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9月9日的当周）回报在2.79%至2.96%之间，超额回报在0.08%至0.25%之间；小市值样本而言，策略本周回报在3.77%至3.90%之间，超额回报在0.28%至0.42%之间。今年以来，全样本下策略的超额回报最高达12.25%，小市值样本下的超额回报最高达16.65%。
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 |
9月以来回报 |
9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 |
2.79% |
0.08% |
2.53% |
0.74% |
2.72% |
11.95% |
|
ic_ir>0.5 |
2.85% |
0.14% |
2.60% |
0.87% |
2.81% |
12.25% |
|
|
rankic_ir>0.3 |
2.96% |
0.25% |
2.80% |
1.01% |
2.37% |
11.90% |
|
|
rankic_ir>0.5 |
2.85% |
0.14% |
2.60% |
0.87% |
2.56% |
12.03% |
|
|
t>1.5 |
2.96% |
0.25% |
2.80% |
1.01% |
2.80% |
12.17% |
|
|
t>2.0 |
2.85% |
0.14% |
2.60% |
0.87% |
2.56% |
12.03% |
|
|
小市值 |
ic_ir>0.3 |
3.79% |
0.31% |
4.48% |
1.69% |
14.59% |
16.44% |
|
ic_ir>0.5 |
3.79% |
0.30% |
4.25% |
1.48% |
15.21% |
16.65% |
|
|
rankic_ir>0.3 |
3.90% |
0.42% |
4.37% |
1.58% |
11.97% |
14.12% |
|
|
rankic_ir>0.5 |
3.79% |
0.30% |
4.25% |
1.48% |
14.10% |
15.48% |
|
|
t>1.5 |
3.90% |
0.42% |
4.37% |
1.58% |
10.87% |
13.12% |
|
|
t>2.0 |
3.77% |
0.28% |
4.23% |
1.47% |
15.04% |
16.42% |
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