海外文献推荐系列之八十三：西学东渐.docx

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1、目录1、引言.-3-2、因子数据..............................................................................................................-5-2.1因子样本..........................................................................................................-5-2.2因子一览..............................

2、............................................................................-6-3、因子动量..............................................................................................................-7-3.1因子持续性............................................................................

3、..........................-7-3.2时序因子动量..................................................................................................-7-3.3横截面因子动量............................................................................................-10-3.4因子动量、权益动量、行业动量....................

4、............................................-10-4、动量策略的组合................................................................................................-13-5、可行性................................................................................................................-15-6、全球

5、市场上的因子动量....................................................................................-16-7、结论....................................................................................................................-19-8、附录..........................................................

6、..........................................................-20-图表1、因子样本内表现统计.................................................................................-6-图表2、因子收益一阶自相关系数.........................................................................-7-图表3、单因子时间序列动量alpha收益（回溯期为一个月）...

7、........................-8-图表4、TSFM策略表现..........................................................................................-9-图表5、CSFM策略表现........................................................................................-10-图表6、动量策略累计收益..................................

8、..........................