金工定期报告：估值异常因子绩效月报

• Factor Name: EPD (Valuation Deviation Factor) - Construction Idea: Combining the Bollinger Bands mean reversion strategy commonly used in the CTA field with the logic of fundamental valuation repair, utilizing the mean reversion characteristics of the PE valuation indicator[3][11] - Construction Process: 1. Use the mean reversion characteristics of the PE valuation indicator to construct the EPD factor 2. Exclude the probability of individual stock valuation logic changes in the cross-section using the EPD factor, represented by the individual stock information ratio, to construct the EPDS factor 3. Finally, exclude the Beta, growth, and value styles that affect the "valuation anomaly" logic to obtain the EPA factor[3][11] - Evaluation: The EPD factor effectively captures valuation deviations and provides a robust performance in backtesting[3][11] - Factor Name: EPDS (Slow Deviation Factor) - Construction Idea: Exclude the probability of individual stock valuation logic changes in the cross-section using the EPD factor, represented by the individual stock information ratio[3][11] - Construction Process: 1. Use the EPD factor to exclude the probability of individual stock valuation logic changes 2. Construct the EPDS factor based on the remaining data[3][11] - Evaluation: The EPDS factor provides a more stable performance by excluding stocks with changing valuation logic[3][11] - Factor Name: EPA (Valuation Anomaly Factor) - Construction Idea: Exclude the Beta, growth, and value styles that affect the "valuation anomaly" logic to obtain the EPA factor[3][11] - Construction Process: 1. Exclude the Beta, growth, and value styles that affect the "valuation anomaly" logic 2. Construct the EPA factor based on the remaining data[3][11] - Evaluation: The EPA factor shows strong performance in backtesting, with high information ratio and low maximum drawdown[3][11] Factor Backtesting Results - EPD Factor - Annualized Return: 17.64%[1][12][20] - Annualized Volatility: 9.83%[1][12][20] - IR: 1.80[1][12][20] - Monthly Win Rate: 71.35%[1][12][20] - Maximum Drawdown: 8.93%[1][12][20] - EPDS Factor - Annualized Return: 16.20%[1][12][20] - Annualized Volatility: 5.62%[1][12][20] - IR: 2.88[1][12][20] - Monthly Win Rate: 79.21%[1][12][20] - Maximum Drawdown: 3.10%[1][12][20] - EPA Factor - Annualized Return: 17.15%[2][12][20] - Annualized Volatility: 5.05%[2][12][20] - IR: 3.39[2][12][20] - Monthly Win Rate: 81.46%[2][12][20] - Maximum Drawdown: 3.12%[2][12][20] November Performance of EPA Factor - Long Portfolio Return: 5.14%[2][23] - Short Portfolio Return: 4.44%[2][23] - Long-Short Portfolio Return: 0.70%[2][23]