多因子选股周报：估值因子表现出色，中证1000增强组合年内超额12.61%-20250621

Quantitative Models and Construction Methods 1. Model Name: Maximized Factor Exposure Portfolio (MFE) - Model Construction Idea: The MFE model is designed to test the effectiveness of individual factors under real-world constraints, such as industry exposure, style exposure, stock weight limits, and turnover constraints. By maximizing single-factor exposure while adhering to these constraints, the model evaluates the predictive power of factors in a controlled environment [40][41]. - Model Construction Process: - The optimization model aims to maximize single-factor exposure: $ \begin{array}{ll} max & f^{T}\ w \ 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} $ - Objective Function: Maximize $f^{T}w$, where $f$ represents factor values and $w$ represents stock weights [40][41]. - Constraints: 1. Style Exposure: $X$ is the factor exposure matrix, $w_b$ is the benchmark weight vector, and $s_l$, $s_h$ are the lower and upper bounds for style exposure [41]. 2. Industry Exposure: $H$ is the industry exposure matrix, and $h_l$, $h_h$ are the lower and upper bounds for industry deviation [41]. 3. Stock Weight Deviation: $w_l$, $w_h$ are the lower and upper bounds for stock weight deviation [41]. 4. Constituent Weight Control: $B_b$ is a binary vector indicating benchmark constituents, and $b_l$, $b_h$ are the lower and upper bounds for constituent weights [41]. 5. No Short Selling: Ensures non-negative weights and limits individual stock weights [41]. 6. Full Investment: Ensures the portfolio is fully invested with weights summing to 1 [42]. - Implementation: - At the end of each month, MFE portfolios are constructed for each factor under the specified constraints. - Historical returns are calculated for the MFE portfolios, adjusted for transaction costs (0.3% per side), and compared to the benchmark [44]. - Model Evaluation: The MFE model is effective in testing factor performance under realistic constraints, making it a practical tool for portfolio construction and factor validation [40][41]. --- Quantitative Factors and Construction Methods 1. Factor Name: Book-to-Price Ratio (BP) - Factor Construction Idea: Measures valuation by comparing book value to market capitalization [18]. - Factor Construction Process: - Formula: $ BP = \frac{\text{Net Assets}}{\text{Market Capitalization}} $ [18]. 2. Factor Name: Earnings-to-Price Ratio (EP) - Factor Construction Idea: Evaluates profitability relative to market capitalization [18]. - Factor Construction Process: - Formula: $ EP = \frac{\text{Net Income (Quarterly)}}{\text{Market Capitalization}} $ [18]. 3. Factor Name: Earnings-to-Price TTM (EPTTM) - Factor Construction Idea: Tracks trailing twelve-month earnings relative to market capitalization [18]. - Factor Construction Process: - Formula: $ EPTTM = \frac{\text{Net Income (TTM)}}{\text{Market Capitalization}} $ [18]. 4. Factor Name: Momentum (1-Year Momentum) - Factor Construction Idea: Captures price trends by measuring returns over the past year, excluding the most recent month [18]. - Factor Construction Process: - Formula: $ \text{1-Year Momentum} = \text{Cumulative Return (Year)} - \text{Return (Last Month)} $ [18]. 5. Factor Name: Analyst Coverage (3-Month Coverage) - Factor Construction Idea: Measures the number of analysts covering a stock over the past three months [18]. - Factor Construction Process: - Formula: $ \text{3-Month Coverage} = \text{Number of Analysts Covering Stock (Last 3 Months)} $ [18]. --- Factor Backtesting Results 1. Factor Performance in CSI 300 Universe - Best-Performing Factors (Recent Week): EPTTM, Single-Quarter EP, EPTTM Percentile [20]. - Worst-Performing Factors (Recent Week): 1-Year Momentum, Executive Compensation, Illiquidity Shock [20]. 2. Factor Performance in CSI 500 Universe - Best-Performing Factors (Recent Week): BP, Expected BP, Expected EPTTM [22]. - Worst-Performing Factors (Recent Week): 1-Year Momentum, 3-Month Coverage, Illiquidity Shock [22]. 3. Factor Performance in CSI 1000 Universe - Best-Performing Factors (Recent Week): BP, 1-Month Turnover, 3-Month Volatility [24]. - Worst-Performing Factors (Recent Week): 1-Year Momentum, 3-Month Coverage, Single-Quarter ROE [24]. 4. Factor Performance in CSI A500 Universe - Best-Performing Factors (Recent Week): Single-Quarter EP, Expected EPTTM, Expected PEG [26]. - Worst-Performing Factors (Recent Week): 3-Month Reversal, 1-Year Momentum, 1-Month Reversal [26]. 5. Factor Performance in Public Fund Heavyweight Index - Best-Performing Factors (Recent Week): Expected EPTTM, Single-Quarter EP, Expected PEG [28]. - Worst-Performing Factors (Recent Week): 1-Year Momentum, 3-Month Coverage, Expected Net Profit QoQ [28].