主动量化周报：6月中旬：边际乐观，逢低建仓-20250608

• The report suggests that the market is currently at a good point for building positions due to sufficient pessimistic expectations indicated by factors such as futures discount and reduced trading volume[1][10][11] - The report highlights that if the annualized discount of the CSI 500 index futures exceeds 15%, buying the CSI 500 index and holding it for more than 12 trading days can lead to average cumulative returns increasing, with a win rate exceeding 50% after 33 trading days and reaching about 60% after 50 trading days[1][11] - The report mentions that the public funds are inclined to adjust their benchmark to the CSI 800, which has higher allocations in pharmaceuticals, chemicals, and computers compared to the previous mainstream benchmark CSI 300, potentially bringing event-driven returns[2][12] - The report constructs a "active capital activity indicator" based on the Dragon and Tiger list data, which has been declining since the end of April, indicating a decrease in risk appetite among active funds, but has recently shown signs of marginal recovery[3][13] - The report monitors the activity of informed traders, noting that the informed trader activity indicator has been hovering near the zero line, suggesting a cautious attitude towards the market[15] - The report calculates the rolling 12-month ROE and net profit growth rate changes for Shenwan first-level industries, with industries like light manufacturing, building materials, and real estate showing significant growth in net profit expectations[18][19] - The report observes that the net inflow of margin trading funds this week is highest in the pharmaceutical and biological industry, with a net inflow of 2.69 billion yuan[20][21] - The report analyzes the performance of BARRA style factors, noting that fundamental-related factors have shown significant positive excess returns, and funds prefer growth over value in the short term[23][24] Quantitative Models and Construction Methods 1. Model Name: Active Capital Activity Indicator - Construction Idea: Based on Dragon and Tiger list data to measure the activity level of active funds - Construction Process: The indicator is constructed by tracking the trading activity of active funds listed on the Dragon and Tiger list, with a focus on their buying and selling behavior over time[3][13] - Evaluation: Indicates the risk appetite of active funds, useful for understanding market sentiment[3][13] 2. Model Name: Informed Trader Activity Indicator - Construction Idea: Measures the activity level of informed traders to gauge market sentiment - Construction Process: The indicator is constructed by analyzing the trading activity of informed traders, focusing on their buying and selling patterns and their impact on market movements[15] - Evaluation: Provides insights into the cautious or optimistic attitudes of informed traders towards the market[15] Quantitative Factors and Construction Methods 1. Factor Name: Futures Discount Factor - Construction Idea: Based on the annualized discount of the CSI 500 index futures - Construction Process: The factor is constructed by calculating the annualized discount of the CSI 500 index futures and analyzing its impact on the index's performance over different holding periods[1][11] - Evaluation: Historical data shows that a significant discount can indicate a good entry point for building positions[1][11] 2. Factor Name: Industry ROE and Net Profit Growth Factor - Construction Idea: Based on the rolling 12-month ROE and net profit growth rate changes for Shenwan first-level industries - Construction Process: The factor is constructed by calculating the rolling 12-month ROE and net profit growth rate changes for each industry, and identifying industries with significant growth[18][19] - Evaluation: Helps identify industries with strong growth potential and positive market expectations[18][19] Factor Backtesting Results 1. Futures Discount Factor - Win Rate after 33 Trading Days: >50%[1][11] - Win Rate after 50 Trading Days: ~60%[1][11] 2. Industry ROE and Net Profit Growth Factor - Light Manufacturing Net Profit Growth: 0.63%[18][19] - Building Materials Net Profit Growth: 0.56%[18][19] - Real Estate Net Profit Growth: 0.49%[18][19] Style Factor Performance 1. Turnover: -0.3%[24] 2. Financial Leverage: 0.0%[24] 3. Earnings Volatility: 0.3%[24] 4. Earnings Quality: 0.2%[24] 5. Profitability: 0.3%[24] 6. Investment Quality: 0.1%[24] 7. Long-term Reversal: 0.1%[24] 8. EP Value: -0.1%[24] 9. BP Value: 0.0%[24] 10. Growth: 0.1%[24] 11. Momentum: 0.2%[24] 12. Non-linear Size: -0.3%[24] 13. Size: -0.5%[24] 14. Volatility: 0.2%[24] 15. Near-term Reversal: 0.4%[24] 16. Dividend Yield: -0.1%[24]