Quantitative Models and Construction Methods Model Name: New Stock Issuance Model - Construction Idea: The model aims to track the performance of newly issued stocks in various market segments, including the main board, ChiNext, and STAR Market[1][12][22]. - Construction Process: - Collect data on the number of new stocks issued, the amount of funds raised, and the first-day price performance. - Calculate the average first-day price increase for each market segment. - Formula: $ \text{Single Account Stock Return} = \min(\text{Account Size}, \text{Subscription Limit}) \times \text{Winning Rate} \times \text{Return Rate} $ $ \text{A/B/C Class Investors Full Return} = \text{Subscription Limit} \times \text{A/B/C Class Offline Winning Rate} \times \text{Return Rate} $ - Parameters: - Winning Rate: Actual winning rate of offline new stock issuance. - Return Rate: For new stocks listed on the STAR Market and ChiNext, and under the comprehensive registration system on the main board, the return rate is the first-day average transaction price relative to the issue price. For non-registration system main board stocks, the return rate is the average transaction price on the opening day relative to the issue price[40][41][42]. - Evaluation: The model provides a comprehensive view of the performance of new stock issuances across different market segments, helping investors understand the potential returns from participating in new stock offerings[1][12][22]. Model Backtesting Results New Stock Issuance Model - Main Board: - A Class: Monthly return rate 0.159%, cumulative return 1.000%[41][42][47] - C Class: Monthly return rate 0.141%, cumulative return 0.908%[41][42][47] - ChiNext: - A Class: Monthly return rate 0.035%, cumulative return 1.128%[41][45][47] - C Class: Monthly return rate 0.034%, cumulative return 0.989%[41][45][47] - STAR Market: - A Class: Monthly return rate 0.064%, cumulative return 0.547%[41][46][47] - C Class: Monthly return rate 0.063%, cumulative return 0.527%[41][46][47] Quantitative Factors and Construction Methods Factor Name: New Stock Performance Factor - Construction Idea: This factor aims to measure the performance of new stocks on their first day of trading, providing insights into the potential returns from participating in new stock offerings[1][12][22]. - Construction Process: - Collect data on the first-day price performance of new stocks. - Calculate the average first-day price increase for each market segment. - Formula: $ \text{First-Day Price Increase} = \frac{\text{First-Day Closing Price} - \text{Issue Price}}{\text{Issue Price}} \times 100% $ - Parameters: - First-Day Closing Price: The closing price of the stock on its first day of trading. - Issue Price: The price at which the stock was issued[1][12][22]. - Evaluation: This factor provides a clear measure of the initial performance of new stocks, helping investors gauge the potential returns from participating in new stock offerings[1][12][22]. Factor Backtesting Results New Stock Performance Factor - Main Board: - Average first-day price increase: 276.29%[22][23] - ChiNext: - Average first-day price increase: 356.00%[22][23] - STAR Market: - Average first-day price increase: 174.56%[22][23] Fund Product Performance Fund Product Performance in New Stock Offerings - Construction Idea: Measure the participation and success rate of fund products in new stock offerings, and calculate their estimated returns based on their participation and winning rates[57][58][59]. - Construction Process: - Collect data on the participation and winning rates of fund products in new stock offerings. - Calculate the estimated returns based on the latest fund quarterly report. - Formula: $ \text{Participation Rate} = \frac{\text{Number of New Stocks Quoted}}{\text{Total Number of New Stocks Issued}} $ $ \text{Winning Rate} = \frac{\text{Number of Valid Quotes}}{\text{Number of New Stocks Quoted}} $ - Parameters: - Participation Rate: The rate at which the fund product participates in new stock offerings. - Winning Rate: The rate at which the fund product's quotes are accepted[57][58][59]. - Evaluation: This method provides a detailed view of the performance of fund products in new stock offerings, helping investors understand the potential returns from participating in new stock offerings through fund products[57][58][59]. Fund Product Backtesting Results Fund Product Performance - Top Performing Funds: - Middle European Shanghai-Shenzhen 300 Index A: Estimated return rate 0.337%[57][58][59] - ICBC Quality Selection A: Estimated return rate 0.33%[57][58][59] - Huatai-PineBridge Innovation Power: Estimated return rate 0.33%[57][58][59] Institutional Performance Institutional Performance in New Stock Offerings - Construction Idea: Measure the participation and success rate of institutions in new stock offerings, and calculate their estimated returns based on their participation and winning rates[60][61][62]. - Construction Process: - Collect data on the participation and winning rates of institutions in new stock offerings. - Calculate the estimated returns based on the latest institutional quarterly report. - Formula: $ \text{Participation Rate} = \frac{\text{Number of New Stocks Quoted}}{\text{Total Number of New Stocks Issued}} $ $ \text{Winning Rate} = \frac{\text{Number of Valid Quotes}}{\text{Number of New Stocks Quoted}} $ - Parameters: - Participation Rate: The rate at which the institution participates in new stock offerings. - Winning Rate: The rate at which the institution's quotes are accepted[60][61][62]. - Evaluation: This method provides a detailed view of the performance of institutions in new stock offerings, helping investors understand the potential returns from participating in new stock offerings through institutional products[60][61][62]. Institutional Backtesting Results Institutional Performance - Top Performing Institutions: - GF Fund: Estimated return rate 1.74 billion[60][61][62] - China Asset Management: Estimated return rate 1.51 billion[60][61][62] - E Fund Management: Estimated return rate 1.33 billion[60][61][62]
打新市场跟踪月报：7月新股上市首日涨幅环比大幅提升-20250802