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4月15日的当周）回报在5.20%至5.74%之间，超额回报在0.81%至1.14%之间；小市值样本而言，策略本周回报在6.56%至7.32%之间，超额回报在0.83%至1.36%之间。今年以来，全样本下策略的超额回报最高达5.33%，小市值样本下的超额回报最高达8.22%.
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月以来回报 |
4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 |
5.74% |
1.14% |
7.96% |
2.27% |
-11.04% |
5.33% |
|
ic_ir>0.5 |
5.36% |
0.95% |
8.13% |
2.32% |
-11.56% |
4.89% |
|
|
rankic_ir>0.3 |
5.40% |
0.97% |
8.12% |
2.31% |
-11.56% |
4.88% |
|
|
rankic_ir>0.5 |
5.33% |
0.90% |
8.13% |
2.31% |
-11.56% |
4.88% |
|
|
t>1.5 |
5.20% |
0.81% |
7.92% |
2.18% |
-11.39% |
4.97% |
|
|
t>2.0 |
5.33% |
0.90% |
8.13% |
2.31% |
-11.56% |
4.88% |
|
|
小市值 |
ic_ir>0.3 |
7.32% |
1.36% |
12.47% |
3.74% |
-4.01% |
8.22% |
|
ic_ir>0.5 |
6.93% |
1.10% |
11.33% |
2.57% |
-6.77% |
5.47% |
|
|
rankic_ir>0.3 |
6.83% |
1.00% |
11.59% |
2.81% |
-6.81% |
5.41% |
|
|
rankic_ir>0.5 |
6.88% |
0.99% |
11.16% |
2.36% |
-7.72% |
4.49% |
|
|
t>1.5 |
6.56% |
0.83% |
10.77% |
2.07% |
-9.00% |
3.37% |
|
|
t>2.0 |
6.88% |
0.99% |
11.16% |
2.36% |
-6.95% |
5.26% |
数据来源：wind
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