Quantitative Factors and Construction Methods 1. Factor Name: bp - Factor Construction Idea: Measures the valuation level of a stock based on its book-to-price ratio [13] - Factor Construction Process: Calculated as the current net asset divided by the current total market value $ bp = \frac{\text{Current Net Asset}}{\text{Current Total Market Value}} $ [13] 2. Factor Name: bp Three-Year Percentile - Factor Construction Idea: Evaluates the relative valuation of a stock over the past three years [13] - Factor Construction Process: Represents the percentile rank of the current bp value within the stock's bp distribution over the last three years [13] 3. Factor Name: Quarterly EP - Factor Construction Idea: Reflects the profitability of a stock relative to its equity [13] - Factor Construction Process: Calculated as the quarterly net profit divided by the net asset $ \text{Quarterly EP} = \frac{\text{Quarterly Net Profit}}{\text{Net Asset}} $ [13] 4. Factor Name: Quarterly EP One-Year Percentile - Factor Construction Idea: Measures the relative profitability of a stock over the past year [13] - Factor Construction Process: Represents the percentile rank of the current quarterly EP value within the stock's EP distribution over the last year [13] 5. Factor Name: Quarterly SP - Factor Construction Idea: Indicates the revenue generation efficiency of a stock relative to its equity [13] - Factor Construction Process: Calculated as the quarterly operating revenue divided by the net asset $ \text{Quarterly SP} = \frac{\text{Quarterly Operating Revenue}}{\text{Net Asset}} $ [13] 6. Factor Name: Quarterly SP One-Year Percentile - Factor Construction Idea: Evaluates the relative revenue efficiency of a stock over the past year [13] - Factor Construction Process: Represents the percentile rank of the current quarterly SP value within the stock's SP distribution over the last year [13] 7. Factor Name: Fama-French Three-Factor One-Month Residual Volatility - Factor Construction Idea: Measures the idiosyncratic risk of a stock based on its residual volatility after regressing against the Fama-French three-factor model [13] - Factor Construction Process: Calculated as the standard deviation of the residuals from the regression of daily returns over the past 20 trading days on the Fama-French three factors $ \text{Residual Volatility} = \sqrt{\frac{\sum (\text{Actual Return} - \text{Predicted Return})^2}{n}} $ where "Predicted Return" is derived from the Fama-French three-factor model [13] 8. Factor Name: One-Month Excess Return Volatility - Factor Construction Idea: Captures the volatility of a stock's excess return over the past month [13] - Factor Construction Process: Calculated as the standard deviation of the excess returns over the past 20 trading days $ \text{Excess Return Volatility} = \sqrt{\frac{\sum (\text{Excess Return} - \text{Mean Excess Return})^2}{n}} $ [13] --- Factor Backtesting Results IC Performance - bp: Weekly IC = 9.73%, Monthly IC = 2.21%, Yearly IC = 1.64%, Historical IC = 2.27% [9] - bp Three-Year Percentile: Weekly IC = 14.75%, Monthly IC = 3.36%, Yearly IC = 2.85%, Historical IC = 1.69% [9] - Quarterly EP: Weekly IC = -4.31%, Monthly IC = 0.38%, Yearly IC = -0.58%, Historical IC = 1.13% [9] - Quarterly EP One-Year Percentile: Weekly IC = 7.25%, Monthly IC = 3.57%, Yearly IC = 0.94%, Historical IC = 1.73% [9] - Quarterly SP: Weekly IC = -0.92%, Monthly IC = 0.38%, Yearly IC = 0.23%, Historical IC = 0.71% [9] - Quarterly SP One-Year Percentile: Weekly IC = 11.79%, Monthly IC = 4.40%, Yearly IC = 3.08%, Historical IC = 1.86% [9] - Fama-French Three-Factor One-Month Residual Volatility: Weekly IC = 14.50%, Monthly IC = 5.11%, Yearly IC = 3.29%, Historical IC = 2.54% [9] - One-Month Excess Return Volatility: Weekly IC = 14.87%, Monthly IC = 5.14%, Yearly IC = 3.26%, Historical IC = 2.22% [9] Long-Only Portfolio Excess Returns - bp: Weekly Excess Return = 0.52%, Monthly Excess Return = -0.36%, Yearly Excess Return = 1.57%, Historical Cumulative Excess Return = 30.39% [11] - bp Three-Year Percentile: Weekly Excess Return = 0.75%, Monthly Excess Return = -0.59%, Yearly Excess Return = 3.19%, Historical Cumulative Excess Return = -1.63% [11] - Quarterly EP: Weekly Excess Return = 0.13%, Monthly Excess Return = 1.56%, Yearly Excess Return = 1.05%, Historical Cumulative Excess Return = 30.66% [11] - Quarterly EP One-Year Percentile: Weekly Excess Return = 0.81%, Monthly Excess Return = 0.32%, Yearly Excess Return = 3.53%, Historical Cumulative Excess Return = 33.78% [11] - Quarterly SP: Weekly Excess Return = -0.30%, Monthly Excess Return = 0.33%, Yearly Excess Return = 0.34%, Historical Cumulative Excess Return = -2.98% [11] - Quarterly SP One-Year Percentile: Weekly Excess Return = 0.56%, Monthly Excess Return = 1.09%, Yearly Excess Return = 9.91%, Historical Cumulative Excess Return = 1.99% [11] - Fama-French Three-Factor One-Month Residual Volatility: Weekly Excess Return = 1.33%, Monthly Excess Return = 1.68%, Yearly Excess Return = 8.97%, Historical Cumulative Excess Return = 19.84% [11] - One-Month Excess Return Volatility: Weekly Excess Return = 1.34%, Monthly Excess Return = 1.55%, Yearly Excess Return = 10.29%, Historical Cumulative Excess Return = 11.42% [11]
因子跟踪周报:波动率、bp分位数因子表现较好-20250621
Tianfeng Securities·2025-06-21 07:11