招期金工股票策略环境监控周报：本周基差走阔宽基指数下跌后市股票策略性价比犹在-20250804

Quantitative Factors and Models Summary Quantitative Factors and Construction - Factor Name: BETA Construction Idea: Measures the sensitivity of a stock's returns to market returns, capturing systematic risk exposure [13][28] Construction Process: The BETA factor is calculated as the slope coefficient in a regression of a stock's returns against the market index returns over a specified period [13][28] Evaluation: This factor performed well during the week, indicating a positive contribution to portfolio returns [13][28] - Factor Name: Residual Volatility Construction Idea: Captures the idiosyncratic risk of a stock, independent of market movements [13][28] Construction Process: Residual volatility is derived from the standard deviation of the residuals in a regression of stock returns against market returns [13][28] Evaluation: This factor showed moderate positive performance during the week [13][28] - Factor Name: Momentum Construction Idea: Reflects the tendency of stocks with strong past performance to continue performing well in the short term [13][28] Construction Process: Momentum is calculated as the cumulative return of a stock over a specific look-back period, excluding the most recent month [13][28] Evaluation: This factor exhibited slight positive performance during the week [13][28] - Factor Name: Value Construction Idea: Measures the attractiveness of a stock based on its valuation metrics, such as price-to-earnings or price-to-book ratios [13][28] Construction Process: Value is computed using a weighted combination of valuation ratios, normalized across the universe of stocks [13][28] Evaluation: This factor underperformed during the week, indicating a negative contribution to portfolio returns [13][28] - Factor Name: Leverage Construction Idea: Represents the financial risk of a company based on its debt levels relative to equity [13][28] Construction Process: Leverage is calculated as the ratio of total debt to total equity for each stock [13][28] Evaluation: This factor showed slight negative performance during the week [13][28] - Factor Name: Size Construction Idea: Captures the performance difference between small-cap and large-cap stocks [13][28] Construction Process: Size is measured as the natural logarithm of a company's market capitalization [13][28] Evaluation: This factor significantly underperformed during the week, reflecting a preference for larger-cap stocks [13][28] Factor Backtesting Results - BETA Factor: Weekly return +0.27%, 1-year Sharpe ratio 2.74, 1-year maximum drawdown 5.40% [13][29] - Residual Volatility Factor: Weekly return +0.12%, 1-year Sharpe ratio -3.22, 1-year maximum drawdown 11.67% [13][29] - Momentum Factor: Weekly return +0.05%, 1-year Sharpe ratio 2.96, 1-year maximum drawdown 2.47% [13][29] - Value Factor: Weekly return -0.25%, 1-year Sharpe ratio -0.18, 1-year maximum drawdown 3.31% [13][29] - Leverage Factor: Weekly return -0.28%, 1-year Sharpe ratio 2.96, 1-year maximum drawdown 1.55% [13][29] - Size Factor: Weekly return -0.47%, 1-year Sharpe ratio -5.82, 1-year maximum drawdown 17.33% [13][29]