因子周报20250801：本周Beta与杠杆风格显著-20250803

Quantitative Models and Construction Methods Style Factors 1. Factor Name: Beta Factor - Construction Idea: Captures the market sensitivity of stocks - Construction Process: - Calculate the daily returns of individual stocks and the market index (CSI All Share Index) over the past 252 trading days - Perform an exponentially weighted regression with a half-life of 63 trading days - The regression coefficient is taken as the Beta factor - Evaluation: High Beta stocks outperformed low Beta stocks in the recent week, indicating a preference for market-sensitive stocks[15][16] 2. Factor Name: Leverage Factor - Construction Idea: Measures the financial leverage of companies - Construction Process: - Calculate three sub-factors: Market Leverage (MLEV), Debt to Assets (DTOA), and Book Leverage (BLEV) - MLEV = Non-current liabilities / Total market value - DTOA = Total liabilities / Total assets - BLEV = Non-current liabilities / Shareholders' equity - Combine the three sub-factors equally to form the Leverage factor - Evaluation: Low leverage companies outperformed high leverage companies, indicating a market preference for financially stable companies[15][16] 3. Factor Name: Growth Factor - Construction Idea: Measures the growth potential of companies - Construction Process: - Calculate two sub-factors: Sales Growth (SGRO) and Earnings Growth (EGRO) - SGRO = Regression slope of past five years' annual sales per share divided by the average sales per share - EGRO = Regression slope of past five years' annual earnings per share divided by the average earnings per share - Combine the two sub-factors equally to form the Growth factor - Evaluation: The Growth factor showed a negative return, indicating a decline in market preference for high-growth stocks[15][16] Stock Selection Factors 1. Factor Name: Single Quarter ROA - Construction Idea: Measures the return on assets for a single quarter - Construction Process: - Single Quarter ROA = Net income attributable to parent company / Total assets - Evaluation: Performed well in the CSI 300 stock pool over the past week[21][24] 2. Factor Name: 240-Day Skewness - Construction Idea: Measures the skewness of daily returns over the past 240 trading days - Construction Process: - Calculate the skewness of daily returns over the past 240 trading days - Evaluation: Performed well in the CSI 300 stock pool over the past week[21][24] 3. Factor Name: Single Quarter ROE - Construction Idea: Measures the return on equity for a single quarter - Construction Process: - Single Quarter ROE = Net income attributable to parent company / Shareholders' equity - Evaluation: Performed well in the CSI 300 stock pool over the past week[21][24] Factor Backtesting Results 1. Beta Factor: Weekly long-short return: 1.86%, Monthly long-short return: 1.64%[17] 2. Leverage Factor: Weekly long-short return: -3.07%, Monthly long-short return: -1.58%[17] 3. Growth Factor: Weekly long-short return: -1.73%, Monthly long-short return: -5.13%[17] Stock Selection Factor Backtesting Results 1. Single Quarter ROA: Weekly excess return: 0.98%, Monthly excess return: 2.61%, Annual excess return: 9.49%, Ten-year annualized return: 3.69%[22] 2. 240-Day Skewness: Weekly excess return: 0.75%, Monthly excess return: 2.48%, Annual excess return: 6.40%, Ten-year annualized return: 2.85%[22] 3. Single Quarter ROE: Weekly excess return: 0.74%, Monthly excess return: 1.55%, Annual excess return: 8.96%, Ten-year annualized return: 3.46%[22]