| 收益指标(年) | 调整频率 | |||
| 1个月 | 3个月 | 6个月 | ||
| 市值加权组合 | 等权重组合 | 等权重组合 | 等权重组合 | |
| 平均收益 | 0.1751 | 0.3494 | 0.3404 | 0.3460 |
|
| (0.0000) | (0.0000) | (0.2100) | |
| 系统性收益(单因子) | 0.2170 | 0.2257 | 0.2303 | 0.2207 |
|
| (0.0742) | (0.0690) | (0.0740) | |
| 单因子alpha | −0.0419 | 0.1237 | 0.1101 | 0.1252 |
|
| (0.0000) | (0.0000) | (0.2540) | |
| 系统性收益(三因子) | 0.1658 | 0.2198 | 0.2537 | 0.2867 |
|
| (0.0070) | (0.0000) | (0.0070) | |
| 三因子alpha | 0.0093 | 0.1296 | 0.0867 | 0.0593 |
|
| (0.0000) | (0.0000) | (0.0000) | |
| 超额表现频率 | - | 0.6880 | 0.6710 | 0.6930 |
|
| (0.0000) | (0.0000) | (0.0000) | |