因子跟踪周报：小市值、成长因子表现较好20250607-20250607

Quantitative Factors and Construction Methods Factor Name: BP (Book-to-Price Ratio) - Construction Idea: Measures the valuation of a stock by comparing its book value to its market value [13] - Construction Process: - Formula: $ BP = \frac{\text{Current Book Value}}{\text{Current Market Value}} $ [13] Factor Name: BP Three-Year Percentile - Construction Idea: Evaluates the relative valuation of a stock over the past three years [13] - Construction Process: - Formula: BP Three-Year Percentile = Percentile rank of the current BP within the last three years [13] Factor Name: Quarterly EP (Earnings-to-Price Ratio) - Construction Idea: Measures the profitability of a stock relative to its market price [13] - Construction Process: - Formula: $ \text{Quarterly EP} = \frac{\text{Quarterly Net Profit}}{\text{Net Assets}} $ [13] Factor Name: Quarterly EP One-Year Percentile - Construction Idea: Tracks the relative profitability of a stock over the past year [13] - Construction Process: - Formula: Quarterly EP One-Year Percentile = Percentile rank of the current Quarterly EP within the last year [13] Factor Name: Quarterly SP (Sales-to-Price Ratio) - Construction Idea: Measures the revenue generation capability of a stock relative to its market price [13] - Construction Process: - Formula: $ \text{Quarterly SP} = \frac{\text{Quarterly Revenue}}{\text{Net Assets}} $ [13] Factor Name: Quarterly SP One-Year Percentile - Construction Idea: Tracks the relative revenue generation capability of a stock over the past year [13] - Construction Process: - Formula: Quarterly SP One-Year Percentile = Percentile rank of the current Quarterly SP within the last year [13] Factor Name: Small Market Cap - Construction Idea: Captures the size effect by focusing on smaller companies [13] - Construction Process: - Formula: $ \text{Small Market Cap} = \log(\text{Market Capitalization}) $ [13] Factor Name: 1-Month Reversal - Construction Idea: Captures the short-term reversal effect in stock prices [13] - Construction Process: - Formula: $ \text{1-Month Reversal} = \text{Cumulative Return over the Last 20 Trading Days} $ [13] Factor Name: Fama-French Three-Factor 1-Month Residual Volatility - Construction Idea: Measures the idiosyncratic risk of a stock based on the Fama-French three-factor model [13] - Construction Process: - Formula: $ \text{Residual Volatility} = \text{Standard Deviation of Residuals from Fama-French Three-Factor Regression over the Last 20 Trading Days} $ [13] --- Factor Backtesting Results IC Performance - BP: Weekly IC = -4.17%, Monthly IC = 0.88%, Yearly IC = 1.86%, Historical IC = 2.19% [9] - BP Three-Year Percentile: Weekly IC = -1.08%, Monthly IC = -0.99%, Yearly IC = 2.58%, Historical IC = 1.58% [9] - Quarterly EP: Weekly IC = 2.10%, Monthly IC = -0.48%, Yearly IC = -0.46%, Historical IC = 1.18% [9] - Quarterly EP One-Year Percentile: Weekly IC = 4.23%, Monthly IC = 3.81%, Yearly IC = 0.98%, Historical IC = 1.73% [9] - Quarterly SP: Weekly IC = 0.79%, Monthly IC = 0.93%, Yearly IC = 0.53%, Historical IC = 0.74% [9] - Quarterly SP One-Year Percentile: Weekly IC = 4.80%, Monthly IC = 2.82%, Yearly IC = 2.87%, Historical IC = 1.83% [9] - Small Market Cap: Weekly IC = 10.49%, Monthly IC = 8.17%, Yearly IC = 3.61%, Historical IC = 2.05% [9] - 1-Month Reversal: Weekly IC = 7.22%, Monthly IC = 1.22%, Yearly IC = 3.40%, Historical IC = 2.22% [9] - Fama-French Three-Factor 1-Month Residual Volatility: Weekly IC = 3.60%, Monthly IC = 1.11%, Yearly IC = 3.49%, Historical IC = 2.48% [9] Excess Return Performance (Long-Only Portfolio) - BP: Weekly Excess Return = -0.83%, Monthly Excess Return = -1.04%, Yearly Excess Return = 3.02%, Historical Cumulative Excess Return = 28.90% [11] - BP Three-Year Percentile: Weekly Excess Return = -0.58%, Monthly Excess Return = -1.51%, Yearly Excess Return = 0.97%, Historical Cumulative Excess Return = -3.21% [11] - Quarterly EP: Weekly Excess Return = 0.57%, Monthly Excess Return = 1.10%, Yearly Excess Return = 1.44%, Historical Cumulative Excess Return = 30.83% [11] - Quarterly EP One-Year Percentile: Weekly Excess Return = -0.01%, Monthly Excess Return = 0.51%, Yearly Excess Return = 3.23%, Historical Cumulative Excess Return = 34.69% [11] - Quarterly SP: Weekly Excess Return = -0.01%, Monthly Excess Return = 0.49%, Yearly Excess Return = 0.70%, Historical Cumulative Excess Return = -2.69% [11] - Quarterly SP One-Year Percentile: Weekly Excess Return = 0.09%, Monthly Excess Return = 1.25%, Yearly Excess Return = 7.91%, Historical Cumulative Excess Return = 2.23% [11] - Small Market Cap: Weekly Excess Return = 0.96%, Monthly Excess Return = 2.76%, Yearly Excess Return = 18.31%, Historical Cumulative Excess Return = 62.57% [11] - 1-Month Reversal: Weekly Excess Return = 0.83%, Monthly Excess Return = 0.76%, Yearly Excess Return = 3.54%, Historical Cumulative Excess Return = 1.57% [11] - Fama-French Three-Factor 1-Month Residual Volatility: Weekly Excess Return = 0.28%, Monthly Excess Return = 0.75%, Yearly Excess Return = 8.69%, Historical Cumulative Excess Return = 18.67% [11]