回购的资本配置逻辑：基于FCFF、股权融资与债权融资的回购模式分类

Quantitative Models and Construction Methods - Model Name: Steady Buyback Stock Pool Construction Idea: Categorize companies based on cash flow sources for buybacks, aiming to identify firms with sustainable shareholder returns[2][33][45] Construction Process: 1. Use the cash flow statement to calculate free cash flow to the firm (FCFF) and other financing metrics - Formula: $FCFF = Operating Cash Flow + Interest Expense - Capital Expenditure$ Explanation: Operating cash flow represents cash generated from core business activities; interest expense accounts for debt costs; capital expenditure reflects investments in fixed assets[36][41] 2. Categorize companies into 8 groups based on FCFF, equity financing, and debt financing conditions[43][44] 3. Select stocks from groups 1, 2, and 5 (healthy shareholder return groups) to construct the pool[45][46] Evaluation: Represents a sustainable shareholder return strategy with relatively healthy financial conditions[46] - Model Name: Enhanced Steady Buyback Stock Pool Construction Idea: Improve the performance of the steady buyback stock pool using quality and valuation factors[59][62] Construction Process: 1. Quality Factor: Cash/Total Assets - Formula: $Cash/Total Assets = Cash / Total Assets$ Explanation: Measures a company's liquidity and risk resistance[59][60] 2. Valuation Factor: EP-ROIC - Formula: $EP-ROIC = Earnings Per Share (EP) - Return on Invested Capital (ROIC)$ Explanation: Evaluates the potential return from buybacks versus reinvestment opportunities[62][67] 3. Combine the two factors by standardizing and equally weighting them to select the top 50 stocks for the enhanced pool[63][68] Evaluation: Combines strong risk resistance and capital allocation ability, achieving higher returns with reduced drawdowns[68] Model Backtesting Results - Steady Buyback Stock Pool: - Annualized Return: 11.93% - Excess Return vs. Huazheng A-Share Buyback Index: 5.56%[45][51][54] - Enhanced Steady Buyback Stock Pool: - Annualized Return: 19.85% - Maximum Drawdown: 31.08% - Average Annual Excess Return vs. Huazheng A-Share Buyback Index (2020-2024): 14.65%[68][69][71] Quantitative Factors and Construction Methods - Factor Name: Buyback Ratio Construction Idea: Measure the proportion of buyback amount relative to market capitalization[15] Construction Process: - Formula: $Buyback Ratio = Buyback Amount / Total Market Capitalization$ Explanation: Indicates the intensity of buyback activity[15][16] Evaluation: Limited differentiation among stocks, challenging to achieve excess returns through factor-based selection[17][20] - Factor Name: Cash/Total Assets Construction Idea: Assess liquidity and risk resistance of companies[59] Construction Process: - Formula: $Cash/Total Assets = Cash / Total Assets$ Explanation: Higher values indicate stronger financial stability[59][60] Evaluation: Demonstrates significant excess returns in the steady buyback stock pool[60] - Factor Name: EP-ROIC Construction Idea: Evaluate capital allocation efficiency during buybacks[62] Construction Process: - Formula: $EP-ROIC = Earnings Per Share (EP) - Return on Invested Capital (ROIC)$ Explanation: Higher values suggest undervaluation and better buyback opportunities[62][67] Evaluation: Shows strong excess returns in the steady buyback stock pool[67] Factor Backtesting Results - Buyback Ratio: No significant differentiation or excess returns observed[17][20] - Cash/Total Assets: - Annualized Return: 20.30% - Enhanced performance with minimal increase in volatility[60] - EP-ROIC: - Annualized Return: 18.58% - Demonstrates excess returns for companies with strong capital allocation ability[67] Additional Discussions - Buyback ROI and Effectiveness: Construction Idea: Measure the return and efficiency of buyback activities over a specific period[78] Construction Process: - Formula: $Buyback ROI = (Final Buyback Value + Dividends Avoided - Buyback Cost) / Buyback Cost$ Explanation: Evaluates the financial impact of buybacks, including avoided dividends and stock price changes[78][79] Evaluation: Limited effectiveness in A-shares due to inconsistent buyback practices[78][80] - Impact of Buyback Purpose: Observation: Companies with profit compensation as the buyback purpose underperform market benchmarks[74][75] Evaluation: Filtering out such companies improves portfolio performance[75] - Dividend Timing Mismatch: Observation: Adjusting dividend timing for grouping has minimal impact on results[76][77] Evaluation: Grouping based on cash flow remains robust despite timing differences[77]