金融工程专题研究：健型选股策略探析

Quantitative Models and Construction Methods Models - Model Name: Capital Asset Pricing Model (CAPM) Construction Idea: Explores the positive relationship between expected return and risk based on Markowitz's mean-variance theory Construction Process: Formula: $ E(R_{i})=R_{f}+\beta_{i}\cdot(E(R_{m})-R_{f}) $ - $ E(R_{i} $ represents the expected return of asset $ i $ - $ R_{f} $ is the risk-free rate - $ \beta_{i} $ measures the risk exposure of asset $ i $ to the market - $ E(R_{m}) $ is the expected market return Evaluation: CAPM provides a theoretical basis for the "high risk, high return" concept but is challenged by empirical observations showing high returns may not always accompany high risks[16][17] Factors - Factor Name: Low Volatility, Low Valuation, Low Turnover, High Dividend Construction Idea: Derived from the characteristics of high real investor returns funds, aiming to identify stocks with stable growth and low risk Construction Process: - Low Volatility: $ Vol240 = \text{Standard deviation of daily returns over 240 days} $ - Low Valuation: Includes $ EPQ = \text{Quarterly net profit/market cap} $, $ EBIT2EV = \text{Quarterly EBIT/(market cap + interest-bearing debt)} $, $ SPQ = \text{Quarterly revenue/market cap} $ - Low Turnover: $ Turn240 = \text{Rolling average of daily turnover rate over 240 days} $ - High Dividend: $ DivLYR = \text{Annual cash dividend (pre-tax)/market cap} $ Evaluation: These factors exhibit certain stock selection capabilities in the A-share market, with valuation and volatility factors performing particularly well[3][62][63] Composite Factor - Factor Name: Stable Composite Factor Construction Idea: Combines low volatility, low valuation, low turnover, and high dividend factors to create a stable stock pool Construction Process: - Sample Space: Combines constituents of CSI 800 and CSI 1000 indices - Composite Factor: Equal-weighted combination of the four factors - Stock Selection: Selects top 300 stocks based on composite factor rankings at the end of each month Evaluation: The stable stock pool demonstrates stable net value growth, lower drawdowns, and higher innovation capabilities compared to benchmarks like CSI 800 Total Return Index[65][67][73] Enhanced Composite Factor - Factor Name: Enhanced Composite Factor Construction Idea: Enhances the stable stock pool using additional factors like momentum, growth, analyst expectations, dividend yield, and high-frequency data Construction Process: - Momentum: $ High240 = \text{(Closing price/Highest price in the past year) - 1} $ - Analyst Expectations: $ NPAdjustRate3M = \text{Average upward adjustment of net profit expectations over 3 months} $ - Growth: Includes $ SUE = \text{(Actual quarterly net profit - expected net profit)/standard deviation of expected profit growth} $, $ DeltaROE = \text{Quarterly ROE - ROE of the same quarter last year} $ - Dividend Yield: $ DivLYR = \text{Annual cash dividend (pre-tax)/market cap} $ - High-Frequency Factor: $ VolumeRatioSelect = \text{Composite factor based on large and long orders} $ Evaluation: Enhanced composite factor achieves high RankIC mean (7.83%) and annual RankICIR (1.64), indicating strong stock selection capabilities[77][78][79] --- Backtesting Results of Models and Factors Models - CAPM: Empirical observations show that high returns may not always accompany high risks, challenging the theoretical basis of CAPM[21][28] Factors - Low Volatility: RankIC mean 5.89%, annual ICIR 1.05, RankIC win rate 62.36%, long portfolio monthly excess return 0.04%, short portfolio monthly excess return -0.56%[63] - Low Valuation (EPQ): RankIC mean 5.14%, annual ICIR 1.41, RankIC win rate 64.04%, long portfolio monthly excess return 0.49%, short portfolio monthly excess return -0.45%[63] - Low Turnover: RankIC mean 3.63%, annual ICIR 0.70, RankIC win rate 61.24%, long portfolio monthly excess return 0.08%, short portfolio monthly excess return -0.27%[63] - High Dividend: RankIC mean 2.76%, annual ICIR 0.83, RankIC win rate 58.99%, long portfolio monthly excess return 0.14%, short portfolio monthly excess return 0.01%[63] Composite Factor - Stable Stock Pool: Annualized return 13.81%, annualized excess return over CSI 800 Total Return Index 7.31%, cumulative innovation high days 191, maximum drawdown 45.71%, net value volatility 22.60%[73][75][76] Enhanced Composite Factor - Enhanced Composite Factor: RankIC mean 7.83%, annual RankICIR 1.64, long portfolio monthly excess return 0.84%, short portfolio monthly excess return -0.81%[79][80] - Stable Selected Portfolio: Annualized return 26.53%, annualized excess return over CSI Red Dividend Total Return Index 15.14%, cumulative innovation high days 338, maximum drawdown 37.73%, net value volatility 6.65%[99][100][107]