Quantitative Models and Construction Methods - Model Name: Central SOE Quantitative Selection Strategy Construction Idea: Combine seven dimensions including dividend, valuation, volatility, sentiment, company performance, risk resistance, and ESG to select effective factors for scoring and stock selection among central SOEs [6][7][13] Construction Process: - Factors include: - Dividend dimension: Dividend yield (TTM) = Cash dividend per share over the past 12 months divided by stock price [7] - Valuation dimension: PE ratio (TTM) = Market capitalization / Net profit attributable to parent company shareholders (TTM) [7] - Company performance: Net profit growth rate = (Current period - Same period last year) / ABS(Same period last year) * 100% [7] - ROE (TTM) = Net profit attributable to parent company shareholders (TTM) / Shareholders' equity attributable to parent company [7] - Revenue = Main business revenue + Other business revenue [7] - Risk resistance: - Short-term solvency (Cash flow ratio) = Net cash flow from operating activities / Current liabilities [7] - Long-term solvency (Interest coverage ratio) = EBIT / Interest expense [7] - Volatility dimension: 24-month volatility = Standard deviation of monthly stock returns over the past 24 months [7] - Sentiment dimension: Trading volume over the past month [7] - ESG dimension: Wind ESG comprehensive score [7] - Scoring weights: Dividend yield (TTM): PE ratio (TTM): Volatility: Trading volume: Net profit growth rate: Cash flow ratio: Interest coverage ratio = 1:1:1:1:1:0.5:0.5 [13] - Monthly rebalancing of portfolio with 20 selected stocks [13] Evaluation: Factors such as dividend yield, PE ratio, volatility, and trading volume show strong correlation with future returns of central SOEs. Financial report-related factors like net profit, cash flow ratio, and interest coverage ratio have lower correlation due to quarterly data [7] - Model Name: "Belt and Road + SOE" Strategy Construction Idea: Focus on ROE and net profit growth factors due to poor performance of PE ratio factor in Belt and Road SOEs [20] Construction Process: - Scoring weights: Dividend yield (TTM): ROE: Net profit growth rate: Cash flow ratio: Interest coverage ratio = 1:1:1:0.5:0.5 [20] - Monthly rebalancing of portfolio with 10 selected stocks [20] Evaluation: ROE and net profit growth factors perform better in Belt and Road SOEs, while PE ratio factor shows "low valuation trap" [20] - Model Name: "Digital Economy + SOE" Strategy Construction Idea: Emphasize ROE and net profit growth factors due to their strong performance in digital economy SOEs [24] Construction Process: - Scoring weights: Dividend yield (TTM): PE ratio (TTM): Trading volume: ROE: Net profit growth rate: Cash flow ratio: Interest coverage ratio = 1:1:1:1:1:0.5:0.5 [24] - Monthly rebalancing of portfolio with 10 selected stocks [24] Evaluation: ROE and net profit growth factors perform well, with high dividend yield stocks like China Mobile and China Telecom included [24] - Model Name: "National Security + SOE" Strategy Construction Idea: Exclude volatility factor due to poor performance and add ESG factor for national security SOEs [30] Construction Process: - Scoring weights: Dividend yield (TTM): PE ratio (TTM): Trading volume: ROE: ESG = 1:1:1:1:2 [30] - Monthly rebalancing of portfolio with 10 selected stocks [30] Evaluation: ESG factor performs well, with high scores for companies like China Mobile and China Shenhua [30] - Model Name: "Banking + SOE" Strategy Construction Idea: Add revenue factor for banking SOEs [35] Construction Process: - Scoring weights: Dividend yield (TTM): PE ratio (TTM): Revenue: ROE = 1.5:1.5:1:1 [35] - Monthly rebalancing of portfolio with 5 selected stocks [35] Evaluation: Revenue factor added to improve model performance, with high ROE stocks like Hangzhou Bank included [35] Model Backtesting Results - Central SOE Quantitative Selection Strategy: - Annualized return: 15.28% - Excess annualized return over CSI SOE Index: 10.84% - 2023 cumulative return: 58.24% - 2024 cumulative return: 31.11% [13][14][15] - "Belt and Road + SOE" Strategy: - Annualized return: 18.51% - Excess annualized return over CSI Belt and Road Index: 14.94% - 2023 cumulative return: 39.33% - 2024 cumulative return: 24.89% [20][21] - "Digital Economy + SOE" Strategy: - Annualized return: 14.72% - Excess annualized return over CSI TMT Index: 13.91% - 2023 cumulative return: 44.57% - 2024 cumulative return: 15.59% [24][25] - "National Security + SOE" Strategy: - Annualized return: 18.13% - Excess annualized return over CSI National Security Index: 9.10% - 2023 cumulative return: 55.37% - 2024 cumulative return: 30.57% [30][31] - "Banking + SOE" Strategy: - Annualized return: 11.36% - Excess annualized return over SW First-level Banking Index: 7.24% - 2023 cumulative return: 74.41% - 2024 cumulative return: 54.03% [35][36] Quantitative Factors and Construction Methods - Factor Name: Dividend Yield (TTM) Construction Idea: Higher dividend yield correlates with higher future returns [7][8] Construction Process: Dividend yield (TTM) = Cash dividend per share over the past 12 months divided by stock price [7] Evaluation: Strong positive correlation with future returns, good monotonicity in grouping [7][8] - Factor Name: PE Ratio (TTM) Construction Idea: Lower PE ratio correlates with higher future returns [7] Construction Process: PE ratio (TTM) = Market capitalization / Net profit attributable to parent company shareholders (TTM) [7] Evaluation: Effective in central SOEs but shows "low valuation trap" in Belt and Road SOEs [7][20] - Factor Name: ROE (TTM) Construction Idea: Higher ROE correlates with higher future returns [7][20][24] Construction Process: ROE (TTM) = Net profit attributable to parent company shareholders (TTM) / Shareholders' equity attributable to parent company [7] Evaluation: Strong performance in multiple strategies, especially in digital economy and Belt and Road SOEs [20][24] - Factor Name: ESG Comprehensive Score Construction Idea: Higher ESG scores correlate with better performance in national security SOEs [30] Construction Process: Wind ESG comprehensive score [7][30] Evaluation: Effective in national security SOEs, with high scores for companies like China Mobile [30] Factor Backtesting Results - Dividend Yield (TTM): - IC mean: 0.061 - IC standard deviation: 0.18 - T-statistic: 3.21 - IC win rate: 61.36% - IR: 0.34 - IC > 0.02 proportion: 95.45% [9] - PE Ratio (TTM): - IC mean: -0.069 - IC standard deviation: 0.19 - T-statistic: -3.43 - IC win rate: 65.91% - IR: -0.37 - IC > 0.02 proportion: 93.18% [9] - ROE (TTM): - IC mean: 0.025 - IC standard deviation: 0.11 - T-statistic: 2.07 - IC win rate: 57.30% - IR: 0.22 - IC > 0.02 proportion: 86.52% [9] - ESG Comprehensive Score:
央国企量化选股月度跟踪：央国企量化选股优选策略与1月组合
Southwest Securities·2025-01-02 12:28