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估值偏离EPD因子5分组及多空对冲净值走势(2010/02-2025/10)
估值偏离EPD因子5分组及多空对冲净值走势(2010/02-2025/10)
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所属报告:
【东吴证券】金工定期报告:估值异常因子绩效月报-251106(7页).pdf
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表11 2019~2023年澳大利亚EPD统计数据
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估值偏离EPD因子5分组及多空对冲净值走势(2010/02-2025/11)
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2025-12-05
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估值偏离EPD因子5分组及多空对冲净值走势(2010/02-2025/09)
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行业数据
2025-10-24
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2010 年 2 月至 2025 年 10 月,估值偏离 EPD 因子在全体 A 股(剔除北交所股票,下同)中,5 分组多空对冲的年化收益为 17.46%,年化波动为 9.92%,信息比率为 1.76,月度胜率为 70.37%,月度最大回撤为 8.93%;缓慢偏离 EPDS 因子在全体 A 股中,5 分组多空对冲的年化收益为 16.03%,年化波动为 5.74%,信息比率为 2.79,月度胜率为78.31%,月度最大回撤为 3.10%;估值异常 EPA 因子在全体 A 股中,5 分组多空对冲的年化收益为 17.15%,年化波动为 5.16%,信息比率为 3.33,月度胜率为 80.42%,月度最大回撤为 3.12%。
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【东吴证券】金工定期报告:估值异常因子绩效月报-251106(7页).pdf
估值异常系列因子5分组多空对冲绩效指标(2010/02-2025/10)
估值异常EPA因子多头净值10月走势
估值异常EPA因子5分组及多空对冲净值走势(2010/02-2025/10)
缓慢偏离EPDS因子5分组及多空对冲净值走势(2010/02-2025/10)
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