量化策略研究：基于评级机构家数与持股机构家数的因子研究

Group 1 - The core viewpoint of the report highlights that institutional investors hold approximately 17.66% of the market value, with their holdings in A-shares increasing from 24.3 trillion yuan to 47.4 trillion yuan over the past decade, representing about 57.12% of the circulating market value [1][9]. - Institutional investors, including public funds, insurance companies, social security funds, and others, possess more professional research teams and stronger analytical capabilities compared to individual investors, which is crucial for stabilizing the securities market and guiding rational investment among retail investors [1][9]. Group 2 - The report identifies two key factors: the number of rating agencies and the number of holding institutions, which reflect the collective wisdom of institutional investors from cognitive and behavioral perspectives [2][13]. - A higher number of rating agencies is associated with better fundamental indicators and stronger development prospects for companies, while a greater number of holding institutions indicates higher recognition of a company's future potential by institutional investors [2][14]. Group 3 - Backtesting results show that portfolios filtered by the number of rating agencies or holding institutions yield significant excess returns compared to the CSI 300 index. Specifically, portfolios with more than 30 rating agencies achieved an annualized return of 8.26% from December 24, 2016, to July 7, 2025, with notable performance during bull markets and periods of market differentiation [3][21]. - The optimal performance was observed in portfolios with 300-500 holding institutions, achieving an annualized return of 10.67% during the same period, while exceeding 500 holding institutions led to declining returns, indicating that more is not always better [3][30]. Group 4 - The dual-factor strategy, combining more than 30 rating agencies and 300-500 holding institutions, outperformed single-factor portfolios, achieving an annualized return of 12.72% and an excess return of 157.41% from December 24, 2016, to July 7, 2025 [3][48]. - This suggests that the alignment of institutional cognition (number of rating agencies) and behavior (number of holding institutions) enhances the stability of investment strategies and reduces the risk of misjudgment [3][48].