SINOLINK SECURITIES(SH:600109) SINOLINK SECURITIES·2025-05-20 03:18Quantitative Models and Construction Methods 1. Model Name: Micro-Cap Timing Model - Model Construction Idea: This model uses mid-term risk warning indicators to monitor market timing for micro-cap stocks, focusing on both market sentiment and fundamental indicators[29] - Model Construction Process: 1. Two key indicators are used: - 10-Year Treasury Yield YoY: Measures the year-over-year change in 10-year treasury yields - Volatility Crowding YoY: Reflects market trading sentiment through changes in volatility 2. Risk thresholds are set for these indicators: - 10-Year Treasury Yield YoY threshold: 0.3 - Volatility Crowding YoY threshold: 0 3. If either indicator exceeds its threshold, a risk warning signal is triggered. Conversely, if both indicators fall below their thresholds, the risk warning is lifted[29][30][36] - Model Evaluation: The model currently does not trigger any risk warnings, suggesting a stable environment for holding micro-cap stocks[29] --- Model Backtesting Results 1. Micro-Cap Timing Model - 10-Year Treasury Yield YoY: -28.69% (below the risk threshold of 0.3)[30] - Volatility Crowding YoY: -50.09% (below the risk threshold of 0)[30] --- Quantitative Factors and Construction Methods 1. Factor Name: Value Factor - Factor Construction Idea: Captures undervaluation by comparing financial metrics to market prices[51] - Factor Construction Process: 1. Key Metrics: - SP_TTM: Revenue over the past 12 months divided by the latest market capitalization - EP_FY0: Current annual report's expected net profit divided by the latest market capitalization - Sales2EV: Revenue over the past 12 months divided by enterprise value 2. These metrics are aggregated to form the value factor, with higher values indicating greater undervaluation[51] 2. Factor Name: Size Factor - Factor Construction Idea: Measures the impact of company size on stock performance[51] - Factor Construction Process: 1. Key Metrics: - LN_MktCap: Natural logarithm of free-float market capitalization - BP_LR: Book value per share divided by the latest market price - EP_FTTM: Forward 12-month expected earnings divided by the latest market price 2. These metrics are combined to represent the size factor, with smaller companies typically expected to outperform[51] 3. Factor Name: Volatility Factor - Factor Construction Idea: Captures the impact of price and return volatility on stock performance[51] - Factor Construction Process: 1. Key Metrics: - IV_CAPM: Residual volatility from the CAPM model - IV_FF: Residual volatility from the Fama-French three-factor model - Price_Chg20D: 20-day price change 2. These metrics are aggregated to form the volatility factor, with lower volatility generally preferred[51] 4. Factor Name: Reversal Factor - Factor Construction Idea: Exploits the tendency of stocks to revert to their mean after extreme movements[51] - Factor Construction Process: 1. Key Metrics: - Price_Chg40D: 40-day price change - Price_Chg60D: 60-day price change - Price_Chg120D: 120-day price change 2. These metrics are aggregated to form the reversal factor, with negative values indicating stronger reversal potential[51] 5. Factor Name: Convertible Bond Valuation Factor - Factor Construction Idea: Evaluates convertible bonds based on their valuation and relationship with underlying stocks[44] - Factor Construction Process: 1. Key Metrics: - Parity Premium: Difference between the convertible bond price and its parity value - Underlying Stock Factors: Includes growth, quality, and valuation metrics of the underlying stock 2. These metrics are combined to assess the attractiveness of convertible bonds[44][49] --- Factor Backtesting Results 1. Value Factor - IC Mean: Positive across multiple stock pools, with notable performance in the financial and real estate sectors[39][40] - Multi-Long-Short Returns: Positive returns observed in the past week[39][42] 2. Size Factor - IC Mean: Strong performance in the CSI 300 stock pool[39][41] - Multi-Long-Short Returns: Expected to improve as market risk appetite increases[40] 3. Volatility Factor - IC Mean: Stable positive returns in the A-share stock pool[39][42] - Multi-Long-Short Returns: Demonstrated consistent performance in recent weeks[39][42] 4. Reversal Factor - IC Mean: Outperformed in the CSI 500 and CSI 1000 stock pools[39][41] - Multi-Long-Short Returns: Positive returns observed in the past week[39][42] 5. Convertible Bond Valuation Factor - Multi-Long-Short Returns: Positive returns for value and valuation factors in the convertible bond market[44][48]