因子跟踪周报：换手率、预期外盈利因子表现较好-20250412

Quantitative Factors and Construction Methods - Factor Name: bp Construction Idea: Measures valuation by comparing net assets to market value Construction Process: Calculated as: $ bp = \frac{\text{Current Net Assets}}{\text{Current Total Market Value}} $ [13] Evaluation: Commonly used valuation factor, straightforward and widely applicable [13] - Factor Name: bp three-year percentile Construction Idea: Tracks the relative valuation of a stock over the past three years Construction Process: Represents the percentile rank of the current bp value 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}} $ [13] Evaluation: Reflects short-term profitability, sensitive to quarterly fluctuations [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 percentile rank of the current quarterly ep value within the last year [13] Evaluation: Helps identify stocks with improving or declining 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}} $ [13] Evaluation: Indicates operational efficiency, useful for growth-oriented analysis [13] - Factor Name: Quarterly sp one-year percentile Construction Idea: Tracks the relative operational efficiency of a stock over the past year Construction Process: Represents the percentile rank of the current quarterly sp value within the last year [13] Evaluation: Highlights trends in revenue generation efficiency [13] - Factor Name: Quarterly asset turnover Construction Idea: Measures revenue generation relative to total assets Construction Process: Calculated as: $ \text{Quarterly Asset Turnover} = \frac{\text{Quarterly Revenue}}{\text{Total Assets}} $ [13] Evaluation: Reflects operational efficiency, sensitive to asset-heavy industries [13] - Factor Name: Quarterly gross margin Construction Idea: Measures profitability relative to sales revenue Construction Process: Calculated as: $ \text{Quarterly Gross Margin} = \frac{\text{Quarterly Gross Profit}}{\text{Quarterly Sales Revenue}} $ [13] Evaluation: Indicates pricing power and cost control [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}} $ [13] Evaluation: Reflects overall asset efficiency [13] - Factor Name: Quarterly roe Construction Idea: Measures profitability relative to net assets Construction Process: Calculated as: $ \text{Quarterly ROE} = \frac{\text{Quarterly Net Profit}}{\text{Net Assets}} $ [13] Evaluation: Commonly used profitability metric, sensitive to leverage [13] - Factor Name: Standardized unexpected earnings Construction Idea: Measures deviation of current earnings from historical growth trends Construction Process: Calculated as: $ \text{Standardized Unexpected Earnings} = \frac{\text{Current Quarterly Net Profit} - (\text{Last Year Same Quarter Net Profit} + \text{Average Growth of Last 8 Quarters})}{\text{Standard Deviation of Growth in Last 8 Quarters}} $ [13] 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: Calculated as: $ \text{Standardized Unexpected Revenue} = \frac{\text{Current Quarterly Revenue} - (\text{Last Year Same Quarter Revenue} + \text{Average Growth of Last 8 Quarters})}{\text{Standard Deviation of Growth in Last 8 Quarters}} $ [13] Evaluation: Highlights revenue surprises [13] - Factor Name: Dividend yield Construction Idea: Measures dividend payout relative to market value Construction Process: Calculated as: $ \text{Dividend Yield} = \frac{\text{Annual Dividend}}{\text{Current Market Value}} $ [13] Evaluation: Commonly used for income-focused strategies [13] - Factor Name: 1-month turnover rate volatility Construction Idea: Measures the variability of turnover rates over the past month Construction Process: Calculated as the standard deviation of daily turnover rates over the past 20 trading days [13] Evaluation: Reflects liquidity and trading activity [13] - Factor Name: Fama-French three-factor residual volatility Construction Idea: Measures the volatility of residuals from a Fama-French three-factor model regression Construction Process: Calculated as the standard deviation of residuals from daily returns regressed on the Fama-French three factors over the past 20 trading days [13] Evaluation: Indicates idiosyncratic risk [13] Factor Backtesting Results - Factor Name: bp IC Values: Weekly: -8.41%, Monthly: 3.48%, Yearly: 1.72% [8] Excess Return: Weekly: -0.18%, Monthly: 1.03%, Yearly: 3.10% [11] - Factor Name: bp three-year percentile IC Values: Weekly: 2.04%, Monthly: 7.90%, Yearly: 2.82% [8] Excess Return: Weekly: 0.67%, Monthly: 0.82%, Yearly: 2.55% [11] - Factor Name: Quarterly ep IC Values: Weekly: -5.19%, Monthly: 3.65%, Yearly: 0.24% [8] Excess Return: Weekly: -1.30%, Monthly: -0.08%, Yearly: 1.51% [11] - Factor Name: Quarterly ep one-year percentile IC Values: Weekly: 1.73%, Monthly: 4.68%, Yearly: 1.02% [8] Excess Return: Weekly: -0.35%, Monthly: 0.93%, Yearly: 4.35% [11] - Factor Name: Quarterly sp IC Values: Weekly: -5.87%, Monthly: -1.49%, Yearly: 0.18% [8] Excess Return: Weekly: -0.28%, Monthly: -1.23%, Yearly: 0.24% [11] - Factor Name: Quarterly sp one-year percentile IC Values: Weekly: 1.93%, Monthly: 7.04%, Yearly: 2.70% [8] Excess Return: Weekly: -0.66%, Monthly: 0.55%, Yearly: 3.80% [11] - Factor Name: Standardized unexpected earnings IC Values: Weekly: 0.24%, Monthly: 2.19%, Yearly: 0.64% [8] Excess Return: Weekly: -0.60%, Monthly: -0.75%, Yearly: 3.99% [11] - Factor Name: Standardized unexpected revenue IC Values: Weekly: -1.03%, Monthly: 0.72%, Yearly: 0.61% [8] Excess Return: Weekly: -0.41%, Monthly: -0.72%, Yearly: 1.55% [11] - Factor Name: Dividend yield IC Values: Weekly: -2.91%, Monthly: 1.85%, Yearly: -0.07% [8] Excess Return: Weekly: -0.37%, Monthly: 1.27%, Yearly: -4.85% [11]