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hugo2046 avatar hugo2046 commented on May 17, 2024

你好 我回测使用的日度，而金工报告使用的月度轮动，可能是这里造成的差异

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yuhuan1981 avatar yuhuan1981 commented on May 17, 2024

你好，我看了一下你的是用20日的方差来进行回测，金工报告中或许是直接用了月度数据一次方差来做的。不过我觉得主要不同是在于IC的值，广发的ST系列都是负相关，但是你目前的结果看起来负相关不是很明显。

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hugo2046 avatar hugo2046 commented on May 17, 2024

广发的跟其他几家貌似都不一样 广发的比较奇怪

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yuhuan1981 avatar yuhuan1981 commented on May 17, 2024

球队硬币因子的表现就好很多，其实STR和这里理论是有相似的。

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hugo2046 avatar hugo2046 commented on May 17, 2024

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