因子跟踪周报：换手率、bp分位数因子表现较好-2025-03-29

Quantitative Factors and Construction Methods - Factor Name: bp Construction Idea: Measures valuation by comparing net assets to market capitalization Construction Process: Calculated as: $ bp = \frac{\text{Net Assets}}{\text{Market Capitalization}} $ Evaluation: Provides a direct valuation metric for stocks[13] - Factor Name: bp three-year percentile Construction Idea: Evaluates the relative valuation of a stock over the past three years Construction Process: Represents the current bp value's percentile rank within the last three years[13] Evaluation: Useful for identifying stocks with consistent valuation trends[13] - Factor Name: Quarterly ep Construction Idea: Measures profitability relative to net assets Construction Process: Calculated as: $ \text{Quarterly ep} = \frac{\text{Quarterly Net Profit}}{\text{Net Assets}} $ Evaluation: Indicates profitability efficiency[13] - Factor Name: Quarterly ep one-year percentile Construction Idea: Tracks the relative profitability of a stock over the past year Construction Process: Represents the current quarterly ep value's percentile rank within the last year[13] Evaluation: Highlights short-term profitability trends[13] - Factor Name: Quarterly sp Construction Idea: Measures revenue generation relative to net assets Construction Process: Calculated as: $ \text{Quarterly sp} = \frac{\text{Quarterly Revenue}}{\text{Net Assets}} $ Evaluation: Reflects operational efficiency[13] - Factor Name: Quarterly sp one-year percentile Construction Idea: Tracks the relative revenue generation of a stock over the past year Construction Process: Represents the current quarterly sp value's percentile rank within the last year[13] Evaluation: Useful for identifying short-term revenue trends[13] - Factor Name: Quarterly ROA Construction Idea: Measures profitability relative to total assets Construction Process: Calculated as: $ \text{Quarterly ROA} = \frac{\text{Quarterly Net Profit}}{\text{Total Assets}} $ Evaluation: Indicates asset utilization efficiency[13] - Factor Name: Quarterly ROE Construction Idea: Measures profitability relative to shareholders' equity Construction Process: Calculated as: $ \text{Quarterly ROE} = \frac{\text{Quarterly Net Profit}}{\text{Net Assets}} $ Evaluation: Reflects return on equity for shareholders[13] - Factor Name: Quarterly net profit YoY growth Construction Idea: Tracks year-over-year growth in net profit Construction Process: Calculated as: $ \text{Net Profit YoY Growth} = \frac{\text{Current Net Profit} - \text{Previous Year Net Profit}}{\text{Previous Year Net Profit}} $ Evaluation: Highlights growth trends in profitability[13] - Factor Name: Quarterly revenue YoY growth Construction Idea: Tracks year-over-year growth in revenue Construction Process: Calculated as: $ \text{Revenue YoY Growth} = \frac{\text{Current Revenue} - \text{Previous Year Revenue}}{\text{Previous Year Revenue}} $ Evaluation: Reflects growth trends in operational performance[13] - Factor Name: Quarterly ROE YoY growth Construction Idea: Tracks year-over-year growth in ROE Construction Process: Calculated as: $ \text{ROE YoY Growth} = \frac{\text{Current ROE} - \text{Previous Year ROE}}{\text{Previous Year ROE}} $ Evaluation: Indicates improvement in equity returns[13] - Factor Name: Standardized unexpected earnings Construction Idea: Measures deviation of current earnings from historical growth trends Construction Process: $ \text{Standardized Unexpected Earnings} = \frac{\text{Current Earnings} - (\text{Last Year Earnings} + \text{8-Quarter Average Growth})}{\text{Standard Deviation of 8-Quarter Growth}} $ Evaluation: Useful for identifying earnings surprises[13] - Factor Name: Standardized unexpected revenue Construction Idea: Measures deviation of current revenue from historical growth trends Construction Process: $ \text{Standardized Unexpected Revenue} = \frac{\text{Current Revenue} - (\text{Last Year Revenue} + \text{8-Quarter Average Growth})}{\text{Standard Deviation of 8-Quarter Growth}} $ Evaluation: Highlights revenue surprises[13] - Factor Name: Dividend yield Construction Idea: Measures dividend payout relative to market capitalization Construction Process: Calculated as: $ \text{Dividend Yield} = \frac{\text{Annual Dividend}}{\text{Market Capitalization}} $ Evaluation: Indicates shareholder returns through dividends[13] - Factor Name: 1-month turnover rate volatility Construction Idea: Tracks the standard deviation of turnover rates over the past month Construction Process: $ \text{Turnover Rate Volatility} = \text{Standard Deviation of Daily Turnover Rates (Last 20 Days)} $ Evaluation: Reflects liquidity stability[13] Factor Backtesting Results - bp: Weekly IC 5.34%, Monthly IC 5.55%, Annual IC 1.76%, Historical IC 1.95%[8] Weekly excess return 0.20%, Monthly excess return 0.46%, Annual excess return 3.36%, Historical cumulative excess return 24.65%[10] - bp three-year percentile: Weekly IC 16.49%, Monthly IC 7.73%, Annual IC 2.81%, Historical IC 1.43%[8] Weekly excess return 1.02%, Monthly excess return 1.44%, Annual excess return 4.22%, Historical cumulative excess return -4.34%[10] - Quarterly ep: Weekly IC 14.19%, Monthly IC 7.50%, Annual IC 0.63%, Historical IC 1.32%[8] Weekly excess return 0.45%, Monthly excess return 2.65%, Annual excess return 3.46%, Historical cumulative excess return 30.85%[10] - Quarterly ep one-year percentile: Weekly IC 6.12%, Monthly IC 2.81%, Annual IC 1.13%, Historical IC 1.69%[8] Weekly excess return 0.40%, Monthly excess return 0.23%, Annual excess return 7.17%, Historical cumulative excess return 34.94%[10] - Quarterly sp: Weekly IC 4.90%, Monthly IC 1.26%, Annual IC 0.33%, Historical IC 0.74%[8] Weekly excess return 0.00%, Monthly excess return -0.55%, Annual excess return 1.08%, Historical cumulative excess return -2.52%[10] - Quarterly sp one-year percentile: Weekly IC 9.34%, Monthly IC 4.43%, Annual IC 2.73%, Historical IC 1.72%[8] Weekly excess return 0.27%, Monthly excess return 0.69%, Annual excess return 6.53%, Historical cumulative excess return 1.81%[10] - Quarterly ROA: Weekly IC 13.83%, Monthly IC 6.81%, Annual IC 0.59%, Historical IC 1.24%[8] Weekly excess return 0.38%, Monthly excess return 2.52%, Annual excess return 4.27%, Historical cumulative excess return 25.60%[10] - Quarterly ROE: Weekly IC 13.62%, Monthly IC 6.93%, Annual IC 0.58%, Historical IC 1.39%[8] Weekly excess return 0.24%, Monthly excess return 1.81%, Annual excess return 2.47%, Historical cumulative excess return 31.72%[10]