东方因子周报：Trend风格登顶，六个月UMR因子表现出色-20250622

Quantitative Models and Construction Methods - Model Name: Maximized Factor Exposure (MFE) Portfolio Model Construction Idea: The MFE portfolio aims to maximize the exposure of a single factor while controlling for constraints such as industry exposure, style exposure, stock weight deviation, and turnover rate. This approach evaluates the effectiveness of factors under realistic constraints in enhanced index portfolios [56][57][59] Model Construction Process: The optimization model is formulated as follows: $ \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} \ & 0\leq w\leq l \ & 1^{T}w=1 \ & \Sigma|w-w_{0}|\leq to_{h} \end{array} $ - Objective Function: Maximize single-factor exposure, where $f$ represents factor values, and $w$ is the stock weight vector - Constraints: 1. Style exposure deviation ($X$): $s_{l}$ and $s_{h}$ are the lower and upper bounds for style factor deviation 2. Industry exposure deviation ($H$): $h_{l}$ and $h_{h}$ are the lower and upper bounds for industry deviation 3. Stock weight deviation ($w_{l}$ and $w_{h}$): Limits on individual stock weight deviation relative to the benchmark 4. Component weight limits ($b_{l}$ and $b_{h}$): Constraints on the weight of benchmark components 5. No short selling and upper limits on stock weights 6. Full investment constraint: $1^{T}w=1$ 7. Turnover constraint: $\Sigma|w-w_{0}|\leq to_{h}$, where $w_{0}$ is the previous period's weight [56][57][59] Model Evaluation: The model effectively balances factor exposure and practical constraints, ensuring stable returns and avoiding excessive concentration in specific stocks [60] --- Quantitative Factors and Construction Methods - Factor Name: Six-Month UMR Factor Construction Idea: The six-month UMR factor measures risk-adjusted momentum over a six-month window, capturing medium-term momentum trends [19][8][44] Factor Construction Process: - The UMR (Up-Minus-Down Ratio) is calculated as the ratio of upward movements to downward movements in stock prices over a specified period - The six-month UMR specifically uses a six-month window to compute this ratio, adjusted for risk [19][8][44] Factor Evaluation: This factor demonstrates strong performance in various index spaces, particularly in the CSI 500 and CSI All Share indices, indicating its effectiveness in capturing medium-term momentum [8][44] - Factor Name: Three-Month UMR Factor Construction Idea: Similar to the six-month UMR, this factor focuses on shorter-term momentum trends over a three-month window [19][8][44] Factor Construction Process: - The three-month UMR is calculated using the same methodology as the six-month UMR but with a three-month window for data aggregation [19][8][44] Factor Evaluation: This factor shows consistent performance across multiple indices, including the CSI 500 and CSI All Share indices, making it a reliable short-term momentum indicator [8][44] - Factor Name: Pre-Tax Earnings to Total Market Value (EPTTM) Factor Construction Idea: This valuation factor evaluates the earnings yield of a stock, providing insights into its relative valuation [19][8][44] Factor Construction Process: - EPTTM is calculated as the ratio of pre-tax earnings to the total market value of a stock, with adjustments for rolling time windows (e.g., one year) [19][8][44] Factor Evaluation: EPTTM consistently ranks among the top-performing valuation factors, particularly in the CSI 300 and CSI 800 indices, reflecting its robustness in identifying undervalued stocks [8][44] --- Backtesting Results of Models - MFE Portfolio: - The MFE portfolio demonstrates strong performance under various constraints, with backtesting results showing significant alpha generation relative to benchmarks like CSI 300, CSI 500, and CSI 1000 [60][61] --- Backtesting Results of Factors - Six-Month UMR: - CSI 500: Weekly return of 0.99%, monthly return of 1.65%, annualized return of -4.07% [26] - CSI All Share: Weekly return of 1.23%, monthly return of 1.59%, annualized return of 7.43% [44] - Three-Month UMR: - CSI 500: Weekly return of 0.94%, monthly return of 1.31%, annualized return of 0.68% [26] - CSI All Share: Weekly return of 1.02%, monthly return of 1.63%, annualized return of 5.64% [44] - EPTTM: - CSI 300: Weekly return of 0.74%, monthly return of 1.42%, annualized return of 3.89% [22] - CSI 800: Weekly return of 1.00%, monthly return of 1.91%, annualized return of 2.87% [30]