Orient Securities(SH:600958) Orient Securities·2025-05-11 10:16Quantitative Factors and Construction Methods Factor Name: Liquidity - Construction Idea: Measures the market's preference for high-liquidity assets, reflecting the demand for stocks with higher turnover rates [9][14] - Construction Process: - TO: Average logarithmic turnover rate over the past 243 trading days - Liquidity Beta: Regression of individual stock turnover rates against market turnover rates over the past 243 trading days [14] - Evaluation: Demonstrated the highest positive return among style factors in the recent week, indicating a significant increase in demand for high-liquidity assets [9] - Performance: Weekly return of 5.44%, monthly return of 13.08%, and annualized return of 33.79% over the past year [11] Factor Name: Volatility - Construction Idea: Captures the market's preference for high-volatility stocks, reflecting risk appetite [9][14] - Construction Process: - Stdvol: Standard deviation of daily returns over the past 243 trading days - Ivff: Fama-French 3-factor idiosyncratic volatility over the past 243 trading days - Range: Difference between the highest and lowest prices over the past 243 trading days - MaxRet_6: Average return of the six highest daily returns over the past 243 trading days - MinRet_6: Average return of the six lowest daily returns over the past 243 trading days [14] - Evaluation: Showed a significant improvement in weekly performance, reflecting increased market risk appetite [9] - Performance: Weekly return of 5.03%, monthly return of 12.37%, and annualized return of 25.55% over the past year [11] Factor Name: Beta - Construction Idea: Represents the market's preference for high-beta stocks, indicating sensitivity to market movements [9][14] - Construction Process: Bayesian shrinkage of market beta [14] - Evaluation: Significant weekly performance improvement, indicating a strong preference for high-beta stocks [9] - Performance: Weekly return of 4.28%, monthly return of 12.51%, and annualized return of 33.02% over the past year [11] Factor Name: Growth - Construction Idea: Measures the market's preference for growth-oriented stocks, focusing on financial growth metrics [9][14] - Construction Process: - Delta ROE: Average change in ROE over the past three years - Sales Growth: 3-year compound growth rate of TTM sales revenue - Na Growth: 3-year compound growth rate of TTM net assets [14] - Evaluation: Improved weekly performance, reflecting increased market interest in growth stocks [9] - Performance: Weekly return of 1.65%, monthly return of 0.77%, and annualized return of 1.32% over the past year [11] Factor Name: Certainty - Construction Idea: Reflects the market's preference for stocks with higher predictability and stability [10][14] - Construction Process: - Instholder Pct: Proportion of holdings by mutual funds - Cov: Analyst coverage adjusted for market capitalization - Listdays: Number of days since the stock's listing [14] - Evaluation: Experienced a significant decline in weekly performance, indicating reduced confidence in certainty-based strategies [10] - Performance: Weekly return of -3.99%, monthly return of -9.10%, and annualized return of -17.07% over the past year [11] Factor Name: Value - Construction Idea: Measures the market's preference for undervalued stocks based on valuation metrics [10][14] - Construction Process: - BP: Book-to-price ratio - EP: Earnings yield [14] - Evaluation: Significant decline in weekly performance, reflecting reduced market interest in value-based strategies [10] - Performance: Weekly return of -4.75%, monthly return of -8.10%, and annualized return of -16.96% over the past year [11] Factor Name: Size - Construction Idea: Captures the market's preference for small-cap stocks [10][14] - Construction Process: Logarithm of total market capitalization [14] - Evaluation: Experienced the largest decline among style factors, indicating reduced market interest in small-cap stocks [10] - Performance: Weekly return of -5.96%, monthly return of -12.84%, and annualized return of -54.81% over the past year [11] --- Factor Backtesting Results Weekly Performance - Liquidity: 5.44% - Volatility: 5.03% - Beta: 4.28% - Growth: 1.65% - Certainty: -3.99% - Value: -4.75% - Size: -5.96% [11] Monthly Performance - Liquidity: 13.08% - Volatility: 12.37% - Beta: 12.51% - Growth: 0.77% - Certainty: -9.10% - Value: -8.10% - Size: -12.84% [11] Annualized Performance (Past Year) - Liquidity: 33.79% - Volatility: 25.55% - Beta: 33.02% - Growth: 1.32% - Certainty: -17.07% - Value: -16.96% - Size: -54.81% [11]