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圖46.全市場股票池下CFP分位點因子RankIC統計-行業數據

圖46.全市場股票池下CFP分位點因子RankIC統計
圖46.全市場股票池下CFP分位點因子RankIC統計
下面我們對時序估值因子—CFP（單季度）分位點進行測試。圖 46 展示了 2010 年以來全市場范圍內 CFP 分位點因子的 Rank IC 以及 Rank IC 累計走勢，通過計算，CFP 分位點因子 Rank IC 均值為 0.20%，年化 Rank ICIR 0.23。
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圖46.全市場股票池下CFP分位點因子RankIC統計_第1頁
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圖46.全市場股票池下CFP分位點因子RankIC統計_第2頁
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圖46.全市場股票池下CFP分位點因子RankIC統計_第10頁
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圖46.全市場股票池下CFP分位點因子RankIC統計_第11頁
圖46.全市場股票池下CFP分位點因子RankIC統計_第12頁
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圖46.全市場股票池下CFP分位點因子RankIC統計_第13頁
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圖46.全市場股票池下CFP分位點因子RankIC統計_第14頁
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圖46.全市場股票池下CFP分位點因子RankIC統計_第23頁
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圖46.全市場股票池下CFP分位點因子RankIC統計_第24頁
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圖46.全市場股票池下CFP分位點因子RankIC統計_第25頁
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圖46.全市場股票池下CFP分位點因子RankIC統計_第26頁
圖46.全市場股票池下CFP分位點因子RankIC統計_第27頁
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圖46.全市場股票池下CFP分位點因子RankIC統計_第45頁
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
圖46.全市場股票池下CFP分位點因子RankIC統計_第46頁
圖46.全市場股票池下CFP分位點因子RankIC統計_第47頁
fCDlm6DlrZAgICAgICAgfCDogqHnpajmsaAgICAgICAgICAgIHwgUmFuayBJQ+Wdh+WAvCB8IFJhbmsgSUNJUiB8IOWkmuepuuaUtuebiiB8IOWIhue7hOaUtuebiue7n+iuoSB8IFJhbmsgSUPntK/orqEgfAp8LS0tLS0tLS0tLS0tfC0tLS0tLS0tLS0tLS0tLS0tLXwtLS0tLS0tLS0tLS0tfC0tLS0tLS0tLS0tfC0tLS0tLS0tLS18LS0tLS0tLS0tLS0tLS18LS0tLS0tLS0tLS0tLXwKfCBDRlAgICAgICAgIHwg5YWo5biC5Zy6ICAgICAgICAgICB8IDAuODElICAgICAgIHwgMC45MiAgICAgIHwgMi40OCUgICAgfCAgICAgICAgICAgICAgfCAgICAgICAgICAgICB8CnwgICAgICAgICAgICB8IOWJlOmZpEZDRkU8MOS4quiCoSAgIHwgMS43NSXvvIjihpHvvIkgIHwgMC42Ne+8iOKGk++8iSB8IDQuNjkl77yI4oaR77yJfCAgICAgICAgICAgICAgfCAgICAgICAgICAgICB8CnwgQ0ZQ5YiG5L2N54K5ICB8IOWFqOW4guWcuiAgICAgICAgICAgfCAwLjIwJSAgICAgICB8IDAuMjMgICAgICB8IDIuMzElICAgIHwgICAgICAgICAgICAgIHwgICAgICAgICAgICAgfAp8ICAgICAgICAgICAgfCDliZTpmaRGQ0ZFPDDkuKrogqEgICB8IDEuNDYl77yI4oaR77yJICB8IDAuNjnvvIjihpHvvIkgfCA2LjkxJe+8iOKGke+8iXwgICAgICAgICAgICAgIHwgICAgICAgICAgICAgfAoK6LWE5paZ5p2l5rqQ77yaV2luZO+8jOWbveaKleivgeWIuOeglOeptuS4reW/gw==
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所屬報告： 估值指標再審視：PB-ROE策略框架系列之一-240928（50頁）.pdf
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