您的浏览器禁用了JavaScript(一种计算机语言,用以实现您与网页的交互),请解除该禁用,或者联系我们。[中信期货]:金融工程周报:因子分化延续,长期反转因子较优 - 发现报告
当前位置:首页/其他报告/报告详情/

金融工程周报:因子分化延续,长期反转因子较优

2022-03-22中信期货如***
金融工程周报:因子分化延续,长期反转因子较优

!! !!"!!#"$#!!%"#$%&'()*+,-./01234*156-789:;<=>?@AB*156CD*-789:;EFGH9:IJEKLMNOPQRSTU'()-VW12>'()XYZ[\]^_E?`@abcdEeKfg>hicjkFlmPRnSOo'()pqrstluvFCDwxyzIJE9:{|}>!投资咨询业务资格: 证监许可【2012】669号 !!1001201401601802002202401031051071091111131151172021-05-242021-06-072021-06-222021-07-062021-07-202021-08-032021-08-172021-08-312021-09-142021-09-302021-10-212021-11-042021-11-182021-12-022021-12-162021-12-302022-01-142022-01-282022-02-182022-03-042022-03-18中信期货商品指数走势中信期货十年期国债期货指数中信期货沪深300股指期货指数中信期货商品指数!"#$%&!!"#$%&'%021-60812988 zhangge@citicsf.com ()*+,-.//0.11%2*34,5//6/789%%!!"#$%&'()*+,-.! !"# $%&'()*+,- (./0) #12*+3456789:;56789:456'<9,-$=>Barra?@*+AB3Clong_term_relative_strength (DEFGHI):daily_std(J789KLM):hist_sigma(NOPMQR9) ,-$=>STUV/WXYZ*+AB3Calpha053([<\) :alpha021 (]^\) :alpha006 (]^\) ,-$=> )*+_`abcd(,-#efgh$%ijk$%lj(mnCo?@p\qSrst)*+_`bd(,->d'uvwxyz{|C}m3~&/0ÄmyÅÇÉ78>ÑÖ*+ÜáC?@*+ÜàâäãRCåEdçéèê(ëíCìîêïèñó(eòôICöõ?@úù>12*+ÜáC%&'RankICûü†°¢£/E>$%ij(§•¶ß®tC©™ ́ ̈≠R6Æ(-Ø∞±≤≥D9*+¥éμ∂(∑à∏™π∫>ªDEºΩC;56;æøk456;78¥ú®(∑à¿¡¬(∏™π∫C√8ƒm≈∆Éà∏™π∫>DEdì≥«»...12\*+> 3~&/0(*+,-#_30 &/03Cd'ÀÃ6/0,-$=C12ABÕŒœ;æ9,-$=CBarraABÕmonthly_share_turnover (–—“9),-$=CSTABÕalpha049 ([<\),-$=”‘’/0,-$MC12ABÕ;56;æ9,-$=CBarraABÕhist_beta (NO÷◊) ,-$=CSTABÕalpha028 ([<\) ,-$=> ÿŸ⁄¤‹12*+AB:Barra?@*+ABk101ST*+AB3$%&'()*+,->d'12*+}m›[àÄKC¿∏™π∫»=>d'fi∞?@*+fl—CDE[<\*+∏™π∫»HC}m*+,-‡...C*+e·ôI‚„®‰>d'uvwxyz{|C}m3~&/0ÄmyÅÇÉ78>¿?@*+ÜàâäãRCåEdçéèê(ëíCìîêïèñó(eòôICöõ?@úù>!ÂÊ"ÁË!"#$%&'()*+!",-! ''()*+!"#$,-!!' .'/'01 ! " !"# ........................................................................................................................................................................ 1 &: $%&'()*+,- ................................................................................................................................... 3 È&Í 12*+,- ..................................................................................................................................... 3 ÈÎÍ Barra?@*+,- ............................................................................................................................ 4 ÈlÍ STUV/WXYZ*+,- ............................................................................................................ 5 Î: 3~&/0()*+,- ........................................................................................................................... 6 È&Í 12*+,- ..................................................................................................................................... 6 ÈÎÍ Barra?@*+,- ............................................................................................................................ 7 ÈlÍ STUV/WXYZAB*+,- .................................................................................................... 8 l: )*+_`abcd(,- ........................................................................................................................... 9 È&Í12\*+,- ....................................................................................................................................... 9 ÈÎÍÑÖ\*+,- ..................................................................................................................................... 11 ÏÌ1#Barra(p\?@*+AB – *+ÓÔÜT ......................................................................................... 13 ÏÌ2#STUV/WXYZ*+AB – *+ÓÔÜT ..................................................................................... 14 ÏÌ3#STUV/WXYZ*+AB – ghÒ&Ú ..................................................................................... 15 ÏÌ4#)*+ÛÖÜT ........................................................................................................................................ 16 Ùıˆú ................................................................................................................................................................... 17 #!" ̃, 1# 12*+RankIC ̄† - ./0 .......................................................................................................... 3 ̃, 2# 12*+RankIC_IR – ./0 .............................................................................................................. 3 ̃, 3# Barra?@*+RankIC ̄† - ./0 ................................................................................................ 4 ̃, 4# Barra?@*+RankIC_IR - ./0 ..................................................................................................... 4 ̃, 5# STUV/WXYZ*+RankIC ̄† – ./0 ................................................................................ 5 ̃, 6# STUV/WXYZ*+RankIC_IR – ./0 ..................................................................................... 5 ̃, 7# 12*+,-È3~&/0Í ........................................................................................................ 6 ̃, 8# Barra?@*+,-È3~&/0Í ...................................