中邮因子周报：短期因子变化加剧，警惕风格切换-20250721

Quantitative Models and Construction 1. Model Name: GRU Model - Model Construction Idea: The GRU model integrates fundamental and technical features to predict stock performance, leveraging historical data and recurrent neural network structures for time-series analysis [3][4][5]. - Model Construction Process: - Input features include fundamental indicators (e.g., financial ratios) and technical indicators (e.g., momentum, volatility) [3][4]. - The GRU (Gated Recurrent Unit) architecture processes sequential data to capture temporal dependencies [3]. - The model is trained on historical data, with optimization targeting the minimization of prediction errors [3]. - Model Evaluation: The GRU model shows mixed performance across different stock pools, with notable underperformance in certain scenarios [3][5][6]. 2. Model Name: Barra1d - Model Construction Idea: The Barra1d model is a factor-based model that emphasizes short-term price movements and volatility [3][4][5]. - Model Construction Process: - Factors include short-term momentum and volatility metrics [3][4]. - The model applies a linear regression framework to estimate factor exposures and returns [3]. - Portfolio construction involves long positions in stocks with high factor scores and short positions in stocks with low scores [3][4]. - Model Evaluation: Barra1d demonstrates strong performance in multiple stock pools, with consistent positive returns in backtests [4][5][6]. 3. Model Name: Barra5d - Model Construction Idea: Barra5d extends the Barra1d model by incorporating a longer time horizon for factor evaluation [3][4][5]. - Model Construction Process: - Factors include medium-term momentum and volatility metrics [3][4]. - The model uses a similar regression-based approach as Barra1d but adjusts for longer-term trends [3]. - Portfolio construction follows the same long-short strategy as Barra1d [3][4]. - Model Evaluation: Barra5d shows strong year-to-date performance, outperforming benchmarks in multiple scenarios [5][6][7]. --- Model Backtest Results GRU Model - Close1d: Weekly return -1.59%, YTD return 8.61% [31] - Barra1d: Weekly return 0.80%, YTD return 22.50% [31] - Barra5d: Weekly return 0.63%, YTD return 28.18% [31] Multi-Factor Portfolio - Weekly excess return: -0.19% - YTD excess return: 2.73% [34] --- Quantitative Factors and Construction 1. Factor Name: Beta - Factor Construction Idea: Measures historical sensitivity of stock returns to market movements [15]. - Factor Construction Process: - Calculated as the slope of the regression of stock returns against market returns over a specified period [15]. - Factor Evaluation: Beta factor showed strong long-side performance in recent weeks [16]. 2. Factor Name: Momentum - Factor Construction Idea: Captures the persistence of stock price trends [15]. - Factor Construction Process: - Calculated as the mean of historical excess returns over a defined period [15]. - Factor Evaluation: Long-term momentum factors demonstrated positive returns, while short-term momentum factors underperformed [18][20]. 3. Factor Name: Volatility - Factor Construction Idea: Measures the variability of stock returns [15]. - Factor Construction Process: - Weighted combination of historical return volatility, cumulative deviation, and residual volatility [15]. - Factor Evaluation: Volatility factors showed strong positive returns, particularly in long-term horizons [18][20]. 4. Factor Name: Growth - Factor Construction Idea: Reflects the growth potential of companies based on financial metrics [15]. - Factor Construction Process: - Weighted combination of earnings growth rate and revenue growth rate [15]. - Factor Evaluation: Growth factors exhibited strong positive returns across multiple stock pools [18][20][23]. --- Factor Backtest Results Beta Factor - Weekly return: Positive [16] Momentum Factor - Long-term momentum: Weekly return 2.87% [22] - Short-term momentum: Weekly return -3.48% [22] Volatility Factor - Long-term volatility: Weekly return 4.01% [22] - Short-term volatility: Weekly return 2.87% [22] Growth Factor - Weekly return: Positive [18][20][23]