新闻情绪数据在中低频Alpha中的应用

1、章节大纲前言因子构建应用探讨总结展望新闻情绪数据介绍数据相关统计分析新闻情绪因子构建新闻情绪因子测试结果新闻情绪因子改进提升新闻情绪在事件驱动策略中的应用融合了新闻情绪因子的选股策略新闻情绪因子对传统因子的改进和提升总结与后续研究展望2第一节前言：新闻情绪数据概览3另类数据Alpha研究的蓝海招商证券研究与发展中心Alpha研究传统Alpha的改进反转因子改 进价值因子改 进另类Alpha的挖掘电商消费大 数据高频数据卫星数据新闻情绪因子择时基于外生变 量基于内生变 量“青出于蓝”系列报告“蓝海启航”系列报告“因时制宜”系列报告4数库新闻情绪数据模型5ChinaScope,招商证券研究与发展中

2、心数库新闻情绪数据数据示例stockCodecompanyIdchineseNameenglishNamenewsIdnewsTsrelevanceemotionIndicatoremotionWeightemotionDetailTSLA_NQ_EQCSF0000201106特斯拉Tesla240972662020/9/1 0:000.7510.850=0.0821, 1=0.8536, 2=0.064200700_HK_EQCSF0000000275腾讯控股TENCENT HLD240972782020/9/1 0:010.0410.860=0.1362, 1=0.8631, 2=7.0E

3、-4601577_SH_EQCSF0000002244长沙银行Bank of Changsha240972782020/9/1 0:010.8310.880=0.1129, 1=0.8759, 2=0.0111002230_SZ_EQCSF0000002456科大讯飞Iflytek240972782020/9/1 0:010.0410.870=0.1336, 1=0.8657, 2=7.0E-406198_HK_EQCSF0000003258青岛港Qingdao Port240972812020/9/1 0:010.0700.430=0.4268, 1=0.384, 2=0.189260129

4、8_SH_EQCSF0000003258青岛港Qingdao Port240972812020/9/1 0:010.0700.430=0.4268, 1=0.384, 2=0.189206818_HK_EQCSF0000000443光大银行CEB240972852020/9/1 0:010.0600.540=0.5381, 1=0.2561, 2=0.2058002468_SZ_EQCSF0000000505申通快递STO Express240973042020/9/1 0:021.0020.750=0.0761, 1=0.1784, 2=0.7455ChinaScope,招商证券研究与发展中

5、心新闻与个股的相关程 度，取值为0-1之间新闻分类结果，0为中 性，1为负面，2为正面新闻结果所对应 的概率三种分类的概率 明细6新闻数据统计分析不同月份所覆盖的A股相关新闻总数100000500000150000250000200000300000全A沪深300中证500ChinaScope，招商证券研究与发展中心，统计区间：20161130-20200930正面, 1430904,39中性, 1650118,44负面, 647592,17三类新闻数量及占比7新闻情绪数据的覆盖度ChinaScope，招商证券研究与发展中心，统计区间：20161130-20200930截至20200930，新

6、闻数据在全A、沪深300和中证500指数中的覆盖股票数目分别为3957、299和500；个 股覆盖比例分别为97.92%、99.67%和100%。不同指数成份股中覆盖股票数目不同指数成份股中覆盖股票占比40004500600沪深300中证500全A500100.003500400300080.00300250060.002000200150040.00100100020.00500000.00120.00全A沪深300中证5008个股相关新闻数目与市值关系我们将个股月平均流通市值的对数与该月相关新闻总数的对数进行回归。回归结果表明个股相关的新闻 数与其市值大小存在显著正向相关性。5045403

7、530252015105002016113020161230201701262017022820170331201704282017053120170630201707312017083120170929201710312017113020171229201801312018022820180330201804272018053120180629201807312018083120180928201810312018113020181228201901312019022820190329201904302019053120190628201907312019

8、083020190930201910312019112920191231202001232020022820200331202004302020052920200630202007312020083120200930回归系数与对应的t值回归系数t值（右轴）9ChinaScope，招商证券研究与发展中心，统计区间：20161130-20200930第二节新闻情绪因子的构建及延伸10因子构建需要考虑的因素单个新闻情绪得分如何计算？ 单个新闻得分= 单个新闻的正面概率 负面概率过去一段时间内个股新闻情绪如何刻画？ 对过去一段时间内所有新闻的情绪分求和。是否应该根据相关性对新闻进行过滤？ 考虑用相关性

9、对单个新闻的得分进行修正，并剔除相关性小于0.7的新闻。是否应该考虑新闻的时效性？ 越新的新闻影响越大，我们采取时间衰减法对不同事件得分进行加权求和。是否剔除中性新闻？ 中性新闻同样带来过多噪音，我们对中性新闻进行剔除。新闻情绪 因子构建11是否剔除中性 新闻？单个新闻的情 绪得分如何计 算？过去一段时间 内的新闻情绪 如何刻画？是否应该根据 相关性过滤新 闻？是否应该考虑 新闻的时效性？招商证券研究与发展中心新闻情绪因子定义因子定义方式Avg_Score对过去一段时间所有相关新闻的情绪得分求和12Avg_Score_REL对过去一段时间所有相关新闻的相关性修正情绪得分求和Avg_Score_

10、T按照时间衰减的加权方式，对过去一段时间所有相关新闻的情绪得分求和Avg_Score_REL_T按照时间衰减的加权方式，对过去一段时间所有相关新闻的相关性修正情绪得分求和Avg_Score_REL_Ex剔除相关性低于0.7的新闻后，对过去一段时间所有相关新闻的相关性修正情绪得分求和Avg_Score_REL_T_Ex剔除相关性低于0.7的新闻后，按照时间衰减的加权方式，对过去一段时间所有相关新闻的相关性修正情绪得分求和Avg_Score_Num正负面新闻数目之差占二者总数的比重Avg_Score_Num_Ex剔除相关性低于0.7的新闻后，正负面新闻数目之差占二者总数的比重招商证券研究与发展中心

11、测试结果回溯20D月度调仓IC全体A股沪深300中证50013Wind，招商证券研究与发展中心因子平均值标准差最小值最大值IC_IRt统计量平均股票数ICSqrt(N)有效期数Avg_Score2.098.65-18.2118.480.241.6428361.1146Avg_Score_Num1.165.64-13.3712.300.201.3928360.6246Avg_Score_Num_Ex1.086.08-20.4211.260.181.2124720.5446Avg_Score_REL1.757.78-20.8817.310.221.5228360.9346Avg_Score_REL

12、_Ex1.788.08-24.4719.030.221.4924720.8846Avg_Score_REL_T1.597.59-20.1317.680.211.4228360.8546Avg_Score_REL_T_Ex1.657.85-23.9718.810.211.4324720.8246Avg_Score_T1.938.43-18.3919.040.231.5528361.0346因子平均值标准差最小值最大值IC_IRt统计量平均股票数ICSqrt(N)有效期数Avg_Score3.7511.41-21.3525.880.332.232920.6446Avg_Score_Num0.811

13、0.10-22.3919.440.080.542920.1446Avg_Score_Num_Ex-0.469.73-26.1215.69-0.05-0.32276-0.0846Avg_Score_REL3.0111.98-26.6127.050.251.712920.5146Avg_Score_REL_Ex3.1912.01-26.2526.240.271.802760.5346Avg_Score_REL_T3.3911.36-23.6827.320.302.032920.5846Avg_Score_REL_T_Ex3.7211.47-25.1430.090.322.202760.6246Av

14、g_Score_T3.8811.03-20.3926.530.352.392920.6646因子平均值标准差最小值最大值IC_IRt统计量平均股票数ICSqrt(N)有效期数Avg_Score1.078.95-16.8926.060.120.814510.2346Avg_Score_Num0.848.12-18.8517.980.100.704510.1846Avg_Score_Num_Ex1.478.29-23.7619.730.181.203910.2946Avg_Score_REL0.118.43-18.9319.890.010.094510.0246Avg_Score_REL_Ex-0

15、.608.62-23.9417.80-0.07-0.47391-0.1246Avg_Score_REL_T0.218.22-21.9716.550.030.174510.0446Avg_Score_REL_T_Ex-0.388.63-27.3416.36-0.04-0.30391-0.0846Avg_Score_T0.948.65-17.4021.940.110.734510.2046测试结果回溯20D月度调仓多空组合全体A股沪深300中证50014Wind，招商证券研究与发展中心因子总收益率年化收益率波动率Sharpe比率最大回撤率Avg_Score86.8017.6910.311.7213

16、.65Avg_Score_Num24.345.846.670.8812.04Avg_Score_Num_Ex23.615.686.340.907.32Avg_Score_REL75.6215.819.421.6813.85Avg_Score_REL_Ex78.8816.379.651.7014.41Avg_Score_REL_T65.6314.069.231.5214.02Avg_Score_REL_T_Ex73.3015.419.471.6315.13Avg_Score_T82.1316.9210.251.6513.14因子总收益率年化收益率波动率Sharpe比率最大回撤率Avg_Score

17、70.7014.9611.361.3215.62Avg_Score_Num0.910.249.310.0314.85Avg_Score_Num_Ex25.236.0410.460.5826.67Avg_Score_REL46.2310.4212.360.8421.15Avg_Score_REL_Ex45.4010.2512.310.8324.11Avg_Score_REL_T33.887.9011.700.6823.23Avg_Score_REL_T_Ex25.086.0111.740.5124.62Avg_Score_T88.4617.9611.001.6316.13因子总收益率年化收益率波

18、动率Sharpe比率最大回撤率Avg_Score10.662.6811.290.2419.66Avg_Score_Num14.413.579.420.3818.23Avg_Score_Num_Ex42.739.729.711.0012.43Avg_Score_REL-8.46-2.2810.67-0.2128.79Avg_Score_REL_Ex-14.61-4.0311.13-0.3628.43Avg_Score_REL_T0.480.1210.410.0117.44Avg_Score_REL_T_Ex4.881.2510.800.1217.19Avg_Score_T28.116.6711.

19、050.6014.30因子与市值的关系不容忽视从相关性分析来看，我们所构建的新闻情绪因子大多偏大市值。而2017年以来，大市值风格 能够贡献明显的Alpha。因此，必须对市值的影响予以剔除。15Wind，招商证券研究与发展中心0.290.300.280.370.290.300.000.250.300.350.400.450.340.360.330.420.340.4050.000.400.350.300.250.500.45因子与流通市值的对数的相关性因子与总市值对数的相关性中性化后测试结果回溯20D

20、-月度调仓-IC全体A股沪深300中证50016Wind，招商证券研究与发展中心因子平均值标准差最小值最大值IC_IRt统计量平均股票数ICSqrt(N)有效期数Avg_Score1.245.36-12.54728360.6646Avg_Score_Num1.084.71-11.359.270.231.5528360.5746Avg_Score_Num_Ex0.784.86-12.609.620.161.0924720.3946Avg_Score_REL1.105.12-11.8911.560.221.4628360.5946Avg_Score_REL_Ex1.255.

21、33-14.4511.560.241.6024720.6246Avg_Score_REL_T0.975.10-11.7910.990.191.2828360.5146Avg_Score_REL_T_Ex1.095.32-14.8010.470.201.3924720.5446Avg_Score_T1.085.33-12.2810.830.201.3828360.5846因子平均值标准差最小值最大值IC_IRt统计量平均股票数ICSqrt(N)有效期数Avg_Score2.338.63-16.2318.930.271.832920.4046Avg_Score_Num0.917.38-18.181

22、5.090.120.832920.1646Avg_Score_Num_Ex-0.426.79-13.6017.72-0.06-0.42276-0.0746Avg_Score_REL1.729.10-16.3422.510.191.282920.2946Avg_Score_REL_Ex1.878.99-17.4521.900.211.412760.3146Avg_Score_REL_T2.178.60-14.6921.500.251.712920.3746Avg_Score_REL_T_Ex2.538.50-15.3222.700.302.022760.4246Avg_Score_T2.428.

23、15-14.3319.380.302.012920.4146因子平均值标准差最小值最大值IC_IRt统计量平均股票数ICSqrt(N)有效期数Avg_Score0.567.30-15.9021.320.080.524510.1246Avg_Score_Num0.917.59-14.4219.790.120.814510.1946Avg_Score_Num_Ex0.896.97-15.8119.550.130.863910.1846Avg_Score_REL-0.167.02-16.1117.13-0.02-0.15451-0.0346Avg_Score_REL_Ex-0.637.37-14.4

24、218.03-0.09-0.58391-0.1246Avg_Score_REL_T-0.106.85-13.8715.77-0.01-0.10451-0.0246Avg_Score_REL_T_Ex-0.497.25-16.5217.14-0.07-0.46391-0.1046Avg_Score_T0.397.10-13.1318.470.060.384510.0846中性化后测试结果回溯20D-月度调仓-多空组合全体A股沪深300中证50017Wind，招商证券研究与发展中心因子总收益率年化收益率波动率Sharpe比率最大回撤率Avg_Score68.5614.586.982.099.46A

25、vg_Score_Num39.739.115.571.648.50Avg_Score_Num_Ex36.008.355.461.538.48Avg_Score_REL60.6913.166.452.049.98Avg_Score_REL_Ex69.4314.746.762.189.67Avg_Score_REL_T62.0313.416.412.0910.20Avg_Score_REL_T_Ex68.9014.646.732.1711.04Avg_Score_T72.6215.306.882.229.56因子总收益率年化收益率波动率Sharpe比率最大回撤率Avg_Score59.4312.9

26、39.971.3011.80Avg_Score_Num21.585.239.050.5813.28Avg_Score_Num_Ex3.050.798.800.0918.09Avg_Score_REL33.517.8310.000.7818.90Avg_Score_REL_Ex20.855.0610.180.5021.59Avg_Score_REL_T41.309.439.790.9611.98Avg_Score_REL_T_Ex19.804.8210.020.4816.56Avg_Score_T64.1713.809.471.4611.69因子总收益率年化收益率波动率Sharpe比率最大回撤率

27、Avg_Score-2.56-0.679.78-0.0718.22Avg_Score_Num38.928.958.601.0412.01Avg_Score_Num_Ex12.573.138.630.3619.01Avg_Score_REL-2.18-0.579.47-0.0619.57Avg_Score_REL_Ex-4.30-1.149.92-0.1121.19Avg_Score_REL_T1.660.439.310.0515.75Avg_Score_REL_T_Ex3.140.819.700.0816.54Avg_Score_T9.582.419.680.2515.68中性化前后因子表现对

28、比行业市值中性化以后，因子IC整体略有下降。但由于整体的波动性和最大回撤明显降低，所以因子多空组合的风险调整后表现多数反而有所提升。进行了相关性加权和剔除的因子，整体表现受中性化的影响较小。无论是否进行中性化，新闻情绪因子在全A和沪深300中的选股效果均更为突出，而在中证500中则表现一般。18Avg_Score_T全A测试结果组合总收益率年化收益率波动率Sharpe比率平均换手率最大回撤率超额收益率年化超额收 益率跟踪误差信息比率0-5.08-1.3522.53-0.066.6342.8513.323.313.880.851-10.86-2.9522.88-0.138.5446.546.85

29、1.743.200.552-12.10-3.3122.99-0.148.8046.015.521.412.710.523-9.97-2.7022.72-0.128.9244.907.872.002.330.864-8.13-2.1922.76-0.109.0047.8110.122.542.361.085-10.86-2.9522.37-0.139.0047.606.491.652.310.726-15.40-4.2722.52-0.198.9946.801.190.312.380.137-17.71-4.9522.45-0.228.9348.44-1.64-0.432.49-0.178-21

30、.71-6.1822.41-0.288.6449.72-6.50-1.743.00-0.589-45.29-14.5522.01-0.667.1555.65-35.03-10.634.53-2.35L-S72.6215.306.882.229.563.31-10.636.004.002.000.00-2.00-4.00-6.00-8.00-10.00-12.0001234567890.60.81.8-3.00-2.00-1.000.001.002.003.004.002016/11/302017/11/302018/11/302019/11/30多空收益率多空净值（右轴）W

31、ind，招商证券研究与发展中心，测试区间：20161130-2020093019表：十分位组合测试结果十分位组合年化超额收益多空组合累计净值Avg_Score_REL_T_Ex全A测试结果组合总收益率年化收益率波动率Sharpe比率平均换手率最大回撤率超额收益率年化超额收 益率跟踪误差信息比率0-0.37-0.1021.880.007.6140.1817.554.314.011.071-13.16-3.6122.61-0.168.9348.033.280.842.770.302-12.08-3.3022.74-0.159.0446.124.701.202.500.483-7.55-2.0222

32、.58-0.099.0948.389.972.512.371.064-12.43-3.4022.62-0.159.1746.694.201.082.380.455-15.38-4.2622.35-0.199.2247.690.460.122.310.056-10.76-2.9322.55-0.139.1845.516.121.562.410.657-17.93-5.0222.59-0.229.0647.25-2.38-0.632.58-0.248-21.10-5.9922.33-0.278.9848.70-6.39-1.712.87-0.599-41.75-13.1422.28-0.597.7

33、855.08-31.06-9.244.35-2.13L-S68.9014.646.732.1711.04表：十分位组合测试结果十分位组合年化超额收益多空组合累计净值4.31-9.24-6.00-8.00-10.004.002.000.00-2.00-4.006.0001234567890.60.81.8-3.00-2.00-1.000.001.002.003.002016/11/302017/11/302018/11/302019/11/30多空收益率多空净值（右轴)Wind，招商证券研究与发展中心，测试区间：20161130-2020093020Avg_Score_T沪深

34、300测试结果组合总收益率年化收益率波动率Sharpe比率平均换手率最大回撤率超额收益率年化超额收 益率跟踪误差信息比率033.437.8122.130.354.5234.4420.815.056.200.82125.506.1021.740.287.7237.9413.253.306.130.54216.113.97738.744.441.145.820.20323.315.6120.580.278.5431.5910.482.635.170.51421.025.1020.090.258.6036.457.922.015.580.36512.003.0019.290.

35、168.6425.47-0.68-0.185.29-0.036-11.20-3.0519.50-0.168.6537.80-21.14-6.005.44-1.10713.653.3919.410.178.5628.830.840.225.530.0488.032.0319.770.108.2036.99-3.99-1.055.94-0.189-18.74-5.2720.04-0.267.0437.88-27.76-8.136.68-1.22L-S64.1713.809.471.4611.69表：十分位组合测试结果十分位组合年化超额收益多空组合累计净值-8.13-10.00-5.000.0010

36、.005.055.000123456789年化超额收益率1.7-3.00-2.00-1.000.001.002.003.002016/11/302017/11/302018/11/302019/11/30多空收益率多空净值(右轴)Wind，招商证券研究与发展中心，测试区间：20161130-2020093021Avg_Score_Num中证500测试结果组合总收益率年化收益率波动率Sharpe比率平均换手率最大回撤率超额收益率年化超额收 益率跟踪误差信息比率02.090.5421.690.027.8542.738.182.074.990.421-8.03-2

37、.1622.55-0.108.3939.55-1.86-0.495.20-0.092-4.25-1.1322.85-0.058.4941.272.440.635.170.123-11.92-3.2622.46-0.148.4537.94-6.01-1.604.80-0.3347.411.8822.260.088.6542.0414.343.565.110.705-11.99-3.2722.74-0.148.6543.01-5.87-1.564.86-0.32614.923.69041.3023.425.645.071.117-11.24-3.0622.55-0.148.

38、5244.13-5.19-1.384.69-0.298-10.71-2.9122.84-0.138.3746.28-4.59-1.225.73-0.219-28.35-8.3322.97-0.367.6546.66-23.48-6.746.46-1.04L-S38.928.958.601.0412.01表：十分位组合测试结果十分位组合年化超额收益多空组合累计净值2.07-6.744.002.000.00-2.00-4.00-6.00-8.008.006.000123456789年化超额收益率-1.00-2.00-3.004.003.002.001.000.0

39、02016/11/302017/11/302018/11/302019/11/30多空收益率多空净值(右轴)Wind，招商证券研究与发展中心，测试区间：20161130-2020093022改进的空间：调仓频率&回溯期限由于新闻信息的有效性通常衰减较快，一方面我们可以适当提升组合的调仓频率；另外一方面，在因子构建层面，我们可以缩短回溯期，考虑通过近期的新闻来构建因子。23提升组合调仓频率半月调仓周度调仓缩短因子构建的回溯期限回溯10D回溯5D测试结果回溯20D-半月调仓-IC全体A股沪深300中证500因子平均值标准差最小值最大值IC_IRt统计量平均股票数ICSqrt(N)有效期数Avg_S

40、core0.846.64-17.36127360.4492Avg_Score_Num0.795.39-15.0117.070.151.4027360.4192Avg_Score_Num_Ex0.815.79-14.1116.020.141.3423520.3992Avg_Score_REL0.946.31-14.9817.660.151.4227360.4992Avg_Score_REL_Ex1.206.52-14.3519.050.181.7723520.5892Avg_Score_REL_T0.856.22-15.29127360.4492A

41、vg_Score_REL_T_Ex1.116.39-14.6819.260.171.6723520.5492Avg_Score_T0.726.50-17.5618.420.111.0627360.3792因子平均值标准差最小值最大值IC_IRt统计量平均股票数ICSqrt(N)有效期数Avg_Score1.878.42-17.1524.890.222.132880.3292Avg_Score_Num0.587.40-20.7021.380.080.752880.1092Avg_Score_Num_Ex0.427.20-15.2719.680.060.562690.0792Avg_Score_R

42、EL2.018.59-18.8322.360.232.242880.3492Avg_Score_REL_Ex2.248.27-16.1422.030.272.592690.3792Avg_Score_REL_T2.308.45-19.0421.490.272.612880.3992Avg_Score_REL_T_Ex2.598.03-16.6421.340.323.092690.4292Avg_Score_T2.098.20-17.2223.080.262.452880.3692因子平均值标准差最小值最大值IC_IRt统计量平均股票数ICSqrt(N)有效期数Avg_Score-0.268.1

43、6-21.1418.89-0.03-0.31437-0.0692Avg_Score_Num1.067.99-19.5921.030.131.274370.2292Avg_Score_Num_Ex0.467.84-15.2322.270.060.573720.0992Avg_Score_REL-0.647.75-20.9616.33-0.08-0.79437-0.1392Avg_Score_REL_Ex-0.468.24-15.4921.14-0.06-0.53372-0.0992Avg_Score_REL_T-0.607.51-19.1817.15-0.08-0.77437-0.1392Avg

44、_Score_REL_T_Ex-0.547.86-16.3020.11-0.07-0.66372-0.1092Avg_Score_T-0.257.89-20.9818.83-0.03-0.31437-0.059224Wind，招商证券研究与发展中心，测试区间：20161130-20200930测试结果回溯20D-半月调仓-多空组合全体A股沪深300中证50025因子总收益率年化收益率波动率Sharpe比率最大回撤率Avg_Score75.1015.737.112.2110.23Avg_Score_Num26.866.405.921.0810.38Avg_Score_Num_Ex23.925.7

45、55.920.977.86Avg_Score_REL85.0117.406.542.6611.03Avg_Score_REL_Ex96.5819.276.872.8110.67Avg_Score_REL_T72.8315.336.462.3710.88Avg_Score_REL_T_Ex86.1717.596.882.5611.42Avg_Score_T69.8414.817.032.1110.57因子总收益率年化收益率波动率Sharpe比率最大回撤率Avg_Score64.3913.849.951.398.90Avg_Score_Num29.506.978.650.8111.97Avg_Sc

46、ore_Num_Ex-4.36-1.168.97-0.1317.02Avg_Score_REL53.3411.7910.221.1512.44Avg_Score_REL_Ex40.979.3610.260.9112.67Avg_Score_REL_T58.3512.739.701.3114.91Avg_Score_REL_T_Ex56.0712.319.861.2511.16Avg_Score_T91.1118.409.761.897.77因子总收益率年化收益率波动率Sharpe比率最大回撤率Avg_Score7.431.8910.200.1812.68Avg_Score_Num52.0411

47、.549.051.2712.85Avg_Score_Num_Ex6.791.739.170.1918.54Avg_Score_REL14.473.599.600.3715.55Avg_Score_REL_Ex9.752.4610.430.2416.45Avg_Score_REL_T19.884.849.600.5012.33Avg_Score_REL_T_Ex14.203.5210.310.3415.75Avg_Score_T11.032.7710.120.2711.88Wind，招商证券研究与发展中心，测试区间：20161130-20200930测试结果回溯20D-周度调仓-IC全体A股沪深

48、300中证500因子平均值标准差最小值最大值IC_IRt统计量平均股票数ICSqrt(N)有效期数Avg_Score0.736.11-20.0826520.38196Avg_Score_Num0.765.31-14.23026520.39196Avg_Score_Num_Ex0.705.54-13.8214.780.131.7722620.33196Avg_Score_REL0.825.74-16.96026520.42196Avg_Score_REL_Ex1.085.88-16.5118.520.182.5722620

49、.51196Avg_Score_REL_T0.635.57-17.4615.700.111.5826520.32196Avg_Score_REL_T_Ex0.895.71-17.0518.290.162.1722620.42196Avg_Score_T0.515.91-20.6114.800.091.2026520.26196因子平均值标准差最小值最大值IC_IRt统计量平均股票数ICSqrt(N)有效期数Avg_Score1.249.05-25.1625.500.141.922860.21196Avg_Score_Num0.656.80-15.7219.570.101.342860.1119

50、6Avg_Score_Num_Ex0.596.76-19.5315.840.091.212640.10196Avg_Score_REL1.309.00-19.0724.290.142.022860.22196Avg_Score_REL_Ex1.298.85-20.8324.610.152.042640.21196Avg_Score_REL_T1.198.83-19.4122.340.131.892860.20196Avg_Score_REL_T_Ex1.168.74-22.1923.930.131.852640.19196Avg_Score_T1.168.73-23.6621.680.131.

51、872860.20196因子平均值标准差最小值最大值IC_IRt统计量平均股票数ICSqrt(N)有效期数Avg_Score0.367.63-21.1019.100.050.654260.07196Avg_Score_Num1.767.23-21.0720.720.243.404260.36196Avg_Score_Num_Ex1.217.26-22.8324.350.172.343600.23196Avg_Score_REL0.157.34-19.7717.020.020.284260.03196Avg_Score_REL_Ex0.457.86-18.6820.240.060.793600.

52、08196Avg_Score_REL_T0.157.12-22.6616.720.020.294260.03196Avg_Score_REL_T_Ex0.537.51-21.5320.090.071.003600.10196Avg_Score_T0.327.37-24.5517.070.040.604260.0719626Wind，招商证券研究与发展中心，测试区间：20161130-20200930测试结果回溯20D-周度调仓-多空组合全体A股沪深300中证50027因子总收益率年化收益率波动率Sharpe比率最大回撤率Avg_Score87.8417.897.112.529.29Avg_Sc

53、ore_Num25.296.065.671.0710.22Avg_Score_Num_Ex39.579.095.931.536.16Avg_Score_REL94.6819.006.522.9110.47Avg_Score_REL_Ex113.9021.966.973.1511.54Avg_Score_REL_T70.6014.976.432.3310.74Avg_Score_REL_T_Ex88.5418.016.842.6311.74Avg_Score_T77.2116.117.082.289.37因子总收益率年化收益率波动率Sharpe比率最大回撤率Avg_Score60.1913.09

54、10.111.2914.30Avg_Score_Num40.639.318.661.088.94Avg_Score_Num_Ex-0.82-0.228.99-0.0213.44Avg_Score_REL32.107.5410.180.7415.04Avg_Score_REL_Ex27.796.6110.390.6415.41Avg_Score_REL_T27.186.489.690.6715.07Avg_Score_REL_T_Ex30.077.1110.110.7016.96Avg_Score_T54.1911.9710.161.1813.59因子总收益率年化收益率波动率Sharpe比率最大

55、回撤率Avg_Score26.596.3510.260.6212.25Avg_Score_Num62.5513.529.321.4514.07Avg_Score_Num_Ex41.719.539.491.009.75Avg_Score_REL33.447.829.440.839.39Avg_Score_REL_Ex25.306.0710.570.5717.07Avg_Score_REL_T54.4012.019.391.2811.84Avg_Score_REL_T_Ex43.699.9310.350.9615.55Avg_Score_T37.308.639.950.8712.12Wind，招商

56、证券研究与发展中心，测试区间：20161130-20200930不同调仓频率下因子表现总结28整体来看，在考虑成本以后，提升调仓频率是有助于提升因子解释能力和多空组合表现的。并非调仓频率越高越好。当提升至周频调仓时，因子在沪深300中的表现反而有所减弱。随着调仓频率的提升，进行了相关性加权和剔除的因子整体表现提升更为明显。测试结果回溯10D-月度调仓-IC全体A股沪深300中证500因子平均值标准差最小值最大值IC_IRt统计量平均股票数ICSqrt(N)有效期数Avg_Score0.965.12-12.6311.440.191.2723880.4746Avg_Score_Num0.384.8

57、3-11.238.540.080.5423880.1946Avg_Score_Num_Ex0.374.83-14.309.890.080.5219450.1646Avg_Score_REL0.845.04-13.669.850.171.1423880.4146Avg_Score_REL_Ex0.865.42-17.199.410.161.0719450.3846Avg_Score_REL_T1.054.84-12.2810.030.221.4823880.5146Avg_Score_REL_T_Ex1.145.13-14.869.630.221.5019450.5046Avg_Score_T1

58、.104.80-11.9510.590.231.5523880.5446因子平均值标准差最小值最大值IC_IRt统计量平均股票数ICSqrt(N)有效期数Avg_Score2.617.83-11.6221.790.332.262790.4446Avg_Score_Num-0.676.74-15.5413.09-0.10-0.68279-0.1146Avg_Score_Num_Ex-0.667.03-17.2614.19-0.09-0.64248-0.1046Avg_Score_REL2.098.44-12.8321.950.251.682790.3546Avg_Score_REL_Ex1.50

59、8.53-15.9702480.2446Avg_Score_REL_T2.247.88-12.2318.920.281.922790.3746Avg_Score_REL_T_Ex1.717.64-11.7417.830.221.522480.2746Avg_Score_T2.317.46-13.1017.730.312.102790.3946因子平均值标准差最小值最大值IC_IRt统计量平均股票数ICSqrt(N)有效期数Avg_Score0.127.79-16.2216.970.020.103950.0246Avg_Score_Num0.197.77-18.0819.

60、490.020.173950.0446Avg_Score_Num_Ex0.317.64-16.6619.550.040.273120.0546Avg_Score_REL-0.327.53-18.3214.43-0.04-0.29395-0.0646Avg_Score_REL_Ex-0.668.36-19.2523.58-0.08-0.54312-0.1246Avg_Score_REL_T0.137.22-15.0813.440.020.123950.0346Avg_Score_REL_T_Ex-0.188.02-16.6722.79-0.02-0.15312-0.0346Avg_Score_T