多因子选股周报：成长因子表现出色，四大指增组合年内超额均逾10%-20250809

Quantitative Models and Factor Construction Quantitative Models and Construction Methods - Model Name: Maximized Factor Exposure Portfolio (MFE) Model Construction Idea: The MFE portfolio is designed to maximize the exposure of a single factor while controlling for various constraints such as industry exposure, style exposure, stock weight deviation, and turnover limits. This approach ensures that the factor's predictive power is tested under realistic portfolio constraints, making it more applicable in practice [39][40]. Model Construction Process: The MFE portfolio is constructed using the following optimization model: $ \begin{array}{ll} max & f^{T} w \ s.t. & s_{l} \leq X(w-w_{b}) \leq s_{h} \ & h_{l} \leq H(w-w_{b}) \leq h_{h} \ & w_{l} \leq w-w_{b} \leq w_{h} \ & b_{l} \leq B_{b}w \leq b_{h} \ & \mathbf{0} \leq w \leq l \ & \mathbf{1}^{T} w = 1 \end{array} $ - Objective Function: Maximize single-factor exposure, where $f$ represents factor values, and $w$ is the stock weight vector. - Constraints: 1. Style Exposure: $X$ is the factor exposure matrix, $w_b$ is the benchmark weight vector, and $s_l, s_h$ are the lower and upper bounds for style exposure. 2. Industry Exposure: $H$ is the industry exposure matrix, and $h_l, h_h$ are the lower and upper bounds for industry deviation. 3. Stock Weight Deviation: $w_l, w_h$ are the lower and upper bounds for stock weight deviation. 4. Constituent Weight Control: $B_b$ is a binary vector indicating benchmark constituents, and $b_l, b_h$ are the lower and upper bounds for constituent weights. 5. No Short Selling: Ensures non-negative weights and limits individual stock weights. 6. Full Investment: Ensures the portfolio is fully invested with $\mathbf{1}^{T} w = 1$ [39][40][41]. Model Evaluation: The MFE portfolio is effective in testing factor performance under realistic constraints, making it a practical tool for portfolio construction [39][40]. Quantitative Factors and Construction Methods - Factor Name: DELTAROE Factor Construction Idea: Measures the change in return on equity (ROE) over a specific period to capture improvements in profitability [16]. Factor Construction Process: $ \text{DELTAROE} = \text{ROE}{\text{current quarter}} - \text{ROE}{\text{same quarter last year}} $ Where ROE is calculated as: $ \text{ROE} = \frac{\text{Net Income} \times 2}{\text{Beginning Equity} + \text{Ending Equity}} $ [16]. Factor Evaluation: DELTAROE is a profitability factor that has shown strong performance in multiple sample spaces, including CSI 300, CSI 500, and CSI A500 indices [17][19][24]. - Factor Name: Pre-expected PEG (Pre-expected Price-to-Earnings Growth) Factor Construction Idea: Incorporates analysts' earnings growth expectations to evaluate valuation relative to growth potential [16]. Factor Construction Process: $ \text{Pre-expected PEG} = \frac{\text{Forward P/E}}{\text{Expected Earnings Growth Rate}} $ Where forward P/E is based on analysts' consensus earnings estimates [16]. Factor Evaluation: This factor has demonstrated strong predictive power in growth-oriented sample spaces such as CSI 300 and CSI A500 indices [17][24]. - Factor Name: DELTAROA Factor Construction Idea: Measures the change in return on assets (ROA) over a specific period to capture improvements in asset efficiency [16]. Factor Construction Process: $ \text{DELTAROA} = \text{ROA}{\text{current quarter}} - \text{ROA}{\text{same quarter last year}} $ Where ROA is calculated as: $ \text{ROA} = \frac{\text{Net Income} \times 2}{\text{Beginning Total Assets} + \text{Ending Total Assets}} $ [16]. Factor Evaluation: DELTAROA has shown consistent performance across multiple indices, including CSI 1000 and public fund-heavy indices [22][26]. Factor Backtesting Results - DELTAROE: - CSI 300: Weekly excess return 0.75%, monthly 2.28%, YTD 8.04% [17]. - CSI 500: Weekly excess return 0.07%, monthly 0.59%, YTD 6.67% [19]. - CSI A500: Weekly excess return 0.68%, monthly 3.61%, YTD 9.20% [24]. - Pre-expected PEG: - CSI 300: Weekly excess return 0.72%, monthly 2.10%, YTD 7.22% [17]. - CSI 500: Weekly excess return 0.15%, monthly 1.34%, YTD 9.62% [19]. - CSI A500: Weekly excess return 0.85%, monthly 2.07%, YTD 10.35% [24]. - DELTAROA: - CSI 300: Weekly excess return 0.44%, monthly 2.27%, YTD 7.10% [17]. - CSI 1000: Weekly excess return 0.66%, monthly 1.57%, YTD 8.57% [22]. - Public Fund Index: Weekly excess return 0.66%, monthly 1.57%, YTD 8.57% [26].