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6月17日的当周）回报在-0.02%至-0.11%之间，超额回报在0.51%至0.61%之间；小市值样本而言，策略本周回报在-0.01%至0.50%之间，超额回报在0.13%至0.63%之间。今年以来，全样本下策略的超额回报最高达7.25%，小市值样本下的超额回报最高达10.62%。
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 |
6月以来回报 |
6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 |
-0.02% |
0.57% |
7.10% |
0.77% |
-10.26% |
7.25% |
|
ic_ir>0.5 |
-0.11% |
0.61% |
7.70% |
1.21% |
-10.26% |
7.07% |
|
|
rankic_ir>0.3 |
-0.08% |
0.51% |
7.43% |
1.11% |
-10.77% |
7.01% |
|
|
rankic_ir>0.5 |
-0.11% |
0.61% |
7.70% |
1.21% |
-10.26% |
7.07% |
|
|
t>1.5 |
-0.08% |
0.51% |
7.43% |
1.11% |
-10.40% |
7.24% |
|
|
t>2.0 |
-0.11% |
0.61% |
7.70% |
1.21% |
-10.26% |
7.07% |
|
|
小市值 |
ic_ir>0.3 |
-0.01% |
0.13% |
8.70% |
1.11% |
-2.44% |
10.62% |
|
ic_ir>0.5 |
-0.01% |
0.39% |
9.11% |
1.50% |
-3.78% |
8.82% |
|
|
rankic_ir>0.3 |
0.50% |
0.63% |
9.35% |
1.76% |
-4.67% |
8.64% |
|
|
rankic_ir>0.5 |
-0.01% |
0.39% |
9.11% |
1.50% |
-4.61% |
7.99% |
|
|
t>1.5 |
0.34% |
0.47% |
9.54% |
1.95% |
-6.10% |
7.30% |
|
|
t>2.0 |
-0.01% |
0.39% |
9.11% |
1.50% |
-3.81% |
8.79% |
0
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