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<div id="pf1" class="pf w0 h0" data-page-no="1"><div class="pc pc1 w0 h0"><img class="bi x0 y0 w1 h1" alt="" src="https://static.pudn.com/prod/directory_preview_static/62678b354c65f4125970a277/bg1.jpg"><div class="c x0 y1 w2 h2"><div class="t m0 x1 h3 y2 ff1 fs0 fc0 sc0 ls0 ws0">多因子打分选股策略</div><div class="t m0 x1 h3 y3 ff1 fs0 fc0 sc0 ls0 ws0">在中小板市场的表现</div></div></div><div class="pi" data-data='{"ctm":[1.611850,0.000000,0.000000,1.611850,0.000000,0.000000]}'></div></div>
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<div id="pf2" class="pf w0 h0" data-page-no="2"><div class="pc pc2 w0 h0"><img class="bi x0 y0 w1 h1" alt="" src="https://static.pudn.com/prod/directory_preview_static/62678b354c65f4125970a277/bg2.jpg"><div class="c x0 y1 w2 h2"><div class="t m0 x2 h4 y4 ff1 fs1 fc0 sc1 ls0 ws0">目录</div><div class="t m0 x3 h5 y5 ff1 fs2 fc0 sc0 ls0 ws0">一、 多因子打分选股策略简介<span class="ff2 sc1">................................................................................<span class="_ _0"></span>...<span class="_ _0"></span>2</span></div><div class="t m0 x3 h5 y6 ff3 fs2 fc0 sc1 ls0 ws0">1<span class="ff1">、 候选因子的选取<span class="ff4">..................................................................................................<span class="_ _0"></span>...<span class="_ _0"></span>2</span></span></div><div class="t m0 x3 h5 y7 ff3 fs2 fc0 sc1 ls0 ws0">2<span class="ff1">、 因子有效性检验<span class="ff4">..................................................................................................<span class="_ _0"></span>...<span class="_ _0"></span>3</span></span></div><div class="t m0 x3 h5 y8 ff3 fs2 fc0 sc1 ls0 ws0">3<span class="ff1">、 冗余因子剔除<span class="ff4">......................................................................................................<span class="_ _0"></span>...<span class="_ _0"></span>3</span></span></div><div class="t m0 x3 h5 y9 ff3 fs2 fc0 sc1 ls0 ws0">4<span class="ff1">、 多因子综合评分模型<span class="ff4">..........................................................................................<span class="_ _0"></span>...<span class="_ _0"></span>4</span></span></div><div class="t m0 x3 h5 ya ff3 fs2 fc0 sc1 ls0 ws0">5<span class="ff1">、 模型的评价及改进<span class="ff4">..............................................................................................<span class="_ _0"></span>...<span class="_ _0"></span>4</span></span></div><div class="t m0 x3 h5 yb ff1 fs2 fc0 sc0 ls0 ws0">二、 实证案例：基于中小板的多因子选股模型<span class="ff2 sc1">....................................................<span class="_ _0"></span>...<span class="_ _0"></span>4</span></div><div class="t m0 x3 h5 yc ff3 fs2 fc0 sc1 ls0 ws0">1<span class="ff1">、 候选因子的选取<span class="ff4">..................................................................................................<span class="_ _0"></span>...<span class="_ _0"></span>4</span></span></div><div class="t m0 x3 h5 yd ff3 fs2 fc0 sc1 ls0 ws0">2<span class="ff1">、 因子有效性检验<span class="ff4">..................................................................................................<span class="_ _0"></span>...<span class="_ _0"></span>5</span></span></div><div class="t m0 x3 h5 ye ff3 fs2 fc0 sc1 ls0 ws0">3<span class="ff1">、 冗余因子剔除<span class="ff4">......................................................................................................<span class="_ _0"></span>...<span class="_ _0"></span>6</span></span></div><div class="t m0 x3 h5 yf ff3 fs2 fc0 sc1 ls0 ws0">4<span class="ff1">、 综合评分模型的建立和市场表现<span class="ff4">......................................................................<span class="_ _0"></span>...<span class="_ _0"></span>7</span></span></div><div class="t m0 x3 h5 y10 ff1 fs2 fc0 sc0 ls0 ws0">程序说明<span class="ff2 sc1">...............................................................................................................<span class="_ _0"></span>....<span class="_ _0"></span>....<span class="_ _0"></span>.<span class="_ _0"></span>8</span></div></div></div><div class="pi" data-data='{"ctm":[1.611850,0.000000,0.000000,1.611850,0.000000,0.000000]}'></div></div>
<div id="pf3" class="pf w0 h0" data-page-no="3"><div class="pc pc3 w0 h0"><img class="bi x0 y0 w1 h1" alt="" src="https://static.pudn.com/prod/directory_preview_static/62678b354c65f4125970a277/bg3.jpg"><div class="c x0 y1 w2 h2"><div class="t m0 x3 h6 y11 ff1 fs3 fc0 sc0 ls0 ws0">一、多因子打分选股策略简介</div><div class="t m0 x4 h5 y12 ff1 fs2 fc0 sc1 ls0 ws0">市场上有很多这样的因子，它们在不同的市场环境下，或多或少会起作用，</div><div class="t m0 x3 h5 y13 ff1 fs2 fc0 sc1 ls0 ws0">从量化分子的角度来看，这些因子和收益率之间存在因果关系。多因子模型就</div><div class="t m0 x3 h5 y14 ff1 fs2 fc0 sc1 ls0 ws0">是研究市场上哪些因子对最终收益率的作用比较大。</div><div class="t m0 x4 h5 y15 ff1 fs2 fc0 sc1 ls0 ws0">多因子打分选股就是根据个各因子的大小对股票进行打分，然后按照一定</div><div class="t m0 x3 h5 y16 ff1 fs2 fc0 sc1 ls0 ws0">的权重加权得到一个总分，再依据总分的高低选出预期收益较高的股票组合。</div><div class="t m0 x3 h5 y17 ff1 fs2 fc0 sc1 ls0 ws0">多因子打分选股策略一般包括<span class="_ _1"> </span><span class="ff3">5<span class="_ _1"> </span></span>个步骤：候选因子的选取、因子有效性检验、</div><div class="t m0 x3 h5 y18 ff1 fs2 fc0 sc1 ls0 ws0">冗余因子剔除、多因子综合评分模型的建立、模型的评价及改进。</div><div class="t m0 x3 h7 y19 ff5 fs4 fc0 sc1 ls0 ws0">1<span class="ff1 sc0">、候选因子的选取</span></div><div class="t m0 x5 h5 y1a ff1 fs2 fc0 sc1 ls0 ws0">候选因子的选取主要依赖于经济逻辑和市场经验。可能是基本面指标，</div><div class="t m0 x4 h5 y1b ff1 fs2 fc0 sc1 ls0 ws0">如<span class="_ _1"> </span><span class="ff3">PB</span>、<span class="ff3">PE</span>、<span class="ff3">EPS<span class="_ _1"> </span></span>等，也可能是技术面指标，如动量、换手率、波动等，也</div><div class="t m0 x4 h5 y1c ff1 fs2 fc0 sc1 ls0 ws0">可能是宏观经济变量、预期收益增长等等。毫无疑问的是选取越多的候选</div><div class="t m0 x4 h5 y1d ff1 fs2 fc0 sc1 ls0 ws0">因子，越有利于模型识别和捕获更多的有效因子。</div><div class="t m0 x3 h7 y1e ff5 fs4 fc0 sc1 ls0 ws0">2<span class="ff1 sc0">、因子有效性检验</span></div><div class="t m0 x5 h5 y1f ff1 fs2 fc0 sc1 ls0 ws0">一般采用排序法检验因子有效性。具体来说就是选定一个候选因子，在</div><div class="t m0 x4 h5 y20 ff1 fs2 fc0 sc1 ls0 ws0">样本期的每个时段期初，按该因子的大小对股票池中的所有股票进行排序，</div><div class="t m0 x4 h5 y21 ff1 fs2 fc0 sc1 ls0 ws0">平均分为<span class="_ _1"> </span><span class="ff3">n<span class="_ _1"> </span></span>组，计算时段内每一组的加权平均收益。然后在整个样本期计</div><div class="t m0 x4 h5 y22 ff1 fs2 fc0 sc1 ls0 ws0">算第一组到第<span class="_ _1"> </span><span class="ff3">n<span class="_ _1"> </span></span>组的年化复合收益率。有效因子需要满足如下数量标准：</div></div></div><div class="pi" data-data='{"ctm":[1.611850,0.000000,0.000000,1.611850,0.000000,0.000000]}'></div></div>
