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5月20日的当周）回报在0.73%至0.95%之间，超额回报在0.41%至0.48%之间；小市值样本而言，策略本周回报在1.28%至1.51%之间，超额回报在0.55%至0.62%之间。今年以来，全样本下策略的超额回报最高达5.46%，小市值样本下的超额回报最高达9.22%。
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 |
5月以来回报 |
5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 |
0.73% |
0.41% |
-5.98% |
0.15% |
13.01% |
5.46% |
|
ic_ir>0.5 |
0.95% |
0.48% |
-5.81% |
0.09% |
12.78% |
5.10% |
|
|
rankic_ir>0.3 |
0.73% |
0.41% |
-5.98% |
0.15% |
12.57% |
5.16% |
|
|
rankic_ir>0.5 |
0.95% |
0.48% |
-5.81% |
0.09% |
12.78% |
5.10% |
|
|
t>1.5 |
0.75% |
0.41% |
-5.95% |
0.18% |
12.59% |
5.18% |
|
|
t>2.0 |
0.95% |
0.48% |
-5.81% |
0.09% |
12.78% |
5.10% |
|
|
小市值 |
ic_ir>0.3 |
1.37% |
0.55% |
-9.04% |
-0.55% |
22.39% |
9.22% |
|
ic_ir>0.5 |
1.51% |
0.62% |
-8.00% |
0.02% |
20.93% |
7.57% |
|
|
rankic_ir>0.3 |
1.37% |
0.55% |
-9.04% |
-0.55% |
19.39% |
6.60% |
|
|
rankic_ir>0.5 |
1.51% |
0.62% |
-8.00% |
0.02% |
19.89% |
6.53% |
|
|
t>1.5 |
1.28% |
0.56% |
-8.68% |
-0.18% |
17.24% |
4.50% |
|
|
t>2.0 |
1.51% |
0.62% |
-8.00% |
0.02% |
20.93% |
7.57% |
0
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