东方因子周报：Value风格登顶，3个月盈利上下调因子表现出色-2025-03-30

Quantitative Models and Construction Methods Factor: 3-Month Earnings Revision - Construction Idea: Measures the upward or downward revisions in earnings estimates over the past three months, reflecting changes in analysts' expectations[6][23][42] - Construction Process: Calculated as the difference between the number of upward and downward revisions in earnings estimates over the last three months, normalized by the total number of estimates[19][42] - Evaluation: Demonstrates strong performance in multiple index universes, indicating its effectiveness in capturing short-term earnings momentum[6][23][42] Factor: UMR (Up-Market Ratio) - Construction Idea: Captures momentum by analyzing risk-adjusted returns over different time windows (1 month, 3 months, 6 months, 1 year)[6][19][42] - Construction Process: - 1-Month UMR: Risk-adjusted momentum over a 1-month window - 3-Month UMR: Risk-adjusted momentum over a 3-month window - 6-Month UMR: Risk-adjusted momentum over a 6-month window - 1-Year UMR: Risk-adjusted momentum over a 12-month window[19][42] - Evaluation: Consistently performs well across multiple index universes, particularly in capturing medium-term momentum trends[6][23][42] Factor: EPTTM (Earnings-to-Price Trailing Twelve Months) - Construction Idea: A valuation factor that measures the earnings yield based on trailing twelve months' earnings[19][42] - Construction Process: Calculated as the ratio of trailing twelve months' earnings to the current market price[19][42] - Evaluation: Shows strong performance in certain index universes, particularly in value-oriented strategies[6][23][42] Factor: DeltaROE - Construction Idea: Measures the change in return on equity (ROE) over a specific period, reflecting improvements or deteriorations in profitability[19][42] - Construction Process: Calculated as the difference in ROE between the current period and the same period in the previous year[19][42] - Evaluation: Effective in identifying companies with improving profitability trends[6][23][42] Factor: Analyst Coverage (3-Month) - Construction Idea: Tracks the number of analysts covering a stock over the past three months, reflecting market attention and sentiment[19][42] - Construction Process: Count of unique analysts issuing reports on a stock in the last three months[19][42] - Evaluation: Performs well in identifying stocks with increasing market interest[6][23][42] --- Factor Backtesting Results 3-Month Earnings Revision - Recent 1 Week: 1.94% (China Securities All Index)[43] - Recent 1 Month: 0.82% (China Securities All Index)[43] - Year-to-Date: 2.50% (China Securities All Index)[43] UMR (Up-Market Ratio) - 1-Month UMR: - Recent 1 Week: 1.30% (China Securities All Index)[43] - Recent 1 Month: 2.57% (China Securities All Index)[43] - Year-to-Date: 3.85% (China Securities All Index)[43] - 3-Month UMR: - Recent 1 Week: 0.75% (China Securities All Index)[43] - Recent 1 Month: 2.14% (China Securities All Index)[43] - Year-to-Date: 2.48% (China Securities All Index)[43] - 6-Month UMR: - Recent 1 Week: 0.72% (China Securities All Index)[43] - Recent 1 Month: 4.19% (China Securities All Index)[43] - Year-to-Date: 1.12% (China Securities All Index)[43] - 1-Year UMR: - Recent 1 Week: 0.74% (China Securities All Index)[43] - Recent 1 Month: 3.92% (China Securities All Index)[43] - Year-to-Date: 0.80% (China Securities All Index)[43] EPTTM - Recent 1 Week: 0.83% (China Securities All Index)[43] - Recent 1 Month: 3.70% (China Securities All Index)[43] - Year-to-Date: -0.22% (China Securities All Index)[43] DeltaROE - Recent 1 Week: 0.19% (China Securities All Index)[43] - Recent 1 Month: -0.31% (China Securities All Index)[43] - Year-to-Date: 1.66% (China Securities All Index)[43] Analyst Coverage (3-Month) - Recent 1 Week: 1.86% (China Securities All Index)[43] - Recent 1 Month: 2.24% (China Securities All Index)[43] - Year-to-Date: 4.89% (China Securities All Index)[43] --- MFE Portfolio Construction - Construction Method: - Maximizes single-factor exposure while controlling for industry, style, and stock-specific deviations relative to the benchmark index[56][57][59] - Constraints include: - Style exposure limits - Industry exposure limits - Stock weight deviation limits - Turnover limits[56][57][59] - Optimization Model: $\begin{array}{ll}max&f^{T}w\ s.t.&s_{l}\leq X(w-w_{b})\leq s_{h}\ &h_{l}\leq H(w-w_{b})\leq h_{h}\ &w_{l}\leq w-w_{b}\leq w_{h}\ &b_{l}\leq B_{b}w\leq b_{h}\ &0\leq w\leq l\ &1^{T}w=1\ &\Sigma|w-w_{0}|\leq to_{h}\end{array}$[56][57] - Evaluation: Effective in isolating factor performance under realistic portfolio constraints[56][57][60]