因子跟踪周报：成长、换手率因子表现较好-20250719

Quantitative Factors and Construction Methods 1. Factor Name: BP (Book-to-Price Ratio) - Factor Construction Idea: Measures the valuation of a stock by comparing its book value to its market value [13] - Factor Construction Process: - Formula: $ BP = \frac{\text{Current Net Asset}}{\text{Current Total Market Value}} $ [13] 2. Factor Name: BP Three-Year Percentile - Factor Construction Idea: Evaluates the relative valuation of a stock over the past three years [13] - Factor Construction Process: - Formula: $ \text{BP Three-Year Percentile} = \text{Percentile of Current BP in the Last Three Years} $ [13] 3. Factor Name: Quarterly EP (Earnings-to-Price Ratio) - Factor Construction Idea: Measures profitability relative to market value on a quarterly basis [13] - Factor Construction Process: - Formula: $ \text{Quarterly EP} = \frac{\text{Quarterly Net Profit}}{\text{Net Asset}} $ [13] 4. Factor Name: Quarterly EP One-Year Percentile - Factor Construction Idea: Tracks the relative profitability of a stock over the past year [13] - Factor Construction Process: - Formula: $ \text{Quarterly EP One-Year Percentile} = \text{Percentile of Current Quarterly EP in the Last Year} $ [13] 5. Factor Name: Quarterly SP (Sales-to-Price Ratio) - Factor Construction Idea: Measures revenue generation relative to market value on a quarterly basis [13] - Factor Construction Process: - Formula: $ \text{Quarterly SP} = \frac{\text{Quarterly Operating Revenue}}{\text{Net Asset}} $ [13] 6. Factor Name: Quarterly SP One-Year Percentile - Factor Construction Idea: Tracks the relative revenue generation of a stock over the past year [13] - Factor Construction Process: - Formula: $ \text{Quarterly SP One-Year Percentile} = \text{Percentile of Current Quarterly SP in the Last Year} $ [13] 7. Factor Name: Quarterly Gross Margin - Factor Construction Idea: Measures profitability efficiency by comparing gross profit to sales revenue [13] - Factor Construction Process: - Formula: $ \text{Quarterly Gross Margin} = \frac{\text{Quarterly Gross Profit}}{\text{Quarterly Sales Revenue}} $ [13] 8. Factor Name: Standardized Unexpected Earnings (SUE) - Factor Construction Idea: Quantifies earnings surprises relative to historical growth trends [13] - Factor Construction Process: - Formula: $ \text{SUE} = \frac{\text{Current Quarterly Net Profit} - (\text{Last Year Same Quarter Net Profit} + \text{Average Growth of Last 8 Quarters})}{\text{Standard Deviation of Growth in Last 8 Quarters}} $ [13] 9. Factor Name: Standardized Unexpected Revenue (SUR) - Factor Construction Idea: Quantifies revenue surprises relative to historical growth trends [13] - Factor Construction Process: - Formula: $ \text{SUR} = \frac{\text{Current Quarterly Revenue} - (\text{Last Year Same Quarter Revenue} + \text{Average Growth of Last 8 Quarters})}{\text{Standard Deviation of Growth in Last 8 Quarters}} $ [13] 10. Factor Name: 1-Month Turnover Rate and Price Correlation - Factor Construction Idea: Measures the relationship between turnover rate and price over the past month [13] - Factor Construction Process: - Formula: $ \text{Correlation} = \text{Correlation Coefficient of Turnover Rate and Price over the Last 20 Trading Days} $ [13] --- Factor Backtesting Results IC Performance - BP: Weekly IC: -7.07%, Monthly IC: 0.84%, Yearly IC: 1.37%, Historical IC: 2.35% [9] - BP Three-Year Percentile: Weekly IC: -4.35%, Monthly IC: -0.95%, Yearly IC: 2.26%, Historical IC: 1.73% [9] - Quarterly EP: Weekly IC: 4.35%, Monthly IC: 0.50%, Yearly IC: -0.03%, Historical IC: 1.07% [9] - Quarterly EP One-Year Percentile: Weekly IC: -0.91%, Monthly IC: 2.98%, Yearly IC: 1.21%, Historical IC: 1.72% [9] - Quarterly SP: Weekly IC: -1.33%, Monthly IC: 0.50%, Yearly IC: 0.45%, Historical IC: 0.70% [9] - Quarterly SP One-Year Percentile: Weekly IC: 1.57%, Monthly IC: 1.02%, Yearly IC: 2.99%, Historical IC: 1.87% [9] - Quarterly Gross Margin: Weekly IC: 7.04%, Monthly IC: 0.06%, Yearly IC: 0.49%, Historical IC: 0.50% [9] - SUE: Weekly IC: 4.59%, Monthly IC: 4.44%, Yearly IC: 0.87%, Historical IC: 0.97% [9] - SUR: Weekly IC: 3.53%, Monthly IC: 2.05%, Yearly IC: 0.98%, Historical IC: 0.86% [9] - 1-Month Turnover Rate and Price Correlation: Weekly IC: 10.17%, Monthly IC: 2.65%, Yearly IC: 2.75%, Historical IC: 1.69% [9] Excess Return of Long-Only Portfolios - BP: Weekly: -0.90%, Monthly: 0.06%, Yearly: -0.30%, Historical: 33.52% [11] - BP Three-Year Percentile: Weekly: -0.60%, Monthly: -2.29%, Yearly: -0.76%, Historical: -1.67% [11] - Quarterly EP: Weekly: -0.16%, Monthly: 0.58%, Yearly: 2.84%, Historical: 29.38% [11] - Quarterly EP One-Year Percentile: Weekly: -0.61%, Monthly: 0.55%, Yearly: 3.45%, Historical: 31.87% [11] - Quarterly SP: Weekly: -0.39%, Monthly: 0.15%, Yearly: 0.93%, Historical: -3.80% [11] - Quarterly SP One-Year Percentile: Weekly: -0.30%, Monthly: -0.19%, Yearly: 10.46%, Historical: -0.86% [11] - Quarterly Gross Margin: Weekly: -0.09%, Monthly: -0.15%, Yearly: 5.26%, Historical: 15.26% [11] - SUE: Weekly: 0.92%, Monthly: 2.09%, Yearly: -0.37%, Historical: 6.59% [11] - SUR: Weekly: 0.83%, Monthly: 1.29%, Yearly: 1.23%, Historical: 13.76% [11] - 1-Month Turnover Rate and Price Correlation: Weekly: 0.13%, Monthly: 1.11%, Yearly: 7.31%, Historical: 20.14% [11]