超额回报最高达0.03%，小市值样本下的超额回报最高达2.49%。
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 |
-6.01% |
-1.08% |
-4.94% |
-0.92% |
-3.08% |
0.03% |
|
ic_ir>0.5 |
-6.01% |
-1.08% |
-4.94% |
-0.92% |
-4.18% |
-1.08% |
|
|
rankic_ir>0.3 |
-6.01% |
-1.08% |
-4.94% |
-0.92% |
-4.34% |
-1.31% |
|
|
rankic_ir>0.5 |
-6.12% |
-1.06% |
-5.24% |
-0.73% |
-4.68% |
-0.67% |
|
|
t>1.5 |
-6.04% |
-1.11% |
-4.93% |
-0.95% |
-4.39% |
-1.30% |
|
|
t>2.0 |
-6.12% |
-1.06% |
-5.24% |
-0.73% |
-4.87% |
-0.75% |
|
|
小市值 |
ic_ir>0.3 |
-8.05% |
-0.98% |
0.52% |
0.01% |
-11.08% |
-2.59% |
|
ic_ir>0.5 |
-7.84% |
-0.77% |
0.51% |
0.01% |
-10.95% |
-2.46% |
|
|
rankic_ir>0.3 |
-7.84% |
-0.77% |
0.46% |
-0.04% |
-10.90% |
-2.45% |
|
|
rankic_ir>0.5 |
-7.14% |
0.06% |
0.79% |
0.34% |
-6.72% |
2.49% |
|
|
t>1.5 |
-8.05% |
-0.93% |
0.47% |
-0.04% |
-10.98% |
-2.30% |
|
|
t>2.0 |
-7.99% |
-0.79% |
0.51% |
0.01% |
-11.33% |
-1.52% |
数据来源：国信证券博士后工作站
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