因子周报20250606 ：本周Beta与小市值风格强劲-20250607

Quantitative Models and Construction Methods - Model Name: Neutral Constraint Maximum Factor Exposure Portfolio Model Construction Idea: The model aims to maximize the exposure of a target factor in the portfolio while maintaining neutrality in industry and style exposures relative to the benchmark index[59][60][61] Model Construction Process: 1. Objective Function: Maximize the portfolio's exposure to the target factor $Max \ w^{\prime} X_{target}$ 2. Constraints: - Industry neutrality: $(w-w_{b})^{\prime} X_{ind}=0$ - Style neutrality (size, valuation, growth): $(w-w_{b})^{\prime} X_{Beta}=0$ - Stock weight deviation from benchmark: $|w-w_{b}|\leq1%$ - No short selling: $w\geq0$ - Full investment: $w^{\prime} 1=1$ - Stocks must belong to the benchmark: $w^{\prime} B=1$ 3. Factor neutralization: Before constructing the portfolio, factors are neutralized to remove correlations with industry and style factors, and all factor directions are adjusted to be positive[59][60][61] Model Evaluation: The model effectively balances factor exposure maximization with risk control through constraints, ensuring robustness in various market conditions[59][60][61] --- Model Backtesting Results - Neutral Constraint Maximum Factor Exposure Portfolio - CSI 300 Enhanced Portfolio: Weekly excess return 0.35%, monthly excess return 0.33%, annual excess return 0.40%[56] - CSI 500 Enhanced Portfolio: Weekly excess return -0.52%, monthly excess return 1.34%, annual excess return -0.05%[56] - CSI 800 Enhanced Portfolio: Weekly excess return 0.29%, monthly excess return 1.59%, annual excess return 0.74%[56] - CSI 1000 Enhanced Portfolio: Weekly excess return 0.25%, monthly excess return 2.83%, annual excess return 15.68%[57] - CSI 300 ESG Enhanced Portfolio: Weekly excess return 0.14%, monthly excess return 0.62%, annual excess return 5.94%[57] --- Quantitative Factors and Construction Methods - Factor Name: Beta Factor Factor Construction Idea: Measures the sensitivity of a stock's returns to the market's returns, capturing risk preferences in the market[15][16] Factor Construction Process: - Calculate the stock's daily returns over the past 252 trading days - Perform an exponentially weighted regression of the stock's returns against the market index (CSI All Share Index) with a half-life of 63 days - Use the regression coefficient as the Beta value[15][16] Factor Evaluation: The Beta factor effectively captures market risk preferences, as evidenced by its strong performance in high-risk environments[15][16] - Factor Name: Size Factor Factor Construction Idea: Captures the size effect, where smaller-cap stocks tend to outperform larger-cap stocks[15][16] Factor Construction Process: - Compute the natural logarithm of the total market capitalization of each stock[15][16] Factor Evaluation: The size factor consistently demonstrates the small-cap effect, particularly in high-volatility markets[15][16] - Factor Name: Momentum Factor Factor Construction Idea: Identifies stocks with strong past performance, assuming trends persist in the short term[15][16] Factor Construction Process: - Calculate cumulative returns over the past 504 trading days, excluding the most recent 21 days - Apply an exponentially weighted average with a half-life of 126 days to the return series[15][16] Factor Evaluation: The momentum factor is effective in trending markets but may underperform during reversals[15][16] --- Factor Backtesting Results - Beta Factor: Weekly long-short return 2.61%, monthly long-short return -1.82%[18] - Size Factor: Weekly long-short return -2.11%, monthly long-short return -8.87%[18] - Momentum Factor: Weekly long-short return 0.58%, monthly long-short return -1.85%[18] --- Stock Selection Factors and Performance - Factor Name: Single Quarter ROE Factor Construction Idea: Measures profitability by comparing net income to shareholder equity for a single quarter[20][21] Factor Construction Process: - Calculate the ratio of net income attributable to shareholders to total shareholder equity for the most recent quarter[20][21] Factor Backtesting Results: - CSI 300: Weekly excess return 0.72%, monthly excess return 1.90%, annual excess return 5.43%[23] - CSI 500: Weekly excess return 0.85%, monthly excess return 0.91%, annual excess return 5.90%[29] - CSI 800: Weekly excess return 1.02%, monthly excess return 2.06%, annual excess return 3.95%[32] - CSI 1000: Weekly excess return 1.09%, monthly excess return 2.44%, annual excess return -3.47%[36] - Factor Name: Single Quarter EP Factor Construction Idea: Measures earnings yield by comparing net income to market capitalization for a single quarter[20][21] Factor Construction Process: - Calculate the ratio of net income attributable to shareholders to total market capitalization for the most recent quarter[20][21] Factor Backtesting Results: - CSI 300: Weekly excess return 0.89%, monthly excess return 1.65%, annual excess return 0.86%[23] - CSI 500: Weekly excess return 0.50%, monthly excess return 1.87%, annual excess return -4.22%[29] - CSI 800: Weekly excess return 1.06%, monthly excess return 2.04%, annual excess return -1.54%[32] - CSI 1000: Weekly excess return 0.38%, monthly excess return 1.69%, annual excess return -5.99%[36] - Factor Name: 20-Day Reversal Factor Construction Idea: Captures short-term mean reversion by focusing on stocks with recent underperformance[20][21] Factor Construction Process: - Calculate cumulative returns over the past 20 trading days[20][21] Factor Backtesting Results: - CSI 300: Weekly excess return 0.11%, monthly excess return -0.15%, annual excess return 8.90%[23] - CSI 500: Weekly excess return 0.80%, monthly excess return 1.57%, annual excess return 3.33%[29] - CSI 800: Weekly excess return 0.39%, monthly excess return 0.59%, annual excess return 8.27%[32] - CSI 1000: Weekly excess return 0.64%, monthly excess return 1.38%, annual excess return -6.69%[36]