前几天看到果仁网上一篇因子策略收益统计,写了41个常用因子的月度收益分析,由于因子组合通常可以组成超额收益率,或者降低风险等等。组合的合适与否取决于因子之间的相关性分析,闲着无事,做了一下各因子收益之间的相关性,使用工具ecxel,结果如下:大家可以通过根据不同的两两组合找到两个不同因子的收益相关性参数,参数越小,越不相关性。

统计性描述如下:


上证指数

5年资产回报率(从大到小)

5年净资产收益率(从大到小)

资产回报率(从大到小)

历史贝塔(从小到大)

净资产收益率(从大到小)

利润总额增长(从大到小)

净资产增长(从大到小)

营业利润率(从大到小)

市现率(从小到大)

总资产周转率(从大到小)

成交量(从小到大)

分析师情绪指数(从大到小)

总资产增长(从小到大)

5年净资产收益率(从小到大)

次新

销售净利率(从大到小)

营业利润增长(从大到小)

EV_EBITDA(从小到大)

净利润增长(从大到小)

预期营收增长(从大到小)

毛利润增长(从大到小)

净资产增长(从小到大)

股息率(从大到小)

成交额(从小到大)

预期盈利增长(从大到小)

策略月度平均收益

市盈率(从小到大)

产权比率(从大到小)

市净率(从小到大)

存货周转率(从大到小)

营业收入增长(从大到小)

市销率(从小到大)

销售毛利率(从大到小)

60日涨幅(从小到大)

日均成交价(从小到大)

收盘价(从小到大)

流动比率(从大到小)

负债资产率(从小到大)

产权比率(从小到大)

流通市值(从小到大)

总市值(从小到大)

上证指数

100%










































5年资产回报率(从大到小)

83%

100%









































5年净资产收益率(从大到小)

86%

97%

100%








































资产回报率(从大到小)

71%

94%

89%

100%







































历史贝塔(从小到大)

71%

90%

86%

91%

100%






































净资产收益率(从大到小)

79%

97%

95%

97%

89%

100%





































利润总额增长(从大到小)

80%

96%

95%

93%

90%

96%

100%




































净资产增长(从大到小)

72%

93%

89%

94%

89%

95%

92%

100%



































营业利润率(从大到小)

94%

92%

92%

85%

82%

90%

91%

87%

100%


































市现率(从小到大)

75%

95%

92%

96%

93%

95%

95%

94%

89%

100%

































总资产周转率(从大到小)

82%

96%

95%

92%

89%

95%

96%

92%

92%

94%

100%
































成交量(从小到大)

65%

86%

81%

91%

94%

88%

86%

89%

81%

93%

86%

100%































分析师情绪指数(从大到小)

82%

96%

93%

93%

89%

94%

97%

92%

93%

95%

94%

88%

100%






























总资产增长(从小到大)

79%

94%

93%

90%

91%

93%

96%

90%

90%

94%

95%

87%

94%

100%





























5年净资产收益率(从小到大)

78%

93%

92%

88%

89%

92%

95%

90%

89%

93%

94%

84%

93%

98%

100%




























次新

52%

76%

70%

89%

79%

82%

78%

78%

65%

85%

75%

85%

80%

74%

71%

100%



























销售净利率(从大到小)

87%

96%

94%

92%

89%

95%

96%

93%

97%

95%

96%

87%

97%

94%

93%

75%

100%


























营业利润增长(从大到小)

82%

96%

95%

94%

91%

97%

99%

93%

92%

95%

96%

88%

97%

97%

95%

78%

96%

100%

























EV_EBITDA(从小到大)

94%

84%

89%

70%

69%

81%

82%

74%

92%

75%

85%

63%

81%

82%

83%

46%

86%

83%

100%
























净利润增长(从大到小)

80%

93%

92%

88%

89%

91%

95%

88%

89%

93%

96%

84%

94%

96%

96%

72%

94%

95%

84%

100%























预期营收增长(从大到小)

78%

95%

93%

93%

90%

94%

96%

93%

89%

96%

94%

88%

95%

95%

94%

78%

95%

96%

77%

93%

100%






















毛利润增长(从大到小)

84%

95%

95%

91%

89%

94%

97%

91%

94%

93%

94%

85%

95%

96%

95%

73%

96%

97%

86%

94%

95%

100%





















净资产增长(从小到大)

79%

92%

92%

86%

87%

91%

94%

89%

89%

91%

95%

84%

92%

96%

98%

69%

93%

94%

84%

96%

93%

94%

100%




















股息率(从大到小)

95%

85%

88%

72%

67%

80%

81%

75%

93%

75%

84%

63%

83%

80%

80%

50%

87%

82%

96%

82%

78%

85%

80%

100%



















成交额(从小到大)

73%

89%

86%

88%

94%

89%

89%

90%

86%

92%

91%

95%

89%

92%

90%

72%

90%

90%

75%

90%

90%

89%

90%

71%

100%


















预期盈利增长(从大到小)

77%

95%

92%

93%

93%

94%

97%

92%

89%

96%

95%

90%

96%

96%

96%

79%

95%

97%

77%

94%

98%

95%

94%

77%

92%

100%

















策略月度平均收益

84%

98%

95%

95%

93%

97%

98%

95%

94%

97%

97%

91%

98%

97%

96%

80%

98%

98%

84%

96%

97%

97%

95%

84%

93%

97%

100%
















市盈率(从小到大)

94%

72%

79%

57%

54%

69%

69%

62%

86%

61%

71%

50%

70%

68%

69%

36%

76%

70%

94%

69%

63%

75%

70%

93%

61%

63%

72%

100%















产权比率(从大到小)

91%

90%

92%

81%

81%

88%

90%

84%

95%

86%

92%

77%

90%

91%

92%

63%

94%

90%

93%

91%

87%

93%

93%

91%

84%

87%

93%

87%

100%














市净率(从小到大)

93%

73%

79%

57%

58%

69%

72%

63%

87%

64%

75%

51%

73%

72%

73%

37%

79%

73%

95%

75%

66%

77%

75%

94%

63%

66%

75%

95%

89%

100%













存货周转率(从大到小)

80%

95%

92%

92%

92%

93%

95%

94%

91%

95%

95%

88%

95%

93%

91%

77%

94%

95%

79%

93%

94%

93%

90%

80%

90%

93%

97%

66%

88%

70%

100%












营业收入增长(从大到小)

80%

96%

95%

94%

92%

96%

98%

92%

91%

96%

95%

88%

96%

96%

95%

78%

96%

98%

81%

94%

95%

98%

93%

81%

90%

96%

98%

69%

90%

71%

95%

100%











市销率(从小到大)

94%

84%

88%

70%

72%

81%

83%

74%

91%

76%

86%

65%

84%

83%

83%

50%

87%

84%

96%

85%

78%

86%

84%

94%

75%

78%

86%

91%

93%

96%

81%

82%

100%










销售毛利率(从大到小)

72%

92%

85%

95%

93%

92%

92%

94%

87%

94%

90%

91%

92%

89%

88%

80%

93%

92%

69%

87%

93%

90%

85%

71%

90%

93%

94%

56%

80%

58%

94%

93%

70%

100%









60日涨幅(从小到大)

76%

92%

89%

88%

82%

91%

94%

90%

89%

90%

91%

82%

92%

89%

89%

74%

92%

92%

78%

89%

92%

92%

89%

78%

85%

92%

93%

67%

85%

68%

89%

92%

77%

89%

100%








日均成交价(从小到大)

90%

75%

80%

61%

66%

71%

74%

66%

84%

67%

77%

56%

75%

76%

76%

41%

78%

76%

93%

80%

68%

79%

77%

91%

67%

69%

78%

89%

87%

94%

73%

74%

95%

62%

67%

100%







收盘价(从小到大)

89%

75%

80%

61%

65%

71%

73%

66%

84%

66%

76%

55%

74%

76%

76%

41%

78%

75%

93%

80%

67%

78%

77%

91%

67%

69%

77%

89%

87%

94%

73%

73%

95%

61%

67%

100%

100%






流动比率(从大到小)

66%

91%

84%

94%

91%

91%

91%

95%

83%

95%

89%

93%

92%

88%

87%

83%

90%

91%

64%

87%

93%

88%

85%

67%

90%

92%

94%

51%

78%

53%

95%

92%

67%

97%

88%

57%

57%

100%





负债资产率(从小到大)

67%

91%

85%

94%

92%

91%

92%

95%

84%

96%

90%

93%

92%

89%

88%

82%

91%

92%

65%

88%

93%

88%

86%

67%

90%

93%

94%

51%

79%

54%

95%

92%

67%

97%

88%

58%

57%

99%

100%




产权比率(从小到大)

67%

91%

85%

94%

92%

91%

91%

95%

83%

95%

90%

93%

91%

89%

87%

82%

91%

91%

65%

87%

93%

88%

85%

67%

90%

93%

94%

51%

78%

53%

95%

92%

67%

97%

87%

57%

57%

99%

100%

100%



流通市值(从小到大)

54%

81%

73%

91%

82%

84%

82%

83%

70%

89%

80%

89%

84%

79%

78%

93%

79%

81%

51%

77%

82%

76%

76%

56%

78%

83%

85%

39%

68%

41%

82%

82%

55%

85%

76%

45%

45%

88%

88%

88%

100%


总市值(从小到大)

65%

89%

84%

89%

88%

90%

90%

89%

81%

92%

90%

89%

88%

92%

92%

78%

88%

90%

70%

90%

91%

89%

90%

69%

89%

92%

93%

54%

82%

58%

88%

91%

70%

88%

85%

63%

63%

91%

91%

91%

88%

100%

从中位数(89)看,一半以上的两两因子的收益是强相关性的。

相关性分层数据如下表:

收益相关性分析汇总



平均

0.846899648

标准误差

0.003988927

中位数

0.890277725

众数

#N/A

标准差

0.117046295

方差

0.013699835

峰度

1.676620913

偏度

-1.379617507

区域

0.640456813

最小值

0.359315641

最大值

0.999772454

求和

729.1805968

观测数

861

置信度(40.0%)

0.002092571

低相关性(即相关性参数在30%-40%)的组合只有三个,分别是次新与市盈率(从小到大)组合,次新与市净率(从小到大)组合,市盈率(从小到大)与流通市值(从小到大)组合。

30%-40%(不含40%)

3

40%-50%(不含50%)

9

50%-60%(不含60%)

31

60%-70%(不含70%)

65

70%-80%(不含80%)

125

80%-90%(不含90%)

225

90%-100%(不含100%)

406

合计

864


综上所述,上述因子大部分之间的收益性还是强相关关系,我们如果要找到弱相关关系的因子,还需要开发更多的因子。


也不知道说得对不对,权当看过笑笑。