多因子选股周报：成长价值因子共振，三大指增组合本周均跑赢基准-20250419

Quantitative Models and Factors Summary Quantitative Models and Construction Methods Model Name: Guosen JinGong Index Enhancement Portfolio - Model Construction Idea: The model aims to outperform the benchmark indices (CSI 300, CSI 500, and CSI 1000) by using multi-factor stock selection, risk control, and portfolio optimization[11][12] - Model Construction Process: - Return Prediction: Predicting stock returns using multiple factors - Risk Control: Controlling the risk exposure of the portfolio - Portfolio Optimization: Optimizing the portfolio to maximize returns while adhering to risk constraints - Formula: $\begin{array}{ll} \text{max} & f^{T} w \\ \text{s.t.} & s_{l} \leq X(w - w_{b}) \leq s_{h} \\ & h_{l} \leq H(w - w_{b}) \leq h_{h} \\ & w_{l} \leq w - w_{b} \leq w_{h} \\ & b_{l} \leq B_{b} w \leq b_{h} \\ & \mathbf{0} \leq w \leq l \\ & \mathbf{1}^{T} w = 1 \end{array}$ - Explanation: - $f$: Factor values - $w$: Stock weight vector - $X$: Factor exposure matrix - $w_{b}$: Benchmark index component weights - $s_{l}, s_{h}$: Lower and upper bounds for style factor exposure - $H$: Industry exposure matrix - $h_{l}, h_{h}$: Lower and upper bounds for industry exposure - $w_{l}, w_{h}$: Lower and upper bounds for individual stock deviation - $B_{b}$: 0-1 vector indicating whether a stock is a benchmark component - $b_{l}, b_{h}$: Lower and upper bounds for component stock weight - $l$: Upper limit for individual stock weight - $\mathbf{1}^{T} w = 1$: Full investment constraint[35][36][37] Model Backtest Results - CSI 300 Index Enhancement Portfolio: - Weekly excess return: 0.79% - Monthly excess return: 2.38%[5][14] - CSI 500 Index Enhancement Portfolio: - Weekly excess return: 0.58% - Monthly excess return: 2.73%[5][14] - CSI 1000 Index Enhancement Portfolio: - Weekly excess return: 1.17% - Monthly excess return: 4.33%[5][14] Quantitative Factors and Construction Methods Factor Name: BP (Book-to-Price Ratio) - Factor Construction Idea: Measures the valuation of a stock by comparing its book value to its market price[17] - Factor Construction Process: - Formula: $\text{BP} = \frac{\text{Net Assets}}{\text{Total Market Value}}$ - Explanation: - Net Assets: The book value of the company's equity - Total Market Value: The market capitalization of the company[17] Factor Name: Expected BP - Factor Construction Idea: Uses consensus estimates to predict the book-to-price ratio[17] - Factor Construction Process: - Formula: $\text{Expected BP} = \frac{\text{Consensus Estimated Net Assets}}{\text{Total Market Value}}$ - Explanation: - Consensus Estimated Net Assets: The average of analysts' estimates for the company's net assets - Total Market Value: The market capitalization of the company[17] Factor Name: Non-Liquidity Shock - Factor Construction Idea: Measures the impact of non-liquidity on stock returns[17] - Factor Construction Process: - Formula: $\text{Non-Liquidity Shock} = \frac{\sum_{i=1}^{20} |\text{Daily Return}_i|}{\text{Average Trading Volume}}$ - Explanation: - Daily Return: The daily return of the stock - Average Trading Volume: The average trading volume over the past 20 trading days[17] Factor Backtest Results - CSI 300 Index: - Best Performing Factors (Weekly): Expected BP, Expected Net Profit QoQ, BP - Worst Performing Factors (Weekly): Specificity, Standardized Unexpected Revenue, Three-Month Institutional Coverage[1][18] - CSI 500 Index: - Best Performing Factors (Weekly): Quarterly Net Profit YoY Growth, Standardized Unexpected Earnings, Quarterly Surprise Magnitude - Worst Performing Factors (Weekly): Three-Month Reversal, One-Month Reversal, One-Year Momentum[1][20] - CSI 1000 Index: - Best Performing Factors (Weekly): Expected PEG, Standardized Unexpected Revenue, BP - Worst Performing Factors (Weekly): One-Month Reversal, Executive Compensation, DELTAROA[1][22] - Public Fund Heavy Index: - Best Performing Factors (Weekly): Expected Net Profit QoQ, Standardized Unexpected Earnings, Quarterly Operating Profit YoY Growth - Worst Performing Factors (Weekly): Three-Month Reversal, Executive Compensation, One-Month Reversal[2][24]