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5月5日的两周回报在-1.40%至-1.26%之间，超额回报在0.92%至0.95%之间；小市值样本而言，策略截止2017年5月5日的两周回报在-0.31%至0.66%之间，超额回报在0.83%至1.98%之间。2017年以来，全样本下策略的超额回报最高达0.94%，小市值样本下的超额回报最高达3.99%。
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 |
近两周回报 |
近两周超额回报 |
5月回报 |
5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 |
-1.38% |
0.94% |
-0.46% |
0.63% |
-4.41% |
0.94% |
|
ic_ir>0.5 |
-1.38% |
0.94% |
-0.46% |
0.63% |
-5.50% |
-0.15% |
|
|
rankic_ir>0.3 |
-1.38% |
0.94% |
-0.46% |
0.63% |
-5.65% |
-0.37% |
|
|
rankic_ir>0.5 |
-1.26% |
0.92% |
-0.36% |
0.67% |
-5.88% |
0.22% |
|
|
t>1.5 |
-1.40% |
0.95% |
-0.46% |
0.63% |
-5.73% |
-0.36% |
|
|
t>2.0 |
-1.26% |
0.92% |
-0.36% |
0.67% |
-6.07% |
0.13% |
|
|
小市值 |
ic_ir>0.3 |
0.20% |
1.52% |
0.52% |
0.01% |
-10.91% |
-1.20% |
|
ic_ir>0.5 |
0.66% |
1.98% |
0.51% |
0.01% |
-10.36% |
-0.66% |
|
|
rankic_ir>0.3 |
0.22% |
1.54% |
0.46% |
-0.04% |
-10.71% |
-1.05% |
|
|
rankic_ir>0.5 |
0.50% |
1.64% |
0.79% |
0.34% |
-6.25% |
3.99% |
|
|
t>1.5 |
0.11% |
1.46% |
0.47% |
-0.04% |
-10.88% |
-0.97% |
|
|
t>2.0 |
-0.31% |
0.83% |
0.51% |
0.01% |
-11.60% |
-0.76% |
0
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