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（截至11月18日的当周）回报在1.87%至2.08%之间，超额回报在0.76%至0.93%之间；小市值样本而言，策略本周回报在2.13%至2.44%之间，超额回报在0.55%至1.05%之间。今年以来，全样本下策略的超额回报最高达16.47%，小市值样本下的超额回报最高达24.08%。
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 |
11月以来回报 |
11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 |
1.94% |
0.79% |
5.06% |
1.25% |
10.99% |
15.07% |
|
ic_ir>0.5 |
2.08% |
0.93% |
5.51% |
1.36% |
12.26% |
16.42% |
|
|
rankic_ir>0.3 |
1.94% |
0.79% |
5.06% |
1.25% |
11.50% |
15.89% |
|
|
rankic_ir>0.5 |
2.08% |
0.93% |
5.51% |
1.36% |
12.02% |
15.96% |
|
|
t>1.5 |
1.87% |
0.76% |
4.77% |
1.35% |
11.67% |
16.47% |
|
|
t>2.0 |
2.08% |
0.93% |
5.51% |
1.36% |
12.02% |
15.96% |
|
|
小市值 |
ic_ir>0.3 |
2.31% |
0.83% |
8.58% |
2.09% |
32.48% |
22.74% |
|
ic_ir>0.5 |
2.16% |
0.57% |
8.73% |
1.79% |
34.34% |
24.08% |
|
|
rankic_ir>0.3 |
2.25% |
0.77% |
8.48% |
1.99% |
30.13% |
20.72% |
|
|
rankic_ir>0.5 |
2.13% |
0.55% |
8.69% |
1.75% |
33.10% |
22.46% |
|
|
t>1.5 |
2.44% |
1.05% |
8.94% |
3.14% |
30.37% |
21.97% |
|
|
t>2.0 |
2.13% |
0.55% |
8.69% |
1.75% |
33.74% |
23.10% |
数据来源：国信证券博士后工作站
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