华安恒生港股通中国央企红利ETF：高股息央企港股多轮驱动资产

Quantitative Factors and Construction Factor Name: EP(TTM) (Earnings-to-Price Ratio) - Construction Idea: This factor represents the earnings-to-price ratio, used as a value factor to identify undervalued stocks[23] - Construction Process: - The factor is calculated as the ratio of earnings per share (EPS) to the stock price - Stocks are ranked based on their EP(TTM) values, and the top 20% are selected as the long portfolio, while the bottom 20% are selected as the short portfolio - Monthly rebalancing is performed on the first trading day of each month using the opening price[23] - Evaluation: The factor demonstrates strong historical performance, with significant excess returns and high Rank IC values, indicating its effectiveness in capturing value[23][26] - Formula: $ EP(TTM) = \frac{\text{Earnings Per Share (TTM)}}{\text{Stock Price}} $[23] Factor Name: BP(LF) (Book-to-Price Ratio) - Construction Idea: This factor represents the book-to-price ratio, another value factor used to identify undervalued stocks[23] - Construction Process: - The factor is calculated as the ratio of book value per share to the stock price - Stocks are ranked based on their BP(LF) values, and the top 20% are selected as the long portfolio, while the bottom 20% are selected as the short portfolio - Monthly rebalancing is performed on the first trading day of each month using the opening price[23] - Evaluation: The factor shows strong historical performance, with high excess returns and Rank IC values, indicating its robustness in identifying value opportunities[23][27] - Formula: $ BP(LF) = \frac{\text{Book Value Per Share}}{\text{Stock Price}} $[23] Factor Name: Dividend Yield (TTM) - Construction Idea: This factor represents the trailing twelve-month dividend yield, used as a dividend factor to identify high-yield stocks[23] - Construction Process: - The factor is calculated as the ratio of dividends per share (TTM) to the stock price - Stocks are ranked based on their dividend yield values, and the top 20% are selected as the long portfolio, while the bottom 20% are selected as the short portfolio - Monthly rebalancing is performed on the first trading day of each month using the opening price[23] - Evaluation: The factor has demonstrated consistent performance, with significant excess returns and Rank IC values, highlighting its effectiveness in capturing high-yield opportunities[23][28] - Formula: $ \text{Dividend Yield (TTM)} = \frac{\text{Dividends Per Share (TTM)}}{\text{Stock Price}} $[23] --- Factor Backtesting Results EP(TTM) Factor - Rank IC: 5.56%[26] - Excess Return: 9.14%[26] - Sharpe Ratio: 1.19[26] BP(LF) Factor - Rank IC: 6.80%[27] - Excess Return: 11.41%[27] - Sharpe Ratio: 1.37[27] Dividend Yield (TTM) Factor - Rank IC: 5.81%[28] - Excess Return: 8.96%[28] - Sharpe Ratio: 1.37[28]