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7月22日的当周）回报在-0.42%至-0.28%之间，超额回报在0.28%至0.29%之间；小市值样本而言，策略本周回报在-0.43%至0.05%之间，超额回报在-0.13%至0.04%之间。今年以来，全样本下策略的超额回报最高达10.10%，小市值样本下的超额回报最高达12.36%.
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 |
7月以来回报 |
7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 |
-0.28% |
0.28% |
5.02% |
1.10% |
-1.03% |
10.10% |
|
ic_ir>0.5 |
-0.42% |
0.29% |
5.13% |
1.49% |
-1.06% |
10.04% |
|
|
rankic_ir>0.3 |
-0.28% |
0.28% |
5.02% |
1.10% |
-1.90% |
9.52% |
|
|
rankic_ir>0.5 |
-0.42% |
0.29% |
5.13% |
1.49% |
-1.06% |
10.04% |
|
|
t>1.5 |
-0.28% |
0.28% |
5.02% |
1.10% |
-1.49% |
9.78% |
|
|
t>2.0 |
-0.42% |
0.29% |
5.13% |
1.49% |
-1.06% |
10.04% |
|
|
小市值 |
ic_ir>0.3 |
-0.12% |
-0.04% |
4.51% |
0.13% |
6.54% |
12.36% |
|
ic_ir>0.5 |
-0.43% |
-0.11% |
5.70% |
1.51% |
7.15% |
12.36% |
|
|
rankic_ir>0.3 |
-0.12% |
-0.04% |
4.51% |
0.13% |
3.91% |
10.02% |
|
|
rankic_ir>0.5 |
-0.43% |
-0.11% |
5.70% |
1.51% |
6.23% |
11.43% |
|
|
t>1.5 |
0.05% |
0.13% |
4.38% |
0.00% |
3.03% |
9.23% |
|
|
t>2.0 |
-0.43% |
-0.11% |
5.70% |
1.51% |
7.12% |
12.32% |
0
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