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24日的当周）回报在0.42%至0.47%之间，超额回报在0.68%至0.77%之间；小市值样本而言，策略本周回报在-0.87%至-0.30%之间，超额回报在-0.19%至0.31%之间。今年以来，全样本下策略的超额回报最高达7.92%，小市值样本下的超额回报最高达10.49%
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 |
0.47% |
0.77% |
7.60% |
1.59% |
-9.83% |
7.92% |
|
ic_ir>0.5 |
0.42% |
0.68% |
8.15% |
1.94% |
-9.88% |
7.67% |
|
|
rankic_ir>0.3 |
0.45% |
0.74% |
7.91% |
1.89% |
-10.37% |
7.65% |
|
|
rankic_ir>0.5 |
0.42% |
0.68% |
8.15% |
1.94% |
-9.88% |
7.67% |
|
|
t>1.5 |
0.45% |
0.74% |
7.91% |
1.89% |
-10.00% |
7.88% |
|
|
t>2.0 |
0.42% |
0.68% |
8.15% |
1.94% |
-9.88% |
7.67% |
|
|
小市值 |
ic_ir>0.3 |
-0.73% |
-0.05% |
7.90% |
1.05% |
-3.15% |
10.49% |
|
ic_ir>0.5 |
-0.30% |
0.13% |
8.78% |
1.64% |
-4.07% |
8.91% |
|
|
rankic_ir>0.3 |
-0.87% |
-0.19% |
8.40% |
1.55% |
-5.50% |
8.40% |
|
|
rankic_ir>0.5 |
-0.30% |
0.13% |
8.78% |
1.64% |
-4.90% |
8.08% |
|
|
t>1.5 |
-0.37% |
0.31% |
9.13% |
2.27% |
-6.45% |
7.54% |
|
|
t>2.0 |
-0.30% |
0.13% |
8.78% |
1.64% |
-4.10% |
8.88% |
0
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