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金工定期报告20250701:估值异常因子绩效月报20250630-20250701
Soochow Securities·2025-07-01 12:35

Quantitative Models and Construction Methods Model Name: EPD (Valuation Deviation Factor) - Construction Idea: Combining the Bollinger Bands mean reversion strategy commonly used in the CTA field with the logic of fundamental valuation repair, utilizing the mean reversion characteristic of the PE valuation indicator[7] - Construction Process: - Calculate the PE ratio for each stock - Apply the Bollinger Bands mean reversion strategy to identify valuation deviations - Construct the EPD factor based on these deviations[7] - Evaluation: The EPD factor aims to capture valuation deviations and mean reversion opportunities in the market[7] Model Name: EPDS (Slow Deviation Factor) - Construction Idea: To eliminate the impact of changes in individual stock valuation logic, use the EPD factor to exclude the probability of individual stock valuation logic changes (represented by the stock's information ratio)[7] - Construction Process: - Start with the EPD factor - Adjust the EPD factor by excluding stocks with high probabilities of valuation logic changes, as indicated by their information ratios[7] - Evaluation: The EPDS factor refines the EPD factor by focusing on stocks with stable valuation logic, reducing noise from valuation changes[7] Model Name: EPA (Valuation Anomaly Factor) - Construction Idea: Further exclude the influence of Beta, growth, and value styles on the "valuation anomaly" logic to construct the EPA factor[7] - Construction Process: - Begin with the EPDS factor - Adjust for Beta, growth, and value style influences to isolate the valuation anomaly component[7] - Evaluation: The EPA factor aims to capture pure valuation anomalies by removing style influences, providing a clearer signal[7] Model Backtesting Results EPD Factor - Annualized Return: 17.61%[2][8][13] - Annualized Volatility: 9.98%[2][8][13] - Information Ratio (IR): 1.76[2][8][13] - Monthly Win Rate: 70.81%[2][8][13] - Maximum Drawdown: 8.93%[2][8][13] EPDS Factor - Annualized Return: 16.27%[2][8][13] - Annualized Volatility: 5.70%[2][8][13] - Information Ratio (IR): 2.85[2][8][13] - Monthly Win Rate: 78.92%[2][8][13] - Maximum Drawdown: 3.10%[2][8][13] EPA Factor - Annualized Return: 17.25%[2][8][13] - Annualized Volatility: 5.10%[2][8][13] - Information Ratio (IR): 3.38[2][8][13] - Monthly Win Rate: 81.08%[2][8][13] - Maximum Drawdown: 3.12%[2][8][13] Factor Performance in June - EPA Factor Long Portfolio Return: 7.40%[2][15] - EPA Factor Short Portfolio Return: 5.61%[2][15] - EPA Factor Long-Short Portfolio Return: 1.78%[2][15]