东方因子周报：Growth风格登顶，单季ROE因子表现出色-20250518

Quantitative Factors and Construction Methods - Factor Name: Single-quarter ROE Construction Idea: This factor measures the return on equity (ROE) for a single quarter, reflecting the profitability of a company relative to its equity base[2][18] Construction Process: The formula for single-quarter ROE is: $ Quart_ROE = \frac{Net\ Income \times 2}{Beginning\ Equity + Ending\ Equity} $ Here, "Net Income" represents the net profit for the quarter, and "Beginning Equity" and "Ending Equity" are the equity values at the start and end of the quarter, respectively[18] Evaluation: This factor performed well in the CSI All Share Index space during the past week, indicating its effectiveness in identifying profitable stocks[2][42] - Factor Name: Single-quarter ROA Construction Idea: This factor evaluates the return on assets (ROA) for a single quarter, assessing how efficiently a company utilizes its assets to generate profits[18] Construction Process: The formula for single-quarter ROA is: $ Quart_ROA = \frac{Net\ Income \times 2}{Beginning\ Assets + Ending\ Assets} $ "Net Income" is the quarterly net profit, while "Beginning Assets" and "Ending Assets" are the total assets at the start and end of the quarter, respectively[18] Evaluation: This factor also demonstrated strong performance in the CSI All Share Index space over the past week, highlighting its utility in asset efficiency analysis[2][42] - Factor Name: Standardized Unexpected Earnings (SUE) Construction Idea: This factor captures the deviation of actual earnings from expected earnings, standardized by the standard deviation of expected earnings, to measure earnings surprises[18] Construction Process: The formula for SUE is: $ SUE = \frac{Actual\ Earnings - Expected\ Earnings}{Standard\ Deviation\ of\ Expected\ Earnings} $ "Actual Earnings" refers to the reported earnings, while "Expected Earnings" and their standard deviation are derived from analyst forecasts[18] Evaluation: This factor showed significant positive performance in the National SME Index (CSI 2000) and the ChiNext Index spaces, indicating its effectiveness in identifying earnings surprises[36][39] Factor Backtesting Results - Single-quarter ROE: - CSI All Share Index: Weekly return of 1.46%, monthly return of 1.95%, annualized return over the past year of -1.73%, and historical annualized return of 4.88%[42][43] - Single-quarter ROA: - CSI All Share Index: Weekly return of 1.09%, monthly return of 1.33%, annualized return over the past year of 0.27%, and historical annualized return of 4.14%[42][43] - Standardized Unexpected Earnings (SUE): - National SME Index (CSI 2000): Weekly return of 6.41%, monthly return of 19.22%, annualized return over the past year of 32.33%, and historical annualized return of 10.98%[36] - ChiNext Index: Weekly return of 7.76%, monthly return of 26.34%, annualized return over the past year of 44.74%, and historical annualized return of 7.82%[39] Composite Factor Portfolio Construction - MFE Portfolio Construction: Idea: The Maximized Factor Exposure (MFE) portfolio is designed to maximize the exposure to a single factor while controlling for constraints such as industry and style exposures, stock weight deviations, and turnover[55][59] Optimization Model: The optimization problem is formulated as: $ \begin{array}{ll} max & f^{T}w \ 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} \ & 0 \leq w \leq l \ & 1^{T}w = 1 \ & \Sigma|w-w_{0}| \leq to_{h} \end{array} $ Here, $f$ represents the factor values, $w$ is the weight vector, and the constraints include style, industry, stock weight, and turnover limits[55][58] Evaluation: The MFE portfolio approach ensures that factor effectiveness is tested under realistic constraints, making it a robust method for evaluating factor performance[55][59] MFE Portfolio Backtesting Results - CSI 300 Index: - Weekly excess return: Maximum 1.05%, minimum -0.81%, median 0.00%[46][49] - Monthly excess return: Maximum 3.00%, minimum -1.15%, median 0.30%[46][49] - CSI 500 Index: - Weekly excess return: Maximum 1.00%, minimum -0.08%, median 0.40%[50][52] - Monthly excess return: Maximum 2.73%, minimum -0.42%, median 0.99%[50][52] - CSI 1000 Index: - Weekly excess return: Maximum 0.82%, minimum -0.26%, median 0.28%[53][54] - Monthly excess return: Maximum 3.52%, minimum -0.08%, median 1.72%[53][54]