多因子选股系列之反转因子全解析

1、2109eShiIIer1984.Bondt and ThaIer1985.Black1986.StigIitz1989,Subrahmanyam2005T a=t%,T&t%f;?i*)W.l*%4t%)J*&1tAJ(i,(i 0Ti8i0*Cl%201941ICT60.066,2019& J ICI 60.042,1ICIR2.98,ICIR2.32,&75%,1ANQ* JICJ 60.046,ICIR 1.90,IL75%1468%3100700K90K80K7060K50K OK30W20K10K OK?5?0.0481.181.602Z24/Q:65%64%7.2%0:48%0.

2、34%1:Z9%1.02%0.28%1:87.%1234-5878910015W133458789104.0t%t* *9ti”*6039.7729.7091.S595.8591.67938.86928.801.45%5.7991.67-20.60S13.22%0.95%5.1691.67%-21.01%12.810.93365.2091.67%32.0431.7691.2297.23100.00%31.99%31.7140.96%7.35100.00%46.4929.60%2.79%4.63100.00%46.76%29.87%2.74964.78100.0050.40411.399r3.2

3、09r1.6975.009r53.66914.65%2.2792.1275.00106.0363.82364.16364.4083.3336108.53%65.42%3.239+4.67100.0093.4621.24%1.34%5.6991.67%6.05923.83%1.296.11100.00617.3917.60%2.56%4.2391.67%17.449Lz.s4%2.2S364.2es1.6z-15.51%17.81%1.66%5.31100.00%-16.71%16.6141.18%5.06100.00%46.3719.99%4.37%2.9375.00%48.19P21.80%

4、3.24%3.2275.00%41.4020.5392.5592.8383.33942.39%21.52%2.S23.0491.67931.5615.98%3.75%2.3566.67%34.20%18.62%2.66962.7775.0036-17.43%6.10X0.95%4.96100.00X-17.206.32%1.15%5.30100.00%25.66%23.S4.37%4.0987.8426.41A24.S0/3.244.2991.22.lt f4A%J63fA 4:T.* f/ttltt3t4A6xt& R*=&T147.18471.08%5.22%3.0591.67%151.2

5、6975.16%4.44%3.3883.33910.0430.04%2.00$66.29100.00%11.09%31.09%1.58%6.39100.00%6.1723.539r1.889r5.9291.679r4.679L22.032.02%5.5891.67-13.S9923.28361.33366.35100.0035-14.89%21.9841.386+6.13100.00949.3623.69%5.13%3.2175.00%54.60928.93%3.923.8975.0047.2427.854.293.277S.0047.279L27.88%3.33%3.3183.33P27.927.40P7.6890.7350.00935.69915.17%5.14%1.6558.33%-10.78958.63%1.40%5.32100.00%-18.88%9.53%1.37365.6910