单因子回测 (Single Factor Strategy)

 

Table 1 Annualized Sharpe (Report date: 10/30/2019)


Table 2: Max Drawdown(Report date: 10/30/2019)



研究结果来自论文Kewei Hou, Fang Qiao, and Xiaoyan Zhang(2019), Finding Anomalies in China.
* Detailed Results can be seen in the working paper: 
Kewei Hou, Fang Qiao, and Xiaoyan Zhang(2019), Finding Anomalies in China.  
* 数据仅用于学术研究,详情请邮件联系:xinyuanfintech@pbcsf.tsinghua.edu.cn
* Please contact us through 
xinyuanfintech@pbcsf.tsinghua.edu.cn for more information