因子跟踪周报：波动率、Beta因子表现较好-20250712

Quantitative Factors and Construction Methods Factor Name: BP - Construction Idea: Current net asset divided by current total market value[13] - Construction Process: $ BP = \frac{Current \ Net \ Asset}{Current \ Total \ Market \ Value} $[13] Factor Name: BP Three-Year Percentile - Construction Idea: Stock's current BP in the last three years percentile[13] - Construction Process: $ BP \ Three-Year \ Percentile = \frac{Current \ BP}{BP \ in \ Last \ Three \ Years} $[13] Factor Name: Quarterly EP - Construction Idea: Quarterly net profit divided by net asset[13] - Construction Process: $ Quarterly \ EP = \frac{Quarterly \ Net \ Profit}{Net \ Asset} $[13] Factor Name: Quarterly EP One-Year Percentile - Construction Idea: Stock's current quarterly EP in the last one year percentile[13] - Construction Process: $ Quarterly \ EP \ One-Year \ Percentile = \frac{Current \ Quarterly \ EP}{Quarterly \ EP \ in \ Last \ One \ Year} $[13] Factor Name: Quarterly SP - Construction Idea: Quarterly operating income divided by net asset[13] - Construction Process: $ Quarterly \ SP = \frac{Quarterly \ Operating \ Income}{Net \ Asset} $[13] Factor Name: Quarterly SP One-Year Percentile - Construction Idea: Stock's current quarterly SP in the last one year percentile[13] - Construction Process: $ Quarterly \ SP \ One-Year \ Percentile = \frac{Current \ Quarterly \ SP}{Quarterly \ SP \ in \ Last \ One \ Year} $[13] Factor Name: Quarterly Asset Turnover Rate - Construction Idea: Quarterly operating income divided by total asset[13] - Construction Process: $ Quarterly \ Asset \ Turnover \ Rate = \frac{Quarterly \ Operating \ Income}{Total \ Asset} $[13] Factor Name: Quarterly Gross Profit Margin - Construction Idea: Quarterly gross profit divided by quarterly sales income[13] - Construction Process: $ Quarterly \ Gross \ Profit \ Margin = \frac{Quarterly \ Gross \ Profit}{Quarterly \ Sales \ Income} $[13] Factor Name: Quarterly ROA - Construction Idea: Quarterly net profit divided by total asset[13] - Construction Process: $ Quarterly \ ROA = \frac{Quarterly \ Net \ Profit}{Total \ Asset} $[13] Factor Name: Quarterly ROE - Construction Idea: Quarterly net profit divided by net asset[13] - Construction Process: $ Quarterly \ ROE = \frac{Quarterly \ Net \ Profit}{Net \ Asset} $[13] Factor Name: Quarterly Net Profit Year-on-Year Growth - Construction Idea: Quarterly net profit year-on-year growth rate[13] - Construction Process: $ Quarterly \ Net \ Profit \ Year-on-Year \ Growth = \frac{Current \ Quarterly \ Net \ Profit - Last \ Year \ Quarterly \ Net \ Profit}{Last \ Year \ Quarterly \ Net \ Profit} $[13] Factor Name: Quarterly Revenue Year-on-Year Growth - Construction Idea: Quarterly revenue year-on-year growth rate[13] - Construction Process: $ Quarterly \ Revenue \ Year-on-Year \ Growth = \frac{Current \ Quarterly \ Revenue - Last \ Year \ Quarterly \ Revenue}{Last \ Year \ Quarterly \ Revenue} $[13] Factor Name: Quarterly ROE Year-on-Year Growth - Construction Idea: Quarterly ROE year-on-year growth rate[13] - Construction Process: $ Quarterly \ ROE \ Year-on-Year \ Growth = \frac{Current \ Quarterly \ ROE - Last \ Year \ Quarterly \ ROE}{Last \ Year \ Quarterly \ ROE} $[13] Factor Name: Standardized Unexpected Earnings - Construction Idea: Current quarterly net profit minus the average quarterly net profit growth rate of the past eight quarters divided by the standard deviation of the quarterly net profit growth rate of the past eight quarters[13] - Construction Process: $ Standardized \ Unexpected \ Earnings = \frac{Current \ Quarterly \ Net \ Profit - (Last \ Year \ Quarterly \ Net \ Profit + Average \ Quarterly \ Net \ Profit \ Growth \ Rate \ of \ Past \ Eight \ Quarters)}{Standard \ Deviation \ of \ Quarterly \ Net \ Profit \ Growth \ Rate \ of \ Past \ Eight \ Quarters} $[13] Factor Name: Standardized Unexpected Revenue - Construction Idea: Current quarterly revenue minus the average quarterly revenue growth rate of the past eight quarters divided by the standard deviation of the quarterly revenue growth rate of the past eight quarters[13] - Construction Process: $ Standardized \ Unexpected \ Revenue = \frac{Current \ Quarterly \ Revenue - (Last \ Year \ Quarterly \ Revenue + Average \ Quarterly \ Revenue \ Growth \ Rate \ of \ Past \ Eight \ Quarters)}{Standard \ Deviation \ of \ Quarterly \ Revenue \ Growth \ Rate \ of \ Past \ Eight \ Quarters} $[13] Factor Name: Dividend Yield - Construction Idea: Recent annual dividend divided by current market value[13] - Construction Process: $ Dividend \ Yield = \frac{Recent \ Annual \ Dividend}{Current \ Market \ Value} $[13] Factor Name: Performance Forecast Accuracy - Construction Idea: Single quarter performance forecast upper limit minus single quarter performance forecast lower limit divided by the average of the single quarter performance forecast upper limit and lower limit multiplied by -1[13] - Construction Process: $ Performance \ Forecast \ Accuracy = \frac{Single \ Quarter \ Performance \ Forecast \ Upper \ Limit - Single \ Quarter \ Performance \ Forecast \ Lower \ Limit}{(Single \ Quarter \ Performance \ Forecast \ Upper \ Limit + Single \ Quarter \ Performance \ Forecast \ Lower \ Limit)/2} \times (-1) $[13] Factor Name: Top Five Shareholders' Holding Ratio Sum - Construction Idea: Sum of the squares of the top five shareholders' holding ratios[13] - Construction Process: $ Top \ Five \ Shareholders' \ Holding \ Ratio \ Sum = \sum_{i=1}^{5} (Holding \ Ratio_i)^2 $[13] Factor Name: 90-Day Analyst Coverage - Construction Idea: Analyst coverage in the past 90 days[13] - Construction Process: $ 90-Day \ Analyst \ Coverage = \frac{Number \ of \ Analysts \ Covering \ the \ Stock \ in \ the \ Past \ 90 \ Days}{Total \ Number \ of \ Analysts} $[13] Factor Name: Consensus Expected Net Profit Compound Growth Rate - Construction Idea: Consensus expected net profit three-year compound growth rate[13] - Construction Process: $ Consensus \ Expected \ Net \ Profit \ Compound \ Growth \ Rate = \frac{Consensus \ Expected \ Net \ Profit \ in \ Three \ Years}{Current \ Net \ Profit} $[13] Factor Name: Consensus Expected EPS Change - Construction Idea: Consensus expected EPS divided by the average consensus expected EPS in the last 120 days[13] - Construction Process: $ Consensus \ Expected \ EPS \ Change = \frac{Consensus \ Expected \ EPS}{Average \ Consensus \ Expected \ EPS \ in \ the \ Last \ 120 \ Days} $[13] Factor Name: 90-Day Net Upward Revision Ratio - Construction Idea: Ratio of analysts who revised earnings forecasts upward minus the ratio of analysts who revised earnings forecasts downward in the past 90 days[13] - Construction Process: $ 90-Day \ Net \ Upward \ Revision \ Ratio = \frac{Number \ of \ Analysts \ Revising \ Upward}{Total \ Number \ of \ Analysts} - \frac{Number \ of \ Analysts \ Revising \ Downward}{Total \ Number \ of \ Analysts} $[13] Factor Name: 90-Day Expected Adjustment Mean - Construction Idea: Average adjustment magnitude of analysts' earnings forecasts in the past 90 days[13] - Construction Process: $ 90-Day \ Expected \ Adjustment \ Mean = \frac{Sum \ of \ Analysts' \ Earnings \ Forecast \ Adjustments \ in \ the \ Past \ 90 \ Days}{Total \ Number \ of \ Analysts} $[13] Factor Name: Financial Report Exceeding Research Report Expectation Degree - Construction Idea: Degree to which the financial report exceeds the research report expectation within 5 days of the financial report release[13] - Construction Process: $ Financial \ Report \ Exceeding \ Research \ Report \ Expectation \ Degree = \frac{Financial \ Report \ Value - Research \ Report \ Expectation}{Research \ Report \ Expectation} $[13] Factor Name: Standardized Unexpected Earnings Based on Consensus Expectation - Construction Idea: Quarterly net profit minus quarterly consensus expected net profit divided by the consensus expected net profit dispersion[13] - Construction Process: $ Standardized \ Unexpected \ Earnings \ Based \ on \ Consensus \ Expectation = \frac{Quarterly \ Net \ Profit - Quarterly \ Consensus \ Expected \ Net \ Profit}{Consensus \ Expected \ Net \ Profit \ Dispersion} $[13] Factor Name: 1-Month Turnover Rate and Average Price Correlation - Construction Idea: Correlation coefficient between stock turnover rate and average price in the past 20 trading days[13] - Construction Process: $ 1-Month \ Turnover \ Rate \ and \ Average \ Price \ Correlation = \frac{Cov(Turnover \ Rate, \ Average \ Price)}{Std(Turnover \ Rate)