中邮因子周报：成长风格显著，中盘表现占优-20250818

Quantitative Models and Construction 1. Model Name: GRU Model - Model Construction Idea: The GRU model is used to capture temporal dependencies in financial data, leveraging its recurrent structure to predict stock movements and generate long-short signals[4][5][6] - Model Construction Process: - Input data includes historical stock prices, technical indicators, and fundamental factors - The GRU network processes sequential data to learn patterns over time - Outputs are used to construct long-short portfolios based on predicted returns[4][5][6] - Model Evaluation: The GRU model demonstrates strong performance in certain market conditions, though its results vary across different stock pools[4][5][6] 2. Model Name: Barra Models (barra1d, barra5d) - Model Construction Idea: Barra models are factor-based models designed to decompose stock returns into systematic and idiosyncratic components, enabling factor-based portfolio construction[4][5][6] - Model Construction Process: - Factors such as size, value, momentum, and volatility are calculated for each stock - Stocks are ranked based on factor scores, and portfolios are constructed by going long the top 10% and short the bottom 10% of stocks based on factor rankings - barra1d uses daily data, while barra5d aggregates data over a 5-day window[4][5][6] - Model Evaluation: barra1d shows consistent strong performance, while barra5d experiences significant drawdowns in certain periods[4][5][6] --- Backtesting Results of Models GRU Model - Open1d: Weekly excess return: -1.80%, Monthly: -1.96%, YTD: 5.24%[33] - Close1d: Weekly excess return: -2.40%, Monthly: -3.10%, YTD: 4.04%[33] Barra Models - Barra1d: Weekly excess return: -0.63%, Monthly: -0.34%, YTD: 3.13%[33] - Barra5d: Weekly excess return: -1.80%, Monthly: -2.08%, YTD: 6.42%[33] --- Quantitative Factors and Construction 1. Factor Name: Beta - Factor Construction Idea: Measures the sensitivity of a stock's returns to market movements[15] - Factor Construction Process: Calculated as the historical beta of the stock relative to the market index[15] 2. Factor Name: Size - Factor Construction Idea: Captures the size effect, where smaller firms tend to outperform larger firms[15] - Factor Construction Process: Natural logarithm of total market capitalization[15] 3. Factor Name: Momentum - Factor Construction Idea: Stocks with strong past performance tend to continue performing well in the short term[15] - Factor Construction Process: - Weighted combination of historical excess return volatility (0.74), cumulative excess return deviation (0.16), and residual return volatility (0.10)[15] 4. Factor Name: Volatility - Factor Construction Idea: Measures the risk or variability in stock returns[15] - Factor Construction Process: Weighted combination of historical residual return volatility and other metrics[15] 5. Factor Name: Valuation - Factor Construction Idea: Identifies undervalued stocks based on fundamental metrics[15] - Factor Construction Process: Inverse of price-to-book ratio[15] 6. Factor Name: Liquidity - Factor Construction Idea: Measures the ease of trading a stock[15] - Factor Construction Process: Weighted combination of monthly turnover (0.35), quarterly turnover (0.35), and annual turnover (0.30)[15] 7. Factor Name: Profitability - Factor Construction Idea: Captures the financial health and earnings quality of a firm[15] - Factor Construction Process: Weighted combination of analyst-predicted earnings yield, cash flow yield, and other profitability metrics[15] 8. Factor Name: Growth - Factor Construction Idea: Identifies firms with strong earnings and revenue growth[15] - Factor Construction Process: Weighted combination of earnings growth rate (0.24) and revenue growth rate (0.47)[15] 9. Factor Name: Leverage - Factor Construction Idea: Measures the financial risk associated with a firm's debt levels[15] - Factor Construction Process: Weighted combination of market leverage (0.38), book leverage (0.35), and debt-to-asset ratio (0.27)[15] --- Backtesting Results of Factors Fundamental Factors - Growth: Weekly excess return: 2.41%, Monthly: -2.18%, YTD: 3.20%[28] - Profitability: Weekly excess return: 0.22%, Monthly: 40.98%, YTD: 6.12%[28] Technical Factors - Momentum (20-day): Weekly excess return: 1.72%, Monthly: 4.23%, YTD: -5.29%[30] - Volatility (120-day): Weekly excess return: 4.85%, Monthly: 8.64%, YTD: -14.60%[30]