科技股超额收益新解：基于TMT行业特性的选股再思考

Factor Performance - Growth factor shows high effectiveness in the TMT sector with a mean IC of 4.23% and ICIR of 47.03%[11] - Analyst factor leads with a mean IC of 4.54% and ICIR of 37.22%[11] - Volatility factor has a negative mean IC of -6.36% indicating poor performance in the TMT sector[11] Model Comparison - The three-factor model achieves an annualized return of 21.53% with a Sharpe ratio of 0.65[16] - The three-factor model outperforms the TMT fund index, which has an annualized return of 5.06%[18] - The addition of industry rotation improves the three-factor model's annualized return to 23.29%[43] Industry Insights - The growth factor in the TMT sector is the highest among six major sectors, indicating its critical role in driving returns[24] - Capital expenditure and R&D investment are key indicators for the TMT sector, with R&D showing a mean IC of 4.89%[52] - The TMT sector's performance is significantly influenced by industry momentum and capital allocation strategies[50] Risk and Return Analysis - The three-factor model has a maximum drawdown of 51.06%, highlighting potential risks[16] - The combination of R&D and capital expenditure factors leads to improved performance metrics, with an annualized return of 24.09%[55] - The analysis indicates that sectors with higher R&D and capital expenditure ratios tend to outperform in terms of stock price appreciation[63]