Quantitative Models and Construction Methods 1. Model Name: Diffusion Index Model - Model Construction Idea: The model is used to monitor the critical points of trend changes in the micro-cap stock index by analyzing the distribution of stock price movements over a specific time window [5][39] - Model Construction Process: The diffusion index is calculated based on the relative price changes of constituent stocks over a retrospective or forward-looking window. For example, if the horizontal axis is 0.95 and the vertical axis is 15 days, the value of 0.31 indicates that if all constituent stocks drop by 5% after 5 days, the diffusion index value is 0.31. The model uses thresholds to signal trading actions: - First Threshold Method (Left-Side Trading): Triggered a sell signal on May 8, 2025, when the index reached 0.9850 [43] - Delayed Threshold Method (Right-Side Trading): Triggered a sell signal on May 15, 2025, at 0.8975 [47] - Double Moving Average Method (Adaptive Trading): Triggered a buy signal on July 3, 2025 [48] - Model Evaluation: The model effectively identifies trend changes but may be influenced by the distribution of constituent stocks and their updates [39][40] 2. Model Name: Small-Cap Low-Volatility 50 Strategy - Model Construction Idea: This strategy selects 50 stocks with small market capitalization and low volatility from the micro-cap stock index, rebalancing every two weeks [7][36] - Model Construction Process: - Select stocks with the smallest market capitalization and lowest volatility from the micro-cap index - Rebalance the portfolio bi-weekly - Benchmark: Wind Micro-Cap Stock Index (8841431.WI) - Transaction cost: 0.3% on both sides [7][36] - Model Evaluation: The strategy demonstrates strong performance in 2025 but underperformed in 2024, indicating sensitivity to market conditions [7][36] --- Model Backtesting Results 1. Diffusion Index Model - First Threshold Method: Triggered sell signal at 0.9850 on May 8, 2025 [43] - Delayed Threshold Method: Triggered sell signal at 0.8975 on May 15, 2025 [47] - Double Moving Average Method: Triggered buy signal on July 3, 2025 [48] 2. Small-Cap Low-Volatility 50 Strategy - 2024 Return: 7.07%, underperformed by -2.93% relative to the benchmark [7][36] - 2025 YTD Return: 69.79%, underperformed by -1.88% relative to the benchmark [7][36] --- Quantitative Factors and Construction Methods 1. Factor Name: Unadjusted Stock Price Factor - Factor Construction Idea: Measures the rank IC of unadjusted stock prices within the micro-cap stock index [4][17] - Factor Construction Process: - Calculate the rank IC of unadjusted stock prices weekly - Compare with historical averages for evaluation [4][17] - Factor Evaluation: Demonstrated strong performance this week with a rank IC of 0.177, significantly above the historical average of -0.015 [4][17] 2. Factor Name: Beta Factor - Factor Construction Idea: Measures the systematic risk of stocks within the micro-cap stock index [4][17] - Factor Construction Process: - Calculate the beta of each stock relative to the market - Evaluate weekly rank IC and compare with historical averages [4][17] - Factor Evaluation: Performed well this week with a rank IC of 0.15, above the historical average of 0.006 [4][17] 3. Factor Name: Illiquidity Factor - Factor Construction Idea: Captures the illiquidity of stocks within the micro-cap stock index [4][17] - Factor Construction Process: - Measure illiquidity based on trading volume and price impact - Evaluate weekly rank IC and compare with historical averages [4][17] - Factor Evaluation: Strong performance this week with a rank IC of 0.143, above the historical average of 0.04 [4][17] 4. Factor Name: 10-Day Return Factor - Factor Construction Idea: Tracks the short-term momentum of stocks within the micro-cap stock index [4][17] - Factor Construction Process: - Calculate the 10-day return for each stock - Evaluate weekly rank IC and compare with historical averages [4][17] - Factor Evaluation: Positive performance this week with a rank IC of 0.105, above the historical average of -0.061 [4][17] 5. Factor Name: PE_TTM Reciprocal Factor - Factor Construction Idea: Measures valuation based on the reciprocal of the trailing twelve-month price-to-earnings ratio [4][17] - Factor Construction Process: - Calculate the reciprocal of PE_TTM for each stock - Evaluate weekly rank IC and compare with historical averages [4][17] - Factor Evaluation: Moderate performance this week with a rank IC of 0.041, above the historical average of 0.017 [4][17] --- Factor Backtesting Results Top 5 Factors by Weekly Rank IC 1. Unadjusted Stock Price Factor: Weekly rank IC = 0.177, Historical Average = -0.015 [4][17] 2. Beta Factor: Weekly rank IC = 0.15, Historical Average = 0.006 [4][17] 3. Illiquidity Factor: Weekly rank IC = 0.143, Historical Average = 0.04 [4][17] 4. 10-Day Return Factor: Weekly rank IC = 0.105, Historical Average = -0.061 [4][17] 5. PE_TTM Reciprocal Factor: Weekly rank IC = 0.041, Historical Average = 0.017 [4][17] Bottom 5 Factors by Weekly Rank IC 1. Turnover Factor: Weekly rank IC = -0.189, Historical Average = -0.082 [4][17] 2. Momentum Factor: Weekly rank IC = -0.132, Historical Average = -0.005 [4][17] 3. Residual Volatility Factor: Weekly rank IC = -0.13, Historical Average = -0.04 [4][17] 4. 10-Day Free Float Turnover Factor: Weekly rank IC = -0.12, Historical Average = -0.062 [4][17] 5. Liquidity Factor: Weekly rank IC = -0.118, Historical Average = -0.041 [4][17]
微盘股指数周报：微盘股将再次迎来高胜率区间-20250804
China Post Securities·2025-08-04 07:48