微盘股指数周报：微盘股的流动性风险在哪？-20250721

Quantitative Models and Construction Methods Diffusion Index Model - Model Name: Diffusion Index Model - Construction Idea: The model monitors the relative performance of stocks within the micro-cap index over different time windows to identify potential turning points in market trends [41][42] - Construction Process: - The horizontal axis represents the percentage change in stock prices from +10% to -10% (1.1 to 0.9) - The vertical axis represents the length of the review window, ranging from 20 days to 10 days - For example, at horizontal axis 0.95 and vertical axis 15 days, the value of 0.37 indicates that if all stocks in the micro-cap index drop by 5% after 5 days, the diffusion index value is 0.37 - Formula: Diffusion Index = $\frac{\text{Number of stocks outperforming the benchmark}}{\text{Total number of stocks}}$ [41][42] - Evaluation: The model effectively identifies market trends but faces challenges when bottom-performing stocks are abandoned during strong upward trends [42] - Testing Results: Current diffusion index value is 0.94, indicating a strong upward trend [41][42] Threshold Methods - Model Name: Threshold Methods (First Threshold Method and Delayed Threshold Method) - Construction Idea: These methods use predefined thresholds to generate trading signals based on the diffusion index [45][49] - Construction Process: - First Threshold Method: Triggered a sell signal on May 8, 2025, when the diffusion index reached 0.9850 [45] - Delayed Threshold Method: Triggered a sell signal on May 15, 2025, when the diffusion index reached 0.8975 [49] - Evaluation: These methods provide clear trading signals but may lag during rapid market changes [45][49] - Testing Results: First Threshold Method value: 0.9850; Delayed Threshold Method value: 0.8975 [45][49] Dual Moving Average Method - Model Name: Dual Moving Average Method - Construction Idea: This method uses adaptive moving averages to generate trading signals based on market trends [50] - Construction Process: - The method compares short-term and long-term moving averages to identify buy or sell signals - On July 3, 2025, the method generated a buy signal [50] - Evaluation: The method adapts well to changing market conditions and provides timely signals [50] - Testing Results: Buy signal generated on July 3, 2025 [50] --- Quantitative Factors and Construction Methods Top Performing Factors - Factor Names: Non-liquidity factor, Unadjusted stock price factor, Beta factor, Standardized expected earnings factor, PE_TTM reciprocal factor [4][19][36] - Construction Idea: These factors are derived from stock characteristics and financial metrics to predict future returns [4][19][36] - Construction Process: - Non-liquidity factor: Measures the illiquidity of stocks - Unadjusted stock price factor: Uses raw stock prices without adjustments - Beta factor: Captures the sensitivity of stock returns to market movements - Standardized expected earnings factor: Standardizes analysts' earnings forecasts - PE_TTM reciprocal factor: Calculates the reciprocal of the trailing twelve-month price-to-earnings ratio - Evaluation: These factors show strong predictive power for stock returns [4][19][36] - Testing Results: - Non-liquidity factor IC: 0.353 (historical average: 0.04) - Unadjusted stock price factor IC: 0.348 (historical average: -0.016) - Beta factor IC: 0.247 (historical average: 0.005) - Standardized expected earnings factor IC: 0.141 (historical average: 0.014) - PE_TTM reciprocal factor IC: 0.092 (historical average: 0.017) [4][19][36] Underperforming Factors - Factor Names: Turnover factor, 10-day total market capitalization turnover rate factor, Liquidity factor, 10-day free float market capitalization turnover rate factor, Leverage factor [4][19][36] - Construction Idea: These factors are derived from trading activity and financial leverage metrics [4][19][36] - Construction Process: - Turnover factor: Measures trading volume relative to market capitalization - 10-day total market capitalization turnover rate factor: Calculates turnover rate over a 10-day window - Liquidity factor: Assesses the ease of trading stocks - 10-day free float market capitalization turnover rate factor: Similar to the total turnover rate but focuses on free float shares - Leverage factor: Measures financial leverage of companies - Evaluation: These factors exhibit weak predictive power and negative correlations with returns [4][19][36] - Testing Results: - Turnover factor IC: -0.336 (historical average: -0.082) - 10-day total market capitalization turnover rate factor IC: -0.286 (historical average: -0.06) - Liquidity factor IC: -0.278 (historical average: -0.041) - 10-day free float market capitalization turnover rate factor IC: -0.276 (historical average: -0.062) - Leverage factor IC: -0.225 (historical average: -0.006) [4][19][36] --- Strategy Performance Small-Cap Low-Volatility 50 Strategy - Strategy Name: Small-Cap Low-Volatility 50 Strategy - Construction Idea: Selects 50 stocks with small market capitalization and low volatility from the micro-cap index [7][19][37] - Construction Process: - Stocks are selected bi-weekly based on market capitalization and volatility criteria - Benchmark: Wind Micro-Cap Index (8841431.WI) - Transaction cost: 0.3% on both sides [7][19][37] - Evaluation: The strategy demonstrates strong performance but occasionally underperforms the benchmark [7][19][37] - Testing Results: - 2024 return: 7.07% (excess return: -2.93%) - 2025 YTD return: 62.07% (weekly excess return: -2.44%) [7][19][37]