中邮因子周报：低估值风格显著，小市值占优-20250609

Quantitative Models and Construction 1. Model Name: GRU (Gated Recurrent Unit) Models - Model Construction Idea: GRU models are used to capture sequential patterns in stock price movements and combine fundamental and technical features for prediction[3][4] - Model Construction Process: - The GRU models are trained on historical stock data, incorporating both fundamental and technical indicators as input features - Different variations of GRU models are used, such as open1d, close1d, and barra1d, which focus on specific aspects of stock price movements (e.g., open prices, close prices, or Barra-style factor adjustments)[4][5][6] - Model Evaluation: GRU models show mixed performance, with some models like barra1d performing well, while others like close1d exhibit significant drawdowns[5][6][8] --- Backtesting Results of Models GRU Models - open1d: Weekly excess return: -0.23%, Monthly: 2.34%, YTD: 6.70%[31][32] - close1d: Weekly excess return: 0.06%, Monthly: 3.83%, YTD: 5.55%[31][32] - barra1d: Weekly excess return: 0.00%, Monthly: 0.34%, YTD: 3.33%[31][32] - barra5d: Weekly excess return: 0.10%, Monthly: 2.88%, YTD: 7.01%[31][32] --- Quantitative Factors and Construction 1. Factor Name: Beta - Factor Construction Idea: Measures the historical sensitivity of a stock's returns to market returns[15] - Factor Construction Process: Calculated as the historical beta of the stock relative to the market[15] 2. Factor Name: Momentum - Factor Construction Idea: Captures the average historical excess returns of a stock over a specific period[15] - Factor Construction Process: - Momentum = Mean of historical excess return series[15] 3. Factor Name: Volatility - Factor Construction Idea: Measures the variability of a stock's excess returns over time[15] - Factor Construction Process: - Volatility = 0.74 * Historical excess return volatility + 0.16 * Cumulative excess return deviation + 0.10 * Residual return volatility[15] 4. Factor Name: Valuation - Factor Construction Idea: Represents the inverse of the price-to-book ratio, indicating undervaluation[15] - Factor Construction Process: - Valuation = 1 / Price-to-Book Ratio[15] 5. Factor Name: Growth - Factor Construction Idea: Measures the growth potential of a stock based on earnings and revenue growth[15] - Factor Construction Process: - Growth = 0.24 * Earnings Growth Rate + 0.47 * Revenue Growth Rate[15] 6. Factor Name: Profitability - Factor Construction Idea: Combines various profitability metrics to assess a stock's financial health[15] - Factor Construction Process: - Profitability = 0.68 * Analyst Forecast Earnings Yield + 0.21 * Inverse of Price-to-Cash Flow Ratio + 0.11 * Inverse of Price-to-Earnings Ratio (TTM) + 0.18 * Analyst Forecast Long-Term Growth Rate + 0.11 * Analyst Forecast Short-Term Growth Rate[15] --- Backtesting Results of Factors Fundamental Factors - Static Financial Factors: Weekly excess return: Negative[4][6] - Growth Factors: Weekly excess return: Positive[4][6] - Surprise Growth Factors: Weekly excess return: Positive[4][6] Technical Factors - Short-Term Momentum: Weekly excess return: Negative[4][6] - Long-Term Momentum: Weekly excess return: Positive[4][6] - Volatility: Weekly excess return: Positive[4][6] GRU Factors - open1d: Weekly excess return: Positive[4][6] - close1d: Weekly excess return: Negative[5][6] - barra1d: Weekly excess return: Positive[5][6]