中邮因子周报：小市值占优，低波反转显著-20250728

Quantitative Models and Construction Methods - Model Name: GRU Model Construction Idea: GRU is used for industry rotation and stock selection based on historical data and market trends[3][5][7] Model Construction Process: GRU utilizes gated recurrent units to process sequential data, capturing temporal dependencies in stock price movements and industry performance. It incorporates multiple factors such as momentum, volatility, and valuation metrics to predict future trends[3][5][7] Model Evaluation: GRU demonstrates strong performance in multi-factor combinations and industry rotation strategies, with notable differentiation across different stock pools[3][5][7] - Model Name: Barra Model Construction Idea: Barra focuses on style factors to explain stock returns and risks[14][15][16] Model Construction Process: Barra includes multiple style factors such as Beta, Size, Momentum, Volatility, Non-linear Size, Valuation, Liquidity, Profitability, Growth, and Leverage. Each factor is calculated using specific formulas: - Beta: Historical beta - Size: Natural logarithm of total market capitalization - Momentum: Mean of historical excess return series - Volatility: $0.74 \times \text{historical excess return volatility} + 0.16 \times \text{cumulative excess return deviation} + 0.1 \times \text{historical residual return volatility}$ - Non-linear Size: Cubic transformation of market capitalization - Valuation: Reciprocal of price-to-book ratio - Liquidity: $0.35 \times \text{monthly turnover rate} + 0.35 \times \text{quarterly turnover rate} + 0.3 \times \text{annual turnover rate}$ - Profitability: Weighted combination of analyst forecast earnings-price ratio, reciprocal of cash flow ratio, reciprocal of trailing twelve-month P/E ratio, and forecasted growth rates - Growth: Weighted combination of earnings growth rate and revenue growth rate - Leverage: Weighted combination of market leverage, book leverage, and debt-to-asset ratio[15] Model Evaluation: Barra style factors provide a comprehensive framework for analyzing stock returns, with strong differentiation in multi-factor strategies[14][15][16] Model Backtesting Results - GRU Model: - open1d: Weekly excess return 0.61%, monthly 1.56%, yearly 7.78% - close1d: Weekly excess return 0.02%, monthly 1.45%, yearly 7.28% - barra1d: Weekly excess return -0.24%, monthly -0.07%, yearly 3.61% - barra5d: Weekly excess return 0.06%, monthly 1.35%, yearly 8.63% - Multi-factor combination: Weekly excess return 0.61%, monthly 0.82%, yearly 3.22%[31][32][33] Quantitative Factors and Construction Methods - Factor Name: Beta Factor Construction Idea: Measures historical sensitivity to market movements[15] Factor Construction Process: Calculated as historical beta using regression analysis of stock returns against market returns[15] - Factor Name: Size Factor Construction Idea: Captures the impact of market capitalization on stock returns[15] Factor Construction Process: Natural logarithm of total market capitalization[15] - Factor Name: Momentum Factor Construction Idea: Reflects the persistence of stock price trends[15] Factor Construction Process: Mean of historical excess return series[15] - Factor Name: Volatility Factor Construction Idea: Measures risk associated with stock price fluctuations[15] Factor Construction Process: $0.74 \times \text{historical excess return volatility} + 0.16 \times \text{cumulative excess return deviation} + 0.1 \times \text{historical residual return volatility}$[15] - Factor Name: Non-linear Size Factor Construction Idea: Captures non-linear effects of market capitalization on returns[15] Factor Construction Process: Cubic transformation of market capitalization[15] - Factor Name: Valuation Factor Construction Idea: Reflects the relative attractiveness of stock prices[15] Factor Construction Process: Reciprocal of price-to-book ratio[15] - Factor Name: Liquidity Factor Construction Idea: Measures ease of trading stocks[15] Factor Construction Process: $0.35 \times \text{monthly turnover rate} + 0.35 \times \text{quarterly turnover rate} + 0.3 \times \text{annual turnover rate}$[15] - Factor Name: Profitability Factor Construction Idea: Captures earnings quality and growth potential[15] Factor Construction Process: Weighted combination of analyst forecast earnings-price ratio, reciprocal of cash flow ratio, reciprocal of trailing twelve-month P/E ratio, and forecasted growth rates[15] - Factor Name: Growth Factor Construction Idea: Reflects revenue and earnings growth trends[15] Factor Construction Process: Weighted combination of earnings growth rate and revenue growth rate[15] - Factor Name: Leverage Factor Construction Idea: Measures financial risk associated with debt levels[15] Factor Construction Process: Weighted combination of market leverage, book leverage, and debt-to-asset ratio[15] Factor Backtesting Results - Beta: Weekly excess return -0.24%, monthly -0.07%, yearly 3.61%[31][32][33] - Size: Weekly excess return 0.02%, monthly 1.45%, yearly 7.28%[31][32][33] - Momentum: Weekly excess return 0.61%, monthly 1.56%, yearly 7.78%[31][32][33] - Volatility: Weekly excess return 0.06%, monthly 1.35%, yearly 8.63%[31][32][33] - Non-linear Size: Weekly excess return 0.61%, monthly 0.82%, yearly 3.22%[31][32][33] - Valuation: Weekly excess return 0.61%, monthly 0.82%, yearly 3.22%[31][32][33] - Liquidity: Weekly excess return 0.61%, monthly 0.82%, yearly 3.22%[31][32][33] - Profitability: Weekly excess return 0.61%, monthly 0.82%, yearly 3.22%[31][32][33] - Growth: Weekly excess return 0.61%, monthly 0.82%, yearly 3.22%[31][32][33] - Leverage: Weekly excess return 0.61%, monthly 0.82%, yearly 3.22%[31][32][33]