Quantitative Models and Construction Methods - Model Name: Maximized Factor Exposure Portfolio (MFE) Model Construction Idea: The MFE portfolio is designed to maximize the exposure of a single factor while controlling for various constraints such as industry exposure, style exposure, stock weight deviation, and turnover limits. This approach ensures that the factor's predictive power is tested under realistic portfolio constraints, making it more applicable in actual investment scenarios [39][40]. Model Construction Process: The MFE portfolio is constructed using the following optimization model: $ \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 single-factor exposure, where represents factor values, and is the stock weight vector. - Constraints: - Style Exposure: is the factor exposure matrix, is the benchmark weight vector, and are the lower and upper bounds for style exposure. - Industry Exposure: is the industry exposure matrix, and are the lower and upper bounds for industry deviation. - Stock Weight Deviation: are the lower and upper bounds for stock weight deviation. - Component Weight Control: is a binary vector indicating benchmark components, and are the lower and upper bounds for component weights. - No Short Selling: Ensures non-negative weights and limits individual stock weights. - Full Investment: Ensures the portfolio is fully invested () [40][41]. Model Evaluation: The MFE portfolio effectively tests factor efficacy under realistic constraints, making it a robust tool for factor validation in enhanced index strategies [39][40]. --- Quantitative Factors and Construction Methods - Factor Name: Three-Month Reversal Factor Construction Idea: Measures the reversal effect by calculating the return over the past 60 trading days, assuming stocks with recent underperformance may outperform in the future [17]. Factor Construction Process: $ \text{Three-Month Reversal} = \text{Cumulative Return over the Past 60 Trading Days} $ Factor Evaluation: Demonstrates strong performance in certain index spaces, such as CSI 1000 and CSI A500, but underperforms in others like CSI 500 [17][22][25]. - Factor Name: One-Year Momentum Factor Construction Idea: Captures the momentum effect by excluding the most recent month and calculating the cumulative return over the prior 11 months [17]. Factor Construction Process: $ \text{One-Year Momentum} = \text{Cumulative Return over the Past 11 Months (Excluding the Most Recent Month)} $ Factor Evaluation: Performs well in CSI 500 and CSI 1000 spaces but shows mixed results in other index spaces [17][21][23]. - Factor Name: Standardized Unexpected Earnings (SUE) Factor Construction Idea: Measures the deviation of actual earnings from expected earnings, standardized by the standard deviation of expected earnings [17]. Factor Construction Process: $ \text{SUE} = \frac{\text{Actual Earnings} - \text{Expected Earnings}}{\text{Standard Deviation of Expected Earnings}} $ Factor Evaluation: Consistently performs well across multiple index spaces, indicating its robustness as a predictive factor [17][22][25]. - Factor Name: Delta ROE (DELTAROE) Factor Construction Idea: Measures the change in return on equity (ROE) compared to the same quarter in the previous year [17]. Factor Construction Process: $ \text{DELTAROE} = \text{Current Quarter ROE} - \text{ROE from the Same Quarter Last Year} $ Factor Evaluation: Demonstrates strong predictive power in CSI 500 and CSI A500 spaces, with moderate performance in other index spaces [17][21][25]. --- Factor Backtesting Results - Three-Month Reversal: - CSI 300: Weekly excess return 0.66%, monthly excess return 0.65%, YTD excess return 3.01% [19]. - CSI 500: Weekly excess return 0.79%, monthly excess return 1.17%, YTD excess return 4.07% [21]. - CSI 1000: Weekly excess return 1.09%, monthly excess return 1.40%, YTD excess return 0.38% [23]. - CSI A500: Weekly excess return 1.08%, monthly excess return 0.36%, YTD excess return 3.64% [25]. - One-Year Momentum: - CSI 300: Weekly excess return 0.46%, monthly excess return 0.36%, YTD excess return -1.85% [19]. - CSI 500: Weekly excess return 1.26%, monthly excess return 1.18%, YTD excess return 2.77% [21]. - CSI 1000: Weekly excess return 1.45%, monthly excess return 1.73%, YTD excess return 0.26% [23]. - CSI A500: Weekly excess return 0.74%, monthly excess return 0.87%, YTD excess return -2.03% [25]. - SUE: - CSI 300: Weekly excess return 0.51%, monthly excess return 2.15%, YTD excess return 3.03% [19]. - CSI 500: Weekly excess return -0.41%, monthly excess return 0.13%, YTD excess return 2.86% [21]. - CSI 1000: Weekly excess return -0.08%, monthly excess return 2.77%, YTD excess return 4.41% [23]. - CSI A500: Weekly excess return 0.47%, monthly excess return 1.63%, YTD excess return 2.04% [25]. - Delta ROE (DELTAROE): - CSI 300: Weekly excess return 0.26%, monthly excess return 2.27%, YTD excess return 5.32% [19]. - CSI 500: Weekly excess return 0.58%, monthly excess return 2.49%, YTD excess return 4.03% [21]. - CSI 1000: Weekly excess return -1.15%, monthly excess return 0.74%, YTD excess return 3.01% [23]. - CSI A500: Weekly excess return 0.52%, monthly excess return 2.82%, YTD excess return 5.13% [25].
多因子选股周报：反转因子表现出色，中证1000增强组合年内超额12.30%-20250628
Guoxin Securities·2025-06-28 08:28