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2017年3月10日的近5个交易日）回报在0.34%至0.59%之间，超额回报在0.19%至0.25%之间；小市值样本而言，策略本周回报在0.23%至1.01%之间，超额回报在-0.24%至-0.10%之间。2017年以来，全样本下策略的超额回报最高达2.08%，小市值样本下的超额回报最高达0.71%。
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 |
2月回报 |
2月超额回报 |
今年以来回报 |
今年以来超额回报 |
|
全样本 |
ic_ir>0.3 |
0.36% |
0.21% |
0.78% |
0.42% |
5.17% |
2.08% |
|
ic_ir>0.5 |
0.36% |
0.21% |
0.78% |
0.42% |
3.97% |
0.88% |
|
|
rankic_ir>0.3 |
0.34% |
0.19% |
0.76% |
0.43% |
3.84% |
0.67% |
|
|
rankic_ir>0.5 |
0.59% |
0.25% |
1.17% |
0.51% |
3.95% |
1.05% |
|
|
t>1.5 |
0.34% |
0.19% |
0.76% |
0.43% |
3.76% |
0.71% |
|
|
t>2.0 |
0.36% |
0.21% |
0.78% |
0.42% |
3.54% |
1.01% |
|
|
小市值 |
ic_ir>0.3 |
0.36% |
-0.10% |
0.52% |
0.01% |
1.61% |
-0.64% |
|
ic_ir>0.5 |
0.23% |
-0.23% |
0.51% |
0.01% |
1.37% |
-0.88% |
|
|
rankic_ir>0.3 |
0.26% |
-0.16% |
0.46% |
-0.04% |
1.44% |
-0.86% |
|
|
rankic_ir>0.5 |
1.01% |
0.24% |
0.79% |
0.34% |
2.95% |
0.71% |
|
|
t>1.5 |
0.28% |
-0.14% |
0.47% |
-0.04% |
1.64% |
-0.50% |
|
|
t>2.0 |
0.23% |
-0.23% |
0.51% |
0.01% |
1.26% |
-0.22% |
数据来源：国信证券博士后工作站
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