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8月12日的当周）回报在1.47%至1.49%之间，超额回报在-0.12%至-0.05%之间；小市值样本而言，策略本周回报在1.30%至1.68%之间，超额回报在-0.34%至0.11%之间。今年以来，全样本下策略的超额回报最高达9.86%，小市值样本下的超额回报最高达12.99%。
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 |
8月以来回报 |
8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 |
1.47% |
-0.12% |
1.00% |
0.05% |
-3.88% |
9.78% |
|
ic_ir>0.5 |
1.49% |
-0.09% |
1.20% |
0.25% |
-3.94% |
9.86% |
|
|
rankic_ir>0.3 |
1.49% |
-0.09% |
1.20% |
0.25% |
-4.53% |
9.40% |
|
|
rankic_ir>0.5 |
1.49% |
-0.05% |
1.06% |
0.22% |
-4.07% |
9.83% |
|
|
t>1.5 |
1.49% |
-0.09% |
1.20% |
0.25% |
-4.13% |
9.65% |
|
|
t>2.0 |
1.49% |
-0.05% |
1.06% |
0.22% |
-4.07% |
9.83% |
|
|
小市值 |
ic_ir>0.3 |
1.30% |
-0.34% |
1.06% |
0.02% |
3.53% |
12.35% |
|
ic_ir>0.5 |
1.52% |
-0.12% |
1.53% |
0.49% |
4.47% |
12.88% |
|
|
rankic_ir>0.3 |
1.51% |
-0.13% |
1.54% |
0.51% |
1.46% |
10.56% |
|
|
rankic_ir>0.5 |
1.68% |
0.11% |
1.54% |
0.65% |
3.57% |
12.12% |
|
|
t>1.5 |
1.51% |
-0.13% |
1.54% |
0.51% |
0.47% |
9.66% |
|
|
t>2.0 |
1.68% |
0.11% |
1.54% |
0.65% |
4.44% |
12.99% |
0
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