更多精彩内容详见个人量化交易专辑索引
因子公式:
市盈率倒数 = 净利润/市值
测试时间:
2022-1-1——2022-12-31
测试结果:
5D | 10D | 20D | 40D | |
Ann. alpha | -0.028 | -0.029 | -0.04 | -0.03 |
beta | -0.073 | -0.093 | -0.121 | -0.113 |
Mean Period Wise Return Top Quantile (bps) | 1.5 | 5.665 | -3.268 | -4.508 |
Mean Period Wise Return Bottom Quantile (bps) | 27.729 | 25.179 | 23.172 | 18.301 |
Mean Period Wise Spread (bps) | -26.229 | -19.543 | -26.533 | -22.84 |
IC Mean | 0.002 | -0.003 | -0.014 | -0.023 |
IC Std. | 0.085 | 0.089 | 0.092 | 0.08 |
Risk-Adjusted IC | 0.019 | -0.037 | -0.154 | -0.285 |
t-stat(IC) | 0.269 | -0.529 | -2.183 | -4.056 |
p-value(IC) | 0.789 | 0.598 | 0.03 | 0 |
IC Skew | 0.338 | 0.469 | 0.604 | 0.546 |
IC Kurtosis | -0.238 | -0.113 | 0.342 | -0.474 |
更多年份测试结果: