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27日的当周）回报在1.46%至1.58%之间，超额回报在0.83%至0.94%之间；小市值样本而言，策略本周回报在2.31%至2.66%之间，超额回报在1.42%至1.66%之间。今年以来，全样本下策略的超额回报最高达6.21%，小市值样本下的超额回报最高达10.70%
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 |
1.46% |
0.83% |
-4.61% |
0.75% |
14.66% |
6.21% |
|
ic_ir>0.5 |
1.58% |
0.94% |
-4.32% |
0.69% |
14.56% |
5.87% |
|
|
rankic_ir>0.3 |
1.46% |
0.83% |
-4.61% |
0.75% |
14.21% |
5.91% |
|
|
rankic_ir>0.5 |
1.58% |
0.94% |
-4.32% |
0.69% |
14.56% |
5.87% |
|
|
t>1.5 |
1.47% |
0.83% |
-4.57% |
0.79% |
14.24% |
5.94% |
|
|
t>2.0 |
1.58% |
0.94% |
-4.32% |
0.69% |
14.56% |
5.87% |
|
|
小市值 |
ic_ir>0.3 |
2.53% |
1.42% |
-6.74% |
0.44% |
25.48% |
10.70% |
|
ic_ir>0.5 |
2.31% |
1.66% |
-5.87% |
0.62% |
23.73% |
8.48% |
|
|
rankic_ir>0.3 |
2.53% |
1.42% |
-6.74% |
0.44% |
22.41% |
8.02% |
|
|
rankic_ir>0.5 |
2.31% |
1.66% |
-5.87% |
0.62% |
22.66% |
7.41% |
|
|
t>1.5 |
2.66% |
1.42% |
-6.25% |
0.95% |
20.37% |
6.02% |
|
|
t>2.0 |
2.31% |
1.66% |
-5.87% |
0.62% |
23.73% |
8.48% |
0
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