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24日的近5个交易日）回报在-0.17%至0.11%之间，超额回报在-0.37%至-0.20%之间；小市值样本而言，策略本周回报在-1.22%至-0.24%之间，超额回报在-0.93%至-0.28%之间。2017年以来，全样本下策略的超额回报最高达1.77%，小市值样本下的超额回报最高达0.72%。
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 |
-0.12% |
-0.32% |
1.42% |
0.11% |
5.84% |
1.77% |
|
ic_ir>0.5 |
-0.12% |
-0.32% |
1.42% |
0.11% |
4.63% |
0.56% |
|
|
rankic_ir>0.3 |
-0.17% |
-0.37% |
1.35% |
0.08% |
4.46% |
0.32% |
|
|
rankic_ir>0.5 |
0.11% |
-0.20% |
2.03% |
0.28% |
4.83% |
0.81% |
|
|
t>1.5 |
-0.17% |
-0.37% |
1.35% |
0.08% |
4.38% |
0.36% |
|
|
t>2.0 |
-0.12% |
-0.32% |
1.42% |
0.11% |
4.20% |
0.70% |
|
|
小市值 |
ic_ir>0.3 |
-1.22% |
-0.93% |
0.52% |
0.01% |
1.65% |
-1.10% |
|
ic_ir>0.5 |
-1.03% |
-0.73% |
0.51% |
0.01% |
1.39% |
-1.36% |
|
|
rankic_ir>0.3 |
-1.19% |
-0.90% |
0.46% |
-0.04% |
1.36% |
-1.42% |
|
|
rankic_ir>0.5 |
-0.24% |
-0.28% |
0.79% |
0.34% |
3.85% |
0.72% |
|
|
t>1.5 |
-1.21% |
-0.92% |
0.47% |
-0.04% |
1.51% |
-1.10% |
|
|
t>2.0 |
-1.03% |
-0.73% |
0.51% |
0.01% |
1.27% |
-0.69% |
数据来源：国信证券博士后工作站
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