新聞情緒數(shù)據(jù)在中低頻Alpha中的應(yīng)用

1、前言- 2 -因子構(gòu)建應(yīng)用探討總結(jié)展望章節(jié)大綱新聞情緒數(shù)據(jù)介紹數(shù)據(jù)相關(guān)統(tǒng)計(jì)分析新聞情緒因子構(gòu)建新聞情緒因子測(cè)試結(jié)果新聞情緒因子延伸新聞情緒在事件驅(qū)動(dòng)策略中的應(yīng)用融合了新聞情緒因子的選股策略新聞情緒因子對(duì)傳統(tǒng)因子的改進(jìn)和提升總結(jié)與后續(xù)研究展望前言- 3 -新聞情緒數(shù)據(jù)介紹數(shù)據(jù)相關(guān)統(tǒng)計(jì)分析第一部分另類數(shù)據(jù)Alpha研究的藍(lán)海Alpha研究傳統(tǒng)Alpha的改進(jìn)反轉(zhuǎn)因子改進(jìn)價(jià)值因子改進(jìn)另類Alpha的挖掘電商消費(fèi)大數(shù) 據(jù)高頻數(shù)據(jù)衛(wèi)星數(shù)據(jù)新聞情緒因子擇時(shí)基于外生變量基于內(nèi)生變量“青出于藍(lán)”系列報(bào)告“藍(lán)海啟航”系列報(bào)告“因時(shí)制宜”系列報(bào)告- 4 -數(shù)據(jù)來源：ChinaScope,招商證券研發(fā)中心數(shù)庫新聞情

2、緒數(shù)據(jù)模型- 5 -圖：情緒數(shù)據(jù)示例數(shù)據(jù)來源：ChinaScope,招商證券研發(fā)中心stockCodecompanyIdchineseNameenglishNamenewsIdnewsTsrelevanceemotionIndicatoremotionWeightemotionDetail0=0.0821,TSLA_NQ_EQCSF0000201106特斯拉Tesla240972662020/9/1 0:000.7510.851=0.8536,2=0.06420=0.1362,00700_HK_EQCSF0000000275騰訊控股TENCENT HLD240972782020/9/1 0:0

3、10.0410.861=0.8631,2=7.0E-4601577_SH_EQCSF0000002244長(zhǎng)沙銀行Bank of Changsha240972782020/9/1 0:010.8310.880=0.1129,1=0.8759,2=0.01110=0.1336,002230_SZ_EQCSF0000002456科大訊飛Iflytek240972782020/9/1 0:010.0410.871=0.8657,2=7.0E-40=0.4268,06198_HK_EQCSF0000003258青島港Qingdao Port240972812020/9/1 0:010.0700.431=

4、0.384,2=0.18920=0.4268,601298_SH_EQCSF0000003258青島港Qingdao Port240972812020/9/1 0:010.0700.431=0.384,2=0.18920=0.5381,06818_HK_EQCSF0000000443光大銀行CEB240972852020/9/1 0:010.0600.541=0.2561,2=0.20580=0.0761,002468_SZ_EQCSF0000000505申通快遞STO Express240973042020/9/1 0:021.0020.751=0.1784,2=0.7455數(shù)庫新聞情緒數(shù)據(jù)

5、數(shù)據(jù)示例新聞與個(gè)股的相關(guān)程 度，取值為0-1之間新聞分類標(biāo)簽，0為中 性，1為負(fù)面，2為正面新聞分類所對(duì)應(yīng) 的概率三種分類的概 率明細(xì)- 6 -圖：不同月份所覆蓋的A股相關(guān)新聞總數(shù)圖：三類新聞數(shù)量及占比數(shù)據(jù)來源：ChinaScope，招商證券研發(fā)中心，統(tǒng)計(jì)區(qū)間：20161130-20200930數(shù)據(jù)來源：ChinaScope，招商證券研發(fā)中心，統(tǒng)計(jì)區(qū)間：20161130-20200930新聞數(shù)據(jù)統(tǒng)計(jì)分析100000500000150000200000250000300000全A滬深300中證500正面, 1430904,39中性, 165011 8,44負(fù)面, 647592,17從時(shí)間上來看，

6、A股相關(guān)新聞總數(shù)在2019年后呈現(xiàn)出迅速上升的現(xiàn)象。從新聞?lì)悇e上來看，A股新聞以正面及中性新聞居多。- 7 -圖：不同指數(shù)成份股中覆蓋股票數(shù)目圖：不同指數(shù)成份股中覆蓋股票占比新聞情緒數(shù)據(jù)的覆蓋度截至20200930，新聞數(shù)據(jù)在全A、滬深300和中證500指數(shù)中的覆蓋股票數(shù) 目分別為3957、299和500；個(gè)股覆蓋比例分別為97.92%、99.67%和100%。0500100015002000250030003500400045000100200300400500600滬深300中證500全A數(shù)據(jù)來源：ChinaScope，招商證券研發(fā)中心，統(tǒng)計(jì)區(qū)間：20161130-202009300.00

7、20.0040.0060.0080.00100.00120.00全A滬深300中證500數(shù)據(jù)來源：ChinaScope，招商證券研發(fā)中心，統(tǒng)計(jì)區(qū)間：20161130-20200930- 8 -個(gè)股相關(guān)新聞數(shù)目與市值關(guān)系我們將個(gè)股月平均流通市值的對(duì)數(shù)與該月相關(guān)新聞總數(shù)的對(duì)數(shù)進(jìn)行回歸。 回歸結(jié)果表明個(gè)股相關(guān)的新聞數(shù)與其市值大小存在顯著正向相關(guān)性。圖：回歸系數(shù)與對(duì)應(yīng)的T值05101520253035404550020161130201612302017012620170228201703312017042820170531201706302017073120170

8、83120170929201710312017113020171229201801312018022820180330201804272018053120180629201807312018083120180928201810312018113020181228201901312019022820190329201904302019053120190628201907312019083020190930201910312019112920191231202001232020022820200331202004302020052920200630202007312020083120200930回

9、歸系數(shù)t值（右軸）數(shù)據(jù)來源：ChinaScope，招商證券研發(fā)中心，統(tǒng)計(jì)區(qū)間：20161130-20200930- 9 -因子構(gòu)建- 10 -第二部分新聞情緒因子構(gòu)建新聞情緒因子測(cè)試結(jié)果新聞情緒因子延伸單個(gè)新聞情緒得分如何計(jì)算？ 單個(gè)新聞得分 = 單個(gè)新聞的正面概率 負(fù)面 概率過去一段時(shí)間內(nèi)個(gè)股新聞情緒如何刻畫？對(duì)過去一段時(shí)間內(nèi)所有新聞的情緒分求和。是否應(yīng)該根據(jù)相關(guān)性對(duì)新聞進(jìn)行過濾？考慮用相關(guān)性對(duì)單個(gè)新聞的得分進(jìn)行修正，并 剔除相關(guān)性小于0.7的新聞。是否應(yīng)該考慮新聞的時(shí)效性？越新的新聞?dòng)绊懺酱螅覀儾扇r(shí)間衰減法對(duì) 不同事件得分進(jìn)行加權(quán)求和。是否剔除中性新聞？中性新聞同樣帶來過多噪音，我們對(duì)

10、中性新聞 進(jìn)行剔除。因子構(gòu)建需要考慮的因素新聞情緒因子構(gòu)建是否剔除中性 新聞？- 11 -單個(gè)新聞的情 緒得分如何計(jì) 算？過去一段時(shí)間 內(nèi)的新聞情緒 如何刻畫？是否應(yīng)該根據(jù) 相關(guān)性過濾新 聞？是否應(yīng)該考慮 新聞的時(shí)效性？圖：新聞情緒因子的具體定義數(shù)據(jù)來源：招商證券研發(fā)中心因子定義方式Avg_Score對(duì)過去一段時(shí)間所有相關(guān)新聞的情緒得分求和Avg_Score_REL對(duì)過去一段時(shí)間所有相關(guān)新聞的相關(guān)性修正情緒得分求和Avg_Score_T按照時(shí)間衰減的加權(quán)方式，對(duì)過去一段時(shí)間所有相關(guān)新聞的情緒得分求和Avg_Score_REL_T按照時(shí)間衰減的加權(quán)方式，對(duì)過去一段時(shí)間所有相關(guān)新聞的相關(guān)性修正情緒

11、得分求和Avg_Score_REL_Ex剔除相關(guān)性低于0.7的新聞后，對(duì)過去一段時(shí)間所有相關(guān)新聞的相關(guān)性修正情緒得分求 和Avg_Score_REL_T_Ex剔除相關(guān)性低于0.7的新聞后，按照時(shí)間衰減的加權(quán)方式，對(duì)過去一段時(shí)間所有相關(guān)新 聞的相關(guān)性修正情緒得分求和Avg_Score_Num正負(fù)面新聞數(shù)目之差占二者總數(shù)的比重Avg_Score_Num_Ex剔除相關(guān)性低于0.7的新聞后，正負(fù)面新聞數(shù)目之差占二者總數(shù)的比重新聞情緒因子定義- 12 -圖：全體A股測(cè)試結(jié)果數(shù)據(jù)來源：Wind，招商證券研發(fā)中心- 13 -因子平均值標(biāo)準(zhǔn)差最小值最大值IC_IRt統(tǒng)計(jì)量平均股票數(shù)ICSqrt(N)有效期數(shù)A

12、vg_Score2.09%8.65%-18.21%18.48%0.24 1.64 2836 1.1146 Avg_Score_Num1.16%5.64%-13.37%12.30%0.20 1.39 2836 0.6246 Avg_Score_Num_Ex1.08%6.08%-20.42%11.26%0.18 1.21 2472 0.5446 Avg_Score_REL1.75%7.78%-20.88%17.31%0.22 1.52 2836 0.9346 Avg_Score_REL_Ex1.78%8.08%-24.47%19.03%0.22 1.49 2472 0.8846 Avg_Score

13、_REL_T1.59%7.59%-20.13%17.68%0.21 1.42 2836 0.8546 Avg_Score_REL_T_Ex1.65%7.85%-23.97%18.81%0.21 1.43 2472 0.8246 Avg_Score_T1.93%8.43%-18.39%19.04%0.23 1.55 2836 1.0346 圖：滬深300測(cè)試結(jié)果因子平均值標(biāo)準(zhǔn)差最小值最大值IC_IRt統(tǒng)計(jì)量平均股票數(shù)ICSqrt(N)有效期數(shù)Avg_Score3.75%11.41%-21.35%25.88%0.33 2.23 292 0.6446 Avg_Score_Num0.81%10.10%

14、-22.39%19.44%0.08 0.54 292 0.1446 Avg_Score_Num_Ex-0.46%9.73%-26.12%15.69%-0.05 -0.32 276 -0.0846 Avg_Score_REL3.01%11.98%-26.61%27.05%0.25 1.71 292 0.5146 Avg_Score_REL_Ex3.19%12.01%-26.25%26.24%0.27 1.80 276 0.5346 Avg_Score_REL_T3.39%11.36%-23.68%27.32%0.30 2.03 292 0.5846 Avg_Score_REL_T_Ex3.72%

15、11.47%-25.14%30.09%0.32 2.20 276 0.6246 Avg_Score_T3.88%11.03%-20.39%26.53%0.35 2.39 292 0.6646 圖：中證500測(cè)試結(jié)果因子平均值標(biāo)準(zhǔn)差最小值最大值IC_IRt統(tǒng)計(jì)量平均股票數(shù)ICSqrt(N)有效期數(shù)Avg_Score1.07%8.95%-16.89%26.06%0.12 0.81 451 0.2346 Avg_Score_Num0.84%8.12%-18.85%17.98%0.10 0.70 451 0.1846 Avg_Score_Num_Ex1.47%8.29%-23.76%19.73%0.1

16、8 1.20 391 0.2946 Avg_Score_REL0.11%8.43%-18.93%19.89%0.01 0.09 451 0.0246 Avg_Score_REL_Ex-0.60%8.62%-23.94%17.80%-0.07 -0.47 391 -0.1246 Avg_Score_REL_T0.21%8.22%-21.97%16.55%0.03 0.17 451 0.0446 Avg_Score_REL_T_Ex-0.38%8.63%-27.34%16.36%-0.04 -0.30 391 -0.0846 Avg_Score_T0.94%8.65%-17.40%21.94%0.

17、11 0.73 451 0.2046 測(cè)試結(jié)果回溯20D月度調(diào)倉IC圖：全體A股測(cè)試結(jié)果測(cè)試結(jié)果回溯20D月度調(diào)倉多空組合數(shù)據(jù)來源：Wind，招商證券研發(fā)中心- 14 -因子總收益率年化收益率波動(dòng)率Sharpe比率最大回撤率Avg_Score86.80%17.69%10.31%1.72 13.65%Avg_Score_Num24.34%5.84%6.67%0.88 12.04%Avg_Score_Num_Ex23.61%5.68%6.34%0.90 7.32%Avg_Score_REL75.62%15.81%9.42%1.68 13.85%Avg_Score_REL_Ex78.88%16.37

18、%9.65%1.70 14.41%Avg_Score_REL_T65.63%14.06%9.23%1.52 14.02%Avg_Score_REL_T_Ex73.30%15.41%9.47%1.63 15.13%Avg_Score_T82.13%16.92%10.25%1.65 13.14%圖：滬深300測(cè)試結(jié)果因子總收益率年化收益率波動(dòng)率Sharpe比率最大回撤率Avg_Score70.70%14.96%11.36%1.32 15.62%Avg_Score_Num0.91%0.24%9.31%0.03 14.85%Avg_Score_Num_Ex25.23%6.04%10.46%0.58 2

19、6.67%Avg_Score_REL46.23%10.42%12.36%0.84 21.15%Avg_Score_REL_Ex45.40%10.25%12.31%0.83 24.11%Avg_Score_REL_T33.88%7.90%11.70%0.68 23.23%Avg_Score_REL_T_Ex25.08%6.01%11.74%0.51 24.62%Avg_Score_T88.46%17.96%11.00%1.63 16.13%圖：中證500測(cè)試結(jié)果因子總收益率年化收益率波動(dòng)率Sharpe比率最大回撤率Avg_Score10.66%2.68%11.29%0.24 19.66%Avg_

20、Score_Num14.41%3.57%9.42%0.38 18.23%Avg_Score_Num_Ex42.73%9.72%9.71%1.00 12.43%Avg_Score_REL-8.46%-2.28%10.67%-0.21 28.79%Avg_Score_REL_Ex-14.61%-4.03%11.13%-0.36 28.43%Avg_Score_REL_T0.48%0.12%10.41%0.01 17.44%Avg_Score_REL_T_Ex4.88%1.25%10.80%0.12 17.19%Avg_Score_T28.11%6.67%11.05%0.60 14.30%- 15

21、-圖：因子與流通市值的對(duì)數(shù)的相關(guān)性圖：因子與總市值對(duì)數(shù)的相關(guān)性數(shù)據(jù)來源：Wind，招商證券研發(fā)中心數(shù)據(jù)來源：Wind，招商證券研發(fā)中心新聞數(shù)據(jù)統(tǒng)計(jì)分析從相關(guān)性分析來看，我們所構(gòu)建的新聞情緒因子大多偏大市值。而2017年以 來，大市值風(fēng)格能夠貢獻(xiàn)明顯的Alpha。因此，必須對(duì)市值的影響予以剔除。0.290.300.280.370.290.300.000.250.300.350.400.450.340.360.330.420.340.400.350.3050.100.050.000.450.50圖：全體A

22、股測(cè)試結(jié)果數(shù)據(jù)來源：Wind，招商證券研發(fā)中心- 16 -因子平均值標(biāo)準(zhǔn)差最小值最大值IC_IRt統(tǒng)計(jì)量平均股票數(shù)ICSqrt(N)有效期數(shù)Avg_Score1.24%5.36%-12.54%12.24%0.23 1.57 2836 0.6646 Avg_Score_Num1.08%4.71%-11.35%9.27%0.23 1.55 2836 0.5746 Avg_Score_Num_Ex0.78%4.86%-12.60%9.62%0.16 1.09 2472 0.3946 Avg_Score_REL1.10%5.12%-11.89%11.56%0.22 1.46 2836 0.5946 A

23、vg_Score_REL_Ex1.25%5.33%-14.45%11.56%0.24 1.60 2472 0.6246 Avg_Score_REL_T0.97%5.10%-11.79%10.99%0.19 1.28 2836 0.5146 Avg_Score_REL_T_Ex1.09%5.32%-14.80%10.47%0.20 1.39 2472 0.5446 Avg_Score_T1.08%5.33%-12.28%10.83%0.20 1.38 2836 0.5846 圖：滬深300測(cè)試結(jié)果因子平均值標(biāo)準(zhǔn)差最小值最大值IC_IRt統(tǒng)計(jì)量平均股票數(shù)ICSqrt(N)有效期數(shù)Avg_Score

24、2.33%8.63%-16.23%18.93%0.27 1.83 292 0.4046 Avg_Score_Num0.91%7.38%-18.18%15.09%0.12 0.83 292 0.1646 Avg_Score_Num_Ex-0.42%6.79%-13.60%17.72%-0.06 -0.42 276 -0.0746 Avg_Score_REL1.72%9.10%-16.34%22.51%0.19 1.28 292 0.2946 Avg_Score_REL_Ex1.87%8.99%-17.45%21.90%0.21 1.41 276 0.3146 Avg_Score_REL_T2.1

25、7%8.60%-14.69%21.50%0.25 1.71 292 0.3746 Avg_Score_REL_T_Ex2.53%8.50%-15.32%22.70%0.30 2.02 276 0.4246 Avg_Score_T2.42%8.15%-14.33%19.38%0.30 2.01 292 0.4146 圖：中證500測(cè)試結(jié)果因子平均值標(biāo)準(zhǔn)差最小值最大值IC_IRt統(tǒng)計(jì)量平均股票數(shù)ICSqrt(N)有效期數(shù)Avg_Score0.56%7.30%-15.90%21.32%0.08 0.52 451 0.1246 Avg_Score_Num0.91%7.59%-14.42%19.79%0

26、.12 0.81 451 0.1946 Avg_Score_Num_Ex0.89%6.97%-15.81%19.55%0.13 0.86 391 0.1846 Avg_Score_REL-0.16%7.02%-16.11%17.13%-0.02 -0.15 451 -0.0346 Avg_Score_REL_Ex-0.63%7.37%-14.42%18.03%-0.09 -0.58 391 -0.1246 Avg_Score_REL_T-0.10%6.85%-13.87%15.77%-0.01 -0.10 451 -0.0246 Avg_Score_REL_T_Ex-0.49%7.25%-16

27、.52%17.14%-0.07 -0.46 391 -0.1046 Avg_Score_T0.39%7.10%-13.13%18.47%0.06 0.38 451 0.0846 中性化后測(cè)試結(jié)果回溯20D-月度調(diào)倉-IC圖：全體A股測(cè)試結(jié)果數(shù)據(jù)來源：Wind，招商證券研發(fā)中心- 17 -因子總收益率年化收益率波動(dòng)率Sharpe比率最大回撤率Avg_Score68.56%14.58%6.98%2.09 9.46%Avg_Score_Num39.73%9.11%5.57%1.64 8.50%Avg_Score_Num_Ex36.00%8.35%5.46%1.53 8.48%Avg_Score_RE

28、L60.69%13.16%6.45%2.04 9.98%Avg_Score_REL_Ex69.43%14.74%6.76%2.18 9.67%Avg_Score_REL_T62.03%13.41%6.41%2.09 10.20%Avg_Score_REL_T_Ex68.90%14.64%6.73%2.17 11.04%Avg_Score_T72.62%15.30%6.88%2.22 9.56%圖：滬深300測(cè)試結(jié)果因子總收益率年化收益率波動(dòng)率Sharpe比率最大回撤率Avg_Score59.43%12.93%9.97%1.30 11.80%Avg_Score_Num21.58%5.23%9.0

29、5%0.58 13.28%Avg_Score_Num_Ex3.05%0.79%8.80%0.09 18.09%Avg_Score_REL33.51%7.83%10.00%0.78 18.90%Avg_Score_REL_Ex20.85%5.06%10.18%0.50 21.59%Avg_Score_REL_T41.30%9.43%9.79%0.96 11.98%Avg_Score_REL_T_Ex19.80%4.82%10.02%0.48 16.56%Avg_Score_T64.17%13.80%9.47%1.46 11.69%圖：中證500測(cè)試結(jié)果因子總收益率年化收益率波動(dòng)率Sharpe比率

30、最大回撤率Avg_Score-2.56%-0.67%9.78%-0.07 18.22%Avg_Score_Num38.92%8.95%8.60%1.04 12.01%Avg_Score_Num_Ex12.57%3.13%8.63%0.36 19.01%Avg_Score_REL-2.18%-0.57%9.47%-0.06 19.57%Avg_Score_REL_Ex-4.30%-1.14%9.92%-0.11 21.19%Avg_Score_REL_T1.66%0.43%9.31%0.05 15.75%Avg_Score_REL_T_Ex3.14%0.81%9.70%0.08 16.54%Av

31、g_Score_T9.58%2.41%9.68%0.25 15.68%中性化后測(cè)試結(jié)果回溯20D-月度調(diào)倉-多空組合- 18 -行業(yè)市值中性化以后，因子IC整體略有下降。但由于整體的波動(dòng)性和 最大回撤明顯降低，所以因子多空組合的風(fēng)險(xiǎn)調(diào)整后表現(xiàn)多數(shù)反而有所 提升。進(jìn)行了相關(guān)性加權(quán)和剔除的因子，整體表現(xiàn)受中性化的影響較小。無論是否進(jìn)行中性化，新聞情緒因子在全A和滬深300中的選股效果均 更為突出，而在中證500中則表現(xiàn)一般。中性化前后因子表現(xiàn)對(duì)比表：十分位組合測(cè)試結(jié)果圖：多空組合累計(jì)凈值A(chǔ)vg_Score_T全A測(cè)試結(jié)果圖：十分位組合年化超額收益數(shù)據(jù)來源：Wind，招商證券研發(fā)中心3.31-10.

32、636.004.002.000.00-2.00-4.00-6.00-8.00-10.00-12.000123456789組 總收益率 年化收 波動(dòng)率 Sharpe 平均換 最大回 超額收 年化超額跟蹤誤 信息比 合益率比率手率撤率益率收益率差率0-5.08% -1.35% 22.53% -0.06 6.63% 42.85% 13.32%3.31%3.88% 0.85 1-10.86% -2.95% 22.88% -0.13 8.54% 46.54% 6.85%1.74%3.20%0.55 2-12.10% -3.31% 22.99% -0.14 8.80% 46.01% 5.52%1.41%2

33、.71%0.52 3-9.97% -2.70% 22.72% -0.12 8.92% 44.90% 7.87%2.00%2.33%0.86 4-8.13% -2.19% 22.76% -0.10 9.00% 47.81% 10.12%2.54%2.36%1.08 5-10.86% -2.95% 22.37% -0.13 9.00% 47.60% 6.49%1.65%2.31%0.72 6-15.40% -4.27% 22.52% -0.19 8.99% 46.80% 1.19%0.31%2.38%0.13 7-17.71% -4.95% 22.45% -0.22 8.93% 48.44% -1

34、.64% -0.43% 2.49% -0.17 8-21.71% -6.18% 22.41% -0.28 8.64% 49.72% -6.50% -1.74% 3.00% -0.58 9-45.29% -14.55% 22.01% -0.66 7.15% 55.65% -35.03% -10.63% 4.53% -2.35 L-S 72.62% 15.30% 6.88%2.22 9.56%數(shù)據(jù)來源：Wind，招商證券研發(fā)中心0.60.81.8-2.00-1.000.001.002.003.004.00-3.002016-11-302017-11-30多空收益率2018-11

35、-302019-11-30多空凈值（右軸）- 19 -數(shù)據(jù)來源：Wind，招商證券研發(fā)中心表：十分位組合測(cè)試結(jié)果圖：多空組合累計(jì)凈值A(chǔ)vg_Score_REL_T_Ex全A測(cè)試結(jié)果圖：十分位組合年化超額收益數(shù)據(jù)來源：Wind，招商證券研發(fā)中心組 總收益率 年化收 波動(dòng)率 Sharpe 平均換 最大回 超額收 年化超額跟蹤誤 信息比 合益率比率手率撤率益率收益率差率0-0.37% -0.10% 21.88%0.00 7.61% 40.18% 17.55%4.31%4.01% 1.07 1-13.16% -3.61% 22.61% -0.16 8.93% 48.03% 3.28%0.84%2.77

36、%0.30 2-12.08% -3.30% 22.74% -0.15 9.04% 46.12% 4.70%1.20%2.50%0.48 3-7.55% -2.02% 22.58% -0.09 9.09% 48.38% 9.97%2.51%2.37%1.06 4-12.43% -3.40% 22.62% -0.15 9.17% 46.69% 4.20%1.08%2.38%0.45 5-15.38% -4.26% 22.35% -0.19 9.22% 47.69% 0.46%0.12%2.31%0.05 6-10.76% -2.93% 22.55% -0.13 9.18% 45.51% 6.12%

37、1.56%2.41%0.65 7-17.93% -5.02% 22.59% -0.22 9.06% 47.25% -2.38% -0.63% 2.58% -0.24 8-21.10% -5.99% 22.33% -0.27 8.98% 48.70% -6.39% -1.71% 2.87% -0.59 9-41.75% -13.14% 22.28% -0.59 7.78% 55.08% -31.06% -9.24% 4.35% -2.13 L-S 68.90% 14.64% 6.73%2.17 11.04%數(shù)據(jù)來源：Wind，招商證券研發(fā)中心4.31-9.244.002.000.00-2.00-

38、4.00-6.00-8.00-10.006.0001234567890.60.81.8-2.00-1.000.001.002.003.00-3.002016-11-302017-11-30多空收益率2018-11-302019-11-30多空凈值（右軸)- 20 -數(shù)據(jù)來源：Wind，招商證券研發(fā)中心圖：十分位組合測(cè)試結(jié)果圖：多空組合累計(jì)凈值A(chǔ)vg_Score_T滬深300測(cè)試結(jié)果圖：十分位組合年化超額收益數(shù)據(jù)來源：Wind，招商證券研發(fā)中心組 總收益率 年化收 波動(dòng)率 Sharpe 平均換 最大回 超額收 年化超額跟蹤誤 信息比 合益率比率手率撤率益率收益率差率033.4

39、3%7.81% 22.13%0.35 4.52% 34.44% 20.81%5.05%6.20% 0.82 125.50%6.10% 21.74%0.28 7.72% 37.94% 13.25%3.30%6.13%0.54 216.11%3.97% 21.24%0.19 8.27% 38.74% 4.44%1.14%5.82%0.20 323.31%5.61% 20.58%0.27 8.54% 31.59% 10.48%2.63%5.17%0.51 421.02%5.10% 20.09%0.25 8.60% 36.45% 7.92%2.01%5.58%0.36 512.00%3.00%19.2

40、9%0.16 8.64%25.47% -0.68%-0.18%5.29%-0.03 5.05-8.13-10.00-5.000.005.0010.000123456789年化超額收益率6-11.20%-3.05%19.50%-0.16 8.65%37.80% -21.14%-6.00%5.44%-1.10 3.001.72.001.5713.65%3.39%19.41%0.17 8.56%28.83% 0.84%0.22%5.53%0.04 1.001.388.03%2.03%19.77%0.10 8.20%36.99% -3.99%-1.05%5.94%-0.18 0.001.1-1.000

41、.99-18.74%-5.27%20.04%-0.26 7.04%37.88% -27.76%-8.13%6.68%-1.22 -2.000.7-3.002016-11-300.5L-S 64.17% 13.80% 9.47%1.46 11.69%2017-11-302018-11-302019-11-30數(shù)據(jù)來源：Wind，招商證券研發(fā)中心多空收益率多空凈值(右軸)- 21 -數(shù)據(jù)來源：Wind，招商證券研發(fā)中心圖：十分位組合測(cè)試結(jié)果Avg_Score_Num中證500測(cè)試結(jié)果圖：十分位組合年化超額收益02.09%0.54%21.69%0.02 7.85%42.73%8.18%2.07%4.

42、99%0.42 1-8.03%-2.16%22.55%-0.10 8.39%39.55%-1.86%-0.49%5.20%-0.09 2-4.25%-1.13%22.85%-0.05 8.49%41.27%2.44%0.63%5.17%0.12 3-11.92%-3.26%22.46%-0.14 8.45%37.94%-6.01%-1.60%4.80%-0.33 47.41%1.88%22.26%0.08 8.65%42.04%14.34%3.56%5.11%0.70 5-11.99%-3.27%22.74%-0.14 8.65%43.01%-5.87%-1.56%4.86%-0.32 614

43、.92%3.69%23.25%0.16 8.60%41.30%23.42%5.64%5.07%1.11 7-11.24%-3.06%22.55%-0.14 8.52%44.13%-5.19%-1.38%4.69%-0.29 8-10.71%-2.91%22.84%-0.13 8.37%46.28%-4.59%-1.22%5.73%-0.21 9-28.35%-8.33%22.97%-0.36 7.65%46.66% -23.48%-6.74%6.46%-1.04 組 總收益率 年化收 波動(dòng)率 Sharpe 平均換 最大回 超額收 年化超額跟蹤誤 信息比 合益率比率手率撤率益率收益率差率2.07

44、-6.744.002.000.00-2.00-4.00-6.00-8.008.006.000123456789年化超額收益率數(shù)據(jù)來源：Wind，招商證券研發(fā)中心圖：多空組合累計(jì)凈值03.002.001.000.00-1.00-2.00-3.002016-11-300.5L-S 38.92%8.95%8.60%1.04 12.01%2017-11-30多空收益率2018-11-302019-11-30數(shù)據(jù)來源：Wind，招商證券研發(fā)中心多空凈值(右軸)- 22 -數(shù)據(jù)來源：Wind，招商證券研發(fā)中心- 23 -改進(jìn)的空間：調(diào)倉頻率&回溯期限由于新聞信息的有效性

45、通常衰減較快，一方面我們可以適當(dāng)提升組合的調(diào) 倉頻率；另外一方面，在因子構(gòu)建層面，我們可以縮短回溯期，考慮通過 近期的新聞來構(gòu)建因子。提升組合調(diào)倉頻率半月調(diào)倉周度調(diào)倉縮短因子構(gòu)建的回溯期限回溯10D回溯5D圖：全體A股測(cè)試結(jié)果數(shù)據(jù)來源：Wind，招商證券研發(fā)中心- 24 -因子平均值標(biāo)準(zhǔn)差最小值最大值IC_IRt統(tǒng)計(jì)量平均股票數(shù)ICSqrt(N)有效期數(shù)Avg_Score0.84%6.64%-17.36%18.10%0.13 1.21 2736 0.4492 Avg_Score_Num0.79%5.39%-15.01%17.07%0.15 1.40 2736 0.4192 Avg_Score_

46、Num_Ex0.81%5.79%-14.11%16.02%0.14 1.34 2352 0.3992 Avg_Score_REL0.94%6.31%-14.98%17.66%0.15 1.42 2736 0.4992 Avg_Score_REL_Ex1.20%6.52%-14.35%19.05%0.18 1.77 2352 0.5892 Avg_Score_REL_T0.85%6.22%-15.29%18.15%0.14 1.31 2736 0.4492 Avg_Score_REL_T_Ex1.11%6.39%-14.68%19.26%0.17 1.67 2352 0.5492 Avg_Sco

47、re_T0.72%6.50%-17.56%18.42%0.11 1.06 2736 0.3792 圖：滬深300測(cè)試結(jié)果因子平均值標(biāo)準(zhǔn)差最小值最大值IC_IRt統(tǒng)計(jì)量平均股票數(shù)ICSqrt(N)有效期數(shù)Avg_Score1.87%8.42%-17.15%24.89%0.22 2.13 288 0.3292 Avg_Score_Num0.58%7.40%-20.70%21.38%0.08 0.75 288 0.1092 Avg_Score_Num_Ex0.42%7.20%-15.27%19.68%0.06 0.56 269 0.0792 Avg_Score_REL2.01%8.59%-18.83

48、%22.36%0.23 2.24 288 0.3492 Avg_Score_REL_Ex2.24%8.27%-16.14%22.03%0.27 2.59 269 0.3792 Avg_Score_REL_T2.30%8.45%-19.04%21.49%0.27 2.61 288 0.3992 Avg_Score_REL_T_Ex2.59%8.03%-16.64%21.34%0.32 3.09 269 0.4292 Avg_Score_T2.09%8.20%-17.22%23.08%0.26 2.45 288 0.3692 圖：中證500測(cè)試結(jié)果因子平均值標(biāo)準(zhǔn)差最小值最大值IC_IRt統(tǒng)計(jì)量平均

49、股票數(shù)ICSqrt(N)有效期數(shù)Avg_Score-0.26%8.16%-21.14%18.89%-0.03 -0.31 437 -0.0692 Avg_Score_Num1.06%7.99%-19.59%21.03%0.13 1.27 437 0.2292 Avg_Score_Num_Ex0.46%7.84%-15.23%22.27%0.06 0.57 372 0.0992 Avg_Score_REL-0.64%7.75%-20.96%16.33%-0.08 -0.79 437 -0.1392 Avg_Score_REL_Ex-0.46%8.24%-15.49%21.14%-0.06 -0.

50、53 372 -0.0992 Avg_Score_REL_T-0.60%7.51%-19.18%17.15%-0.08 -0.77 437 -0.1392 Avg_Score_REL_T_Ex-0.54%7.86%-16.30%20.11%-0.07 -0.66 372 -0.1092 Avg_Score_T-0.25%7.89%-20.98%18.83%-0.03 -0.31 437 -0.0592 測(cè)試結(jié)果回溯20D-半月調(diào)倉-IC圖：全體A股測(cè)試結(jié)果測(cè)試結(jié)果回溯20D-半月調(diào)倉-多空組合數(shù)據(jù)來源：Wind，招商證券研發(fā)中心- 25 -因子總收益率年化收益率波動(dòng)率Sharpe比率最大回撤率

51、Avg_Score75.10%15.73%7.11%2.21 10.23%Avg_Score_Num26.86%6.40%5.92%1.08 10.38%Avg_Score_Num_Ex23.92%5.75%5.92%0.97 7.86%Avg_Score_REL85.01%17.40%6.54%2.66 11.03%Avg_Score_REL_Ex96.58%19.27%6.87%2.81 10.67%Avg_Score_REL_T72.83%15.33%6.46%2.37 10.88%Avg_Score_REL_T_Ex86.17%17.59%6.88%2.56 11.42%Avg_Sco

52、re_T69.84%14.81%7.03%2.11 10.57%圖：滬深300測(cè)試結(jié)果因子總收益率年化收益率波動(dòng)率Sharpe比率最大回撤率Avg_Score64.39%13.84%9.95%1.39 8.90%Avg_Score_Num29.50%6.97%8.65%0.81 11.97%Avg_Score_Num_Ex-4.36%-1.16%8.97%-0.13 17.02%Avg_Score_REL53.34%11.79%10.22%1.15 12.44%Avg_Score_REL_Ex40.97%9.36%10.26%0.91 12.67%Avg_Score_REL_T58.35%12

53、.73%9.70%1.31 14.91%Avg_Score_REL_T_Ex56.07%12.31%9.86%1.25 11.16%Avg_Score_T91.11%18.40%9.76%1.89 7.77%圖：中證500測(cè)試結(jié)果因子總收益率年化收益率波動(dòng)率Sharpe比率最大回撤率Avg_Score7.43%1.89%10.20%0.18 12.68%Avg_Score_Num52.04%11.54%9.05%1.27 12.85%Avg_Score_Num_Ex6.79%1.73%9.17%0.19 18.54%Avg_Score_REL14.47%3.59%9.60%0.37 15.55

54、%Avg_Score_REL_Ex9.75%2.46%10.43%0.24 16.45%Avg_Score_REL_T19.88%4.84%9.60%0.50 12.33%Avg_Score_REL_T_Ex14.20%3.52%10.31%0.34 15.75%Avg_Score_T11.03%2.77%10.12%0.27 11.88%圖：全體A股測(cè)試結(jié)果數(shù)據(jù)來源：Wind，招商證券研發(fā)中心- 26 -因子平均值標(biāo)準(zhǔn)差最小值最大值IC_IRt統(tǒng)計(jì)量平均股票數(shù)ICSqrt(N)有效期數(shù)Avg_Score0.73%6.11%-20.02%15.14%0.12 1.68 2652 0.38196

55、 Avg_Score_Num0.76%5.31%-14.23%14.22%0.14 2.00 2652 0.39196 Avg_Score_Num_Ex0.70%5.54%-13.82%14.78%0.13 1.77 2262 0.33196 Avg_Score_REL0.82%5.74%-16.96%16.16%0.14 2.00 2652 0.42196 Avg_Score_REL_Ex1.08%5.88%-16.51%18.52%0.18 2.57 2262 0.51196 Avg_Score_REL_T0.63%5.57%-17.46%15.70%0.11 1.58 2652 0.32

56、196 Avg_Score_REL_T_Ex0.89%5.71%-17.05%18.29%0.16 2.17 2262 0.42196 Avg_Score_T0.51%5.91%-20.61%14.80%0.09 1.20 2652 0.26196 圖：滬深300測(cè)試結(jié)果因子平均值標(biāo)準(zhǔn)差最小值最大值IC_IRt統(tǒng)計(jì)量平均股票數(shù)ICSqrt(N)有效期數(shù)Avg_Score1.24%9.05%-25.16%25.50%0.14 1.92 286 0.21196 Avg_Score_Num0.65%6.80%-15.72%19.57%0.10 1.34 286 0.11196 Avg_Score_N

57、um_Ex0.59%6.76%-19.53%15.84%0.09 1.21 264 0.10196 Avg_Score_REL1.30%9.00%-19.07%24.29%0.14 2.02 286 0.22196 Avg_Score_REL_Ex1.29%8.85%-20.83%24.61%0.15 2.04 264 0.21196 Avg_Score_REL_T1.19%8.83%-19.41%22.34%0.13 1.89 286 0.20196 Avg_Score_REL_T_Ex1.16%8.74%-22.19%23.93%0.13 1.85 264 0.19196 Avg_Scor

58、e_T1.16%8.73%-23.66%21.68%0.13 1.87 286 0.20196 圖：中證500測(cè)試結(jié)果因子平均值標(biāo)準(zhǔn)差最小值最大值IC_IRt統(tǒng)計(jì)量平均股票數(shù)ICSqrt(N)有效期數(shù)Avg_Score0.36%7.63%-21.10%19.10%0.05 0.65 426 0.07196 Avg_Score_Num1.76%7.23%-21.07%20.72%0.24 3.40 426 0.36196 Avg_Score_Num_Ex1.21%7.26%-22.83%24.35%0.17 2.34 360 0.23196 Avg_Score_REL0.15%7.34%-19.

59、77%17.02%0.02 0.28 426 0.03196 Avg_Score_REL_Ex0.45%7.86%-18.68%20.24%0.06 0.79 360 0.08196 Avg_Score_REL_T0.15%7.12%-22.66%16.72%0.02 0.29 426 0.03196 Avg_Score_REL_T_Ex0.53%7.51%-21.53%20.09%0.07 1.00 360 0.10196 Avg_Score_T0.32%7.37%-24.55%17.07%0.04 0.60 426 0.07196 測(cè)試結(jié)果回溯20D-周度調(diào)倉-IC圖：全體A股測(cè)試結(jié)果測(cè)試

60、結(jié)果回溯20D-周度調(diào)倉-多空組合數(shù)據(jù)來源：Wind，招商證券研發(fā)中心- 27 -因子總收益率年化收益率波動(dòng)率Sharpe比率最大回撤率Avg_Score87.84%17.89%7.11%2.52 9.29%Avg_Score_Num25.29%6.06%5.67%1.07 10.22%Avg_Score_Num_Ex39.57%9.09%5.93%1.53 6.16%Avg_Score_REL94.68%19.00%6.52%2.91 10.47%Avg_Score_REL_Ex113.90%21.96%6.97%3.15 11.54%Avg_Score_REL_T70.60%14.97%6