多因子选股周报：四大指增组合本周均跑赢基准，中证1000增强组合年内超额11.66%-20250607

Quantitative Models and Construction Methods Model Name: Guosen JinGong Index Enhanced Portfolio - Model Construction Idea: The model aims to outperform its respective benchmarks by constructing enhanced portfolios based on multiple factors[12][13] - Model Construction Process: The construction process includes three main components: return prediction, risk control, and portfolio optimization. The model uses the following optimization formula to construct the Maximized Factor Exposure (MFE) portfolio: $\begin{array}{ll} \text{max} & f^{T} w \\ \text{s.t.} & s_{l} \leq X(w - w_{b}) \leq s_{h} \\ & h_{l} \leq H(w - w_{b}) \leq h_{h} \\ & w_{l} \leq w - w_{b} \leq w_{h} \\ & b_{l} \leq B_{b} w \leq b_{h} \\ & \mathbf{0} \leq w \leq l \\ & \mathbf{1}^{T} w = 1 \end{array}$ where $f$ represents the factor values, $w$ is the stock weight vector, $X$ is the factor exposure matrix, $H$ is the industry exposure matrix, and $B_{b}$ is the 0-1 vector indicating whether a stock is part of the benchmark index[41][42][43] - Model Evaluation: The model is designed to control various exposures and constraints, making it more likely to achieve stable and reliable performance in real-world conditions[41][42][43] Model Backtesting Results - Guosen JinGong Index Enhanced Portfolio: - CSI 300 Index Enhanced Portfolio: Weekly excess return 0.83%, annual excess return 5.09%[6][15] - CSI 500 Index Enhanced Portfolio: Weekly excess return 1.13%, annual excess return 7.75%[6][15] - CSI 1000 Index Enhanced Portfolio: Weekly excess return 1.86%, annual excess return 11.66%[6][15] - CSI A500 Index Enhanced Portfolio: Weekly excess return 1.24%, annual excess return 7.78%[6][15] Quantitative Factors and Construction Methods Factor Name: Single-Quarter ROE - Factor Construction Idea: Measures the return on equity for a single quarter to evaluate a company's profitability[18] - Factor Construction Process: $\text{Single-Quarter ROE} = \frac{\text{Net Income} \times 2}{\text{Beginning Equity} + \text{Ending Equity}}$ where net income is the net profit attributable to shareholders, and equity is the shareholders' equity at the beginning and end of the quarter[18] - Factor Evaluation: This factor is effective in capturing the profitability of companies and has shown good performance in various index spaces[18] Factor Name: Delta ROE - Factor Construction Idea: Measures the change in return on equity compared to the same quarter of the previous year to capture improvements or deteriorations in profitability[18] - Factor Construction Process: $\text{Delta ROE} = \text{Current Quarter ROE} - \text{ROE of the Same Quarter Last Year}$ where ROE is calculated as above[18] - Factor Evaluation: This factor is useful for identifying companies with improving or deteriorating profitability trends[18] Factor Backtesting Results - CSI 300 Index Space: - Single-Quarter ROE: Weekly excess return 0.64%, monthly excess return 1.78%, annual excess return 3.31%, historical annualized return 4.34%[20] - Delta ROE: Weekly excess return 0.41%, monthly excess return 1.59%, annual excess return 3.58%, historical annualized return 3.62%[20] - CSI 500 Index Space: - Single-Quarter ROE: Weekly excess return 0.35%, monthly excess return 1.14%, annual excess return 1.39%, historical annualized return 5.12%[22] - Delta ROE: Weekly excess return 0.89%, monthly excess return 1.41%, annual excess return 2.54%, historical annualized return 7.27%[22] - CSI 1000 Index Space: - Single-Quarter ROE: Weekly excess return 1.75%, monthly excess return 2.65%, annual excess return -1.60%, historical annualized return 7.78%[24] - Delta ROE: Weekly excess return 1.78%, monthly excess return 1.50%, annual excess return 3.83%, historical annualized return 8.66%[24] - CSI A500 Index Space: - Single-Quarter ROE: Weekly excess return 0.84%, monthly excess return 2.37%, annual excess return 3.03%, historical annualized return 2.79%[26] - Delta ROE: Weekly excess return 0.75%, monthly excess return 1.77%, annual excess return 3.11%, historical annualized return 3.47%[26] - Public Fund Heavy Index Space: - Single-Quarter ROE: Weekly excess return 0.57%, monthly excess return 1.41%, annual excess return 0.99%, historical annualized return 2.52%[28] - Delta ROE: Weekly excess return 1.03%, monthly excess return 1.71%, annual excess return 3.79%, historical annualized return 3.64%[28]