微盘股指数周报：小盘股成交占比高意味着拥挤度高吗？-20250603

Quantitative Models and Construction Diffusion Index Model - Model Name: Diffusion Index Model - Model Construction Idea: The model is used to monitor the critical points of future diffusion index changes, predicting potential turning points in the market[6][43] - Model Construction Process: - The horizontal axis represents the relative price change of stocks in the micro-cap index components over a future period, ranging from +10% to -10% - The vertical axis represents the length of the review or forecast window, ranging from 20 days to 10 days - For example, a value of 0.16 at the intersection of a -5% price change (horizontal axis) and a 15-day window (vertical axis) indicates the diffusion index value under these conditions - The model uses historical data to calculate the diffusion index for different scenarios and predicts the likelihood of market turning points based on these values[43][45] - Model Evaluation: The model provides a systematic way to identify potential market turning points, but its accuracy depends on the stability of the index components and market conditions[6][43] - Model Testing Results: - Current diffusion index value: 0.91 - Historical signals: - Left-side threshold method triggered a sell signal on May 8, 2025, with a value of 0.9850[47] - Right-side threshold method triggered a sell signal on May 15, 2025, with a value of 0.8975[51] - Dual moving average method triggered a buy signal on April 30, 2025[52] --- Quantitative Factors and Construction Leverage Factor - Factor Name: Leverage Factor - Factor Construction Idea: Measures the financial leverage of companies, indicating their risk and potential return[5][38] - Factor Construction Process: Calculated as the ratio of total debt to equity or assets, normalized for comparison across companies[5][38] - Factor Evaluation: Demonstrated strong performance in the current week, with a rank IC of 0.143, significantly above its historical average of -0.006[5][38] Turnover Factor - Factor Name: Turnover Factor - Factor Construction Idea: Reflects the liquidity of stocks, with higher turnover indicating more active trading[5][38] - Factor Construction Process: Calculated as the ratio of trading volume to free float market capitalization over a specific period[5][38] - Factor Evaluation: Rank IC of 0.051 this week, outperforming its historical average of -0.08[5][38] PB Inverse Factor - Factor Name: PB Inverse Factor - Factor Construction Idea: Represents the inverse of the price-to-book ratio, identifying undervalued stocks[5][38] - Factor Construction Process: Calculated as 1 divided by the price-to-book ratio, normalized for comparison[5][38] - Factor Evaluation: Rank IC of 0.042 this week, slightly above its historical average of 0.034[5][38] Free Float Ratio Factor - Factor Name: Free Float Ratio Factor - Factor Construction Idea: Measures the proportion of shares available for public trading, indicating potential liquidity[5][38] - Factor Construction Process: Calculated as the ratio of free float shares to total shares outstanding[5][38] - Factor Evaluation: Rank IC of 0.04 this week, outperforming its historical average of -0.012[5][38] 10-Day Return Factor - Factor Name: 10-Day Return Factor - Factor Construction Idea: Captures short-term momentum by analyzing recent stock performance[5][38] - Factor Construction Process: Calculated as the percentage change in stock price over the past 10 trading days[5][38] - Factor Evaluation: Rank IC of 0.025 this week, significantly above its historical average of -0.061[5][38] Non-Adjusted Stock Price Factor - Factor Name: Non-Adjusted Stock Price Factor - Factor Construction Idea: Reflects the raw stock price without adjustments for splits or dividends[5][38] - Factor Construction Process: Directly uses the stock's current market price[5][38] - Factor Evaluation: Rank IC of -0.19 this week, underperforming its historical average of -0.017[5][38] PE_TTM Inverse Factor - Factor Name: PE_TTM Inverse Factor - Factor Construction Idea: Represents the inverse of the price-to-earnings ratio based on trailing twelve months, identifying undervalued stocks[5][38] - Factor Construction Process: Calculated as 1 divided by the PE_TTM ratio, normalized for comparison[5][38] - Factor Evaluation: Rank IC of -0.143 this week, underperforming its historical average of 0.018[5][38] ROE (Single Quarter) Factor - Factor Name: ROE (Single Quarter) Factor - Factor Construction Idea: Measures the profitability of companies based on their return on equity for a single quarter[5][38] - Factor Construction Process: Calculated as net income divided by shareholders' equity for the most recent quarter[5][38] - Factor Evaluation: Rank IC of -0.124 this week, underperforming its historical average of 0.023[5][38] Nonlinear Market Cap Factor - Factor Name: Nonlinear Market Cap Factor - Factor Construction Idea: Captures the nonlinear relationship between market capitalization and stock performance[5][38] - Factor Construction Process: Applies a nonlinear transformation to market capitalization data, such as logarithmic or polynomial adjustments[5][38] - Factor Evaluation: Rank IC of -0.116 this week, underperforming its historical average of -0.033[5][38] Log Market Cap Factor - Factor Name: Log Market Cap Factor - Factor Construction Idea: Measures the logarithmic transformation of market capitalization to reduce skewness[5][38] - Factor Construction Process: Calculated as the natural logarithm of market capitalization[5][38] - Factor Evaluation: Rank IC of -0.116 this week, underperforming its historical average of -0.033[5][38] --- Factor Backtesting Results - Leverage Factor: Rank IC 0.143[5][38] - Turnover Factor: Rank IC 0.051[5][38] - PB Inverse Factor: Rank IC 0.042[5][38] - Free Float Ratio Factor: Rank IC 0.04[5][38] - 10-Day Return Factor: Rank IC 0.025[5][38] - Non-Adjusted Stock Price Factor: Rank IC -0.19[5][38] - PE_TTM Inverse Factor: Rank IC -0.143[5][38] - ROE (Single Quarter) Factor: Rank IC -0.124[5][38] - Nonlinear Market Cap Factor: Rank IC -0.116[5][38] - Log Market Cap Factor: Rank IC -0.116[5][38]