金融工程量化月报：风险偏好持续提升，量化选股组合超额收益显著-20250802

Quantitative Models and Construction Methods 1. Model Name: PB-ROE-50 Strategy - Model Construction Idea: The core idea is to identify expectation gaps in the market and enhance portfolio returns by incorporating surprise expectation factors (e.g., SUE, ROE YoY growth) [31] - Model Construction Process: - Based on the PB-ROE pricing model derived by Wilcox (1984), stocks with significant expectation gaps are selected to form a pool - From this pool, 50 stocks are selected using factors such as standardized unexpected earnings (SUE) and ROE YoY growth to construct the PB-ROE-50 portfolio [31] - Model Evaluation: The strategy achieved positive excess returns across different stock pools, demonstrating its effectiveness in capturing market expectation gaps [31] 2. Model Name: Institutional Research Strategy - Model Construction Idea: This strategy leverages public and private institutional research data to extract alpha by analyzing the frequency of company visits and stock performance relative to benchmarks before the visits [39] - Model Construction Process: - Public Research Selection: Stocks are selected based on the number of visits by public institutions and their relative performance to the CSI 800 index - Private Research Tracking: Stocks are selected based on the number of visits by well-known private institutions and their relative performance to the CSI 800 index [39] - Model Evaluation: Both public and private research strategies generated significant positive excess returns, indicating the value of institutional research data in stock selection [39] --- Model Backtesting Results 1. PB-ROE-50 Strategy - Excess Return (YTD): - CSI 500: 3.62% - CSI 800: 9.73% - All Market: 10.36% [35] - Excess Return (Last Month): - CSI 500: 0.59% - CSI 800: 2.91% - All Market: 2.34% [35] - Absolute Return (YTD): - CSI 500: 12.68% - CSI 800: 15.10% - All Market: 20.07% [35] - Absolute Return (Last Month): - CSI 500: 5.88% - CSI 800: 7.02% - All Market: 6.77% [35] 2. Institutional Research Strategy - Excess Return (YTD): - Public Research: 7.03% - Private Research: 18.00% [42] - Excess Return (Last Month): - Public Research: 3.66% - Private Research: 5.58% [42] - Absolute Return (YTD): - Public Research: 12.26% - Private Research: 23.77% [42] - Absolute Return (Last Month): - Public Research: 7.80% - Private Research: 9.80% [42] --- Quantitative Factors and Construction Methods 1. Factor Name: Percentage of Advancing Stocks (Market Sentiment Indicator) - Factor Construction Idea: Strong-performing stocks often exhibit a demonstration effect, and the percentage of advancing stocks can reflect market sentiment. A higher percentage indicates optimism, while an overly high percentage may signal overheating [12] - Factor Construction Process: - Formula: $ \text{Percentage of Advancing Stocks (N days)} = \frac{\text{Number of CSI 300 stocks with positive returns over N days}}{\text{Total number of CSI 300 stocks}} $ - The indicator is smoothed using two moving averages (N1 = 50, N2 = 35). When the short-term average (fast line) exceeds the long-term average (slow line), it signals a bullish market sentiment [12][13][15] - Factor Evaluation: The indicator effectively captures upward opportunities but struggles to avoid risks in declining markets. It may also miss gains during prolonged market exuberance [12] 2. Factor Name: Moving Average Sentiment Indicator - Factor Construction Idea: This factor uses an eight-moving-average system to assess the trend state of the CSI 300 index. By assigning values to different ranges of the moving average, the relationship between indicator states and index trends becomes clearer [20] - Factor Construction Process: - Calculate the eight moving averages of the CSI 300 closing price (parameters: 8, 13, 21, 34, 55, 89, 144, 233) - Assign values based on the range of the moving averages: - Range 1/2/3: -1 - Range 4/5/6: 0 - Range 7/8/9: 1 - A bullish signal is generated when the number of moving averages below the current price exceeds 5 [20][26] - Factor Evaluation: The indicator provides a clear relationship between sentiment states and index trends, aiding in market timing [20] 3. Factor Name: Leverage Ratios (Debt Indicators) - Factor Construction Idea: High leverage ratios indicate greater debt pressure and liquidity risks. Three calculation methods (traditional, strict, and relaxed) are used to assess leverage comprehensively [44] - Factor Construction Process: - Traditional Leverage Ratio: $ \text{Traditional Leverage Ratio} = \frac{\text{Short-term Debt + Long-term Debt + Bonds Payable}}{\text{Total Assets}} $ - Strict Leverage Ratio: $ \text{Strict Leverage Ratio} = \frac{\text{Short-term Debt + Interest Payable + Financial Liabilities + Short-term Bonds + Lease Liabilities + Long-term Debt + Bonds Payable + Long-term Payables}}{\text{Total Assets}} $ - Relaxed Leverage Ratio: $ \text{Relaxed Leverage Ratio} = \frac{\text{Strict Leverage Components + Other Current Liabilities + Liabilities Held for Sale + Non-current Liabilities Due Within One Year}}{\text{Total Assets}} $ [44] - Factor Evaluation: The relaxed leverage ratio provides more opportunities for short positions compared to traditional metrics [44] 4. Factor Name: Financial Cost Burden Ratio - Factor Construction Idea: This factor measures the pressure of interest payments on companies by isolating interest expenses from financial costs, providing a clearer view of financial burdens [48] - Factor Construction Process: - Formula: $ \text{Financial Cost Burden Ratio} = \frac{\text{Interest Expenses}}{\text{EBIT}} $ [48] - Factor Evaluation: The factor effectively highlights companies with high financial stress, aiding in risk identification [48] --- Factor Backtesting Results 1. Percentage of Advancing Stocks - Latest Value: Above 70% as of July 31, 2025, indicating high market sentiment [12] 2. Moving Average Sentiment Indicator - Latest State: CSI 300 index is in a sentiment boom zone as of July 31, 2025 [20] 3. Leverage Ratios - Top Stocks by Relaxed Leverage Ratio: - Example: Dizhiyiyao-U (64.10%), Shenzhouxibao (64.06%), Zhongyida (59.68%) [45] 4. Financial Cost Burden Ratio - Top Stocks by Financial Cost Burden: - Example: Liaoning Chengda (241084.42), Yinbaoshanxin (2314.41), Ashichuang (69.43) [49]