因子跟踪周报：成长、分红因子表现较好-20250705

Quantitative Factors and Construction Methods Factor Name: bp - Construction Idea: Represents the valuation level of a stock by comparing its book value to its market value [13] - Construction Process: Calculated as: $ bp = \frac{\text{Current Net Asset}}{\text{Current Total Market Value}} $ [13] Factor Name: bp three-year percentile - Construction Idea: Measures the relative valuation of a stock over the past three years [13] - Construction Process: Represents the percentile rank of the current bp value within the last three years [13] Factor Name: Quarterly ep - Construction Idea: Evaluates profitability by comparing quarterly net profit to net assets [13] - Construction Process: Calculated as: $ \text{Quarterly ep} = \frac{\text{Quarterly Net Profit}}{\text{Net Assets}} $ [13] Factor Name: Quarterly ep one-year percentile - Construction Idea: Tracks the relative profitability of a stock over the past year [13] - Construction Process: Represents the percentile rank of the current quarterly ep value within the last year [13] Factor Name: Quarterly sp - Construction Idea: Measures operational efficiency by comparing quarterly revenue to net assets [13] - Construction Process: Calculated as: $ \text{Quarterly sp} = \frac{\text{Quarterly Revenue}}{\text{Net Assets}} $ [13] Factor Name: Quarterly sp one-year percentile - Construction Idea: Tracks the relative operational efficiency of a stock over the past year [13] - Construction Process: Represents the percentile rank of the current quarterly sp value within the last year [13] Factor Name: Quarterly net profit YoY growth - Construction Idea: Measures the growth rate of quarterly net profit compared to the same period last year [13] - Construction Process: Calculated as: $ \text{Quarterly Net Profit YoY Growth} = \frac{\text{Current Quarter Net Profit} - \text{Last Year Same Quarter Net Profit}}{\text{Last Year Same Quarter Net Profit}} $ [13] Factor Name: Standardized unexpected earnings - Construction Idea: Quantifies the deviation of current earnings from expected levels based on historical trends [13] - Construction Process: Calculated as: $ \text{Standardized Unexpected Earnings} = \frac{\text{Current Quarter Net Profit} - (\text{Last Year Same Quarter Net Profit} + \text{Average YoY Growth of Last 8 Quarters})}{\text{Standard Deviation of YoY Growth of Last 8 Quarters}} $ [13] Factor Name: Dividend yield - Construction Idea: Measures the return to shareholders through dividends relative to the stock's market value [13] - Construction Process: Calculated as: $ \text{Dividend Yield} = \frac{\text{Last Year Dividend}}{\text{Current Market Value}} $ [13] --- Factor Backtesting Results IC Performance - bp: Weekly IC = 7.22%, Monthly IC = 3.46%, Yearly IC = 1.87%, Historical IC = 2.34% [9] - bp three-year percentile: Weekly IC = -1.28%, Monthly IC = 1.67%, Yearly IC = 2.48%, Historical IC = 1.68% [9] - Quarterly ep: Weekly IC = 6.27%, Monthly IC = 0.71%, Yearly IC = -0.44%, Historical IC = 1.09% [9] - Quarterly ep one-year percentile: Weekly IC = 7.04%, Monthly IC = 2.84%, Yearly IC = 0.95%, Historical IC = 1.72% [9] - Quarterly sp: Weekly IC = 2.97%, Monthly IC = 0.68%, Yearly IC = 0.50%, Historical IC = 0.72% [9] - Quarterly sp one-year percentile: Weekly IC = -1.88%, Monthly IC = 2.56%, Yearly IC = 2.85%, Historical IC = 1.83% [9] - Quarterly net profit YoY growth: Weekly IC = 7.35%, Monthly IC = 2.60%, Yearly IC = 0.60%, Historical IC = 1.28% [9] - Standardized unexpected earnings: Weekly IC = 7.52%, Monthly IC = 3.04%, Yearly IC = 0.60%, Historical IC = 0.97% [9] - Dividend yield: Weekly IC = 3.43%, Monthly IC = 0.78%, Yearly IC = -0.36%, Historical IC = 0.61% [9] Long-only Portfolio Performance - bp: Weekly Excess Return = 0.39%, Monthly Excess Return = 0.53%, Yearly Excess Return = 1.50%, Historical Cumulative Excess Return = 31.88% [11] - bp three-year percentile: Weekly Excess Return = -0.16%, Monthly Excess Return = -1.08%, Yearly Excess Return = 0.42%, Historical Cumulative Excess Return = -2.91% [11] - Quarterly ep: Weekly Excess Return = 0.56%, Monthly Excess Return = 1.22%, Yearly Excess Return = 3.02%, Historical Cumulative Excess Return = 30.83% [11] - Quarterly ep one-year percentile: Weekly Excess Return = 0.24%, Monthly Excess Return = 0.71%, Yearly Excess Return = 3.76%, Historical Cumulative Excess Return = 32.90% [11] - Quarterly sp: Weekly Excess Return = -0.25%, Monthly Excess Return = 0.10%, Yearly Excess Return = 1.18%, Historical Cumulative Excess Return = -2.98% [11] - Quarterly sp one-year percentile: Weekly Excess Return = -0.43%, Monthly Excess Return = 0.20%, Yearly Excess Return = 8.26%, Historical Cumulative Excess Return = -0.57% [11] - Quarterly net profit YoY growth: Weekly Excess Return = 0.47%, Monthly Excess Return = 1.56%, Yearly Excess Return = 9.60%, Historical Cumulative Excess Return = 36.36% [11] - Standardized unexpected earnings: Weekly Excess Return = 0.57%, Monthly Excess Return = 0.97%, Yearly Excess Return = -3.21%, Historical Cumulative Excess Return = 7.84% [11] - Dividend yield: Weekly Excess Return = 0.63%, Monthly Excess Return = 1.27%, Yearly Excess Return = -4.27%, Historical Cumulative Excess Return = 12.82% [11]