因子周报：本周Beta风格显著，反转因子表现出色-20250503

Quantitative Models and Factor Construction Style Factors and Construction - Factor Name: Beta Factor Construction Idea: Measures the sensitivity of a stock's return to the market return Construction Process: The Beta factor is calculated by performing a half-life weighted regression of the past 252 trading days' daily returns of individual stocks against the CSI All Share Index. The half-life is set to 63 trading days. The regression coefficient is used as the Beta value [16][17] - Factor Name: Volatility Factor Construction Idea: Captures the risk or variability in stock returns Construction Process: The Volatility factor is a composite of three sub-factors: 1. DASTD (Daily Standard Deviation): Standard deviation of excess returns over the past 250 trading days, calculated using a half-life weighted method with a half-life of 40 trading days 2. CMRA (Cumulative Range): Difference between the maximum and minimum cumulative log returns over the past 12 months 3. HSIGMA (Historical Sigma): Standard deviation of residuals from the Beta regression The final Volatility factor is the average of these three sub-factors [16][17] - Factor Name: Profitability Factor Construction Idea: Measures a company's ability to generate profits relative to its market value Construction Process: The Profitability factor is a composite of two sub-factors: 1. ETOP (Earnings-to-Price Ratio): Calculated as trailing twelve months (TTM) net profit attributable to shareholders divided by total market capitalization 2. CETOP (Cash Earnings-to-Price Ratio): Calculated as TTM net cash flow from operating activities divided by total market capitalization The final Profitability factor is the average of ETOP and CETOP [16][17] - Factor Name: Momentum Factor Construction Idea: Captures the continuation of stock price trends Construction Process: The Momentum factor is calculated as the cumulative return over the past 504 trading days, excluding the most recent 21 trading days. The return series is weighted using a half-life exponential decay with a half-life of 126 trading days [16][17] Stock Selection Factors and Construction - Factor Name: 20-Day Reversal Construction Idea: Measures short-term mean reversion in stock prices Construction Process: Calculated as the return over the past 20 trading days [20][21] - Factor Name: 60-Day Momentum Construction Idea: Captures medium-term price trends Construction Process: Calculated as the return over the past 60 trading days, excluding the most recent 20 trading days [20][21] - Factor Name: Single-Quarter Gross Margin Construction Idea: Measures operational efficiency Construction Process: Calculated as (Single-quarter revenue - Single-quarter cost of goods sold) / Single-quarter revenue [20][21] - Factor Name: 240-Day Skewness Construction Idea: Captures the asymmetry in return distributions Construction Process: Calculated as the skewness of daily returns over the past 240 trading days [20][21] Factor Backtesting Results Style Factor Performance - Beta Factor: Weekly long-short return of 3.76% [16][18] - Volatility Factor: Weekly long-short return of 2.88% [16][18] - Profitability Factor: Weekly long-short return of -2.83% [16][18] Stock Selection Factor Performance - 20-Day Reversal: Weekly return of 0.46%, monthly return of 0.84%, annual return of 8.15% [24][25] - 60-Day Momentum: Weekly return of 0.40%, monthly return of -0.01%, annual return of -1.44% [24][25] - Single-Quarter Gross Margin: Weekly return of 0.31%, monthly return of 1.19%, annual return of 4.85% [24][25] - 240-Day Skewness: Weekly return of 0.25%, monthly return of 0.62%, annual return of -4.02% [24][25] Index-Specific Factor Performance - CSI 500: 60-Day Momentum weekly return of 0.93%, 20-Day Reversal weekly return of 0.63% [28][29] - CSI 800: 60-Day Momentum weekly return of 0.59%, 20-Day Reversal weekly return of 0.37% [31][32] - CSI 1000: 60-Day Momentum weekly return of 1.91%, 20-Day Reversal weekly return of 0.75% [35][36] - CSI 300 ESG: 240-Day Momentum weekly return of 0.45%, Single-Quarter Net Profit Margin weekly return of 0.40% [39][41] Evaluation of Models and Factors - Style Factors: Beta and Volatility factors performed well in the short term, indicating market preference for high-risk, high-beta stocks. However, the Profitability factor underperformed, suggesting a temporary market preference for lower-profitability stocks [16][18] - Stock Selection Factors: Short-term reversal and medium-term momentum factors showed consistent performance across different indices, while fundamental factors like gross margin demonstrated stable returns [24][25][28] - Index-Specific Factors: Factor performance varied across indices, with smaller-cap indices like CSI 1000 showing stronger momentum effects compared to larger-cap indices [35][36][39]