量化组合跟踪周报：市场呈现大市值风格，PB-ROE组合超额收益显著-20250823

Quantitative Models and Construction PB-ROE-50 Model - Model Name: PB-ROE-50 - Model Construction Idea: The model combines Price-to-Book (PB) and Return on Equity (ROE) metrics to identify stocks with strong profitability and reasonable valuation[24] - Model Construction Process: The PB-ROE-50 portfolio is constructed by selecting 50 stocks based on a combination of PB and ROE metrics. The portfolio is rebalanced periodically to maintain the desired exposure to these factors[24] - Model Evaluation: The model demonstrates consistent positive excess returns across different stock pools, indicating its effectiveness in capturing value and profitability signals[24] --- Quantitative Factors and Construction Standardized Unexpected Earnings (SUE) - Factor Name: Standardized Unexpected Earnings (SUE) - Factor Construction Idea: Measures the deviation of actual earnings from expected earnings, standardized by historical earnings volatility[12] - Factor Construction Process: $ SUE = \frac{E_{actual} - E_{expected}}{\sigma_{earnings}} $ Where: $E_{actual}$ = Actual earnings $E_{expected}$ = Expected earnings $\sigma_{earnings}$ = Standard deviation of historical earnings[12] - Factor Evaluation: Demonstrates strong positive returns in the CSI 300 stock pool, indicating its ability to capture earnings surprises effectively[12] Single-Quarter ROE YoY Growth - Factor Name: Single-Quarter ROE YoY Growth - Factor Construction Idea: Measures the year-over-year growth in Return on Equity (ROE) for a single quarter[14] - Factor Construction Process: $ ROE_{YoY} = \frac{ROE_{current_quarter} - ROE_{same_quarter_last_year}}{ROE_{same_quarter_last_year}} $ Where: $ROE_{current_quarter}$ = ROE for the current quarter $ROE_{same_quarter_last_year}$ = ROE for the same quarter in the previous year[14] - Factor Evaluation: Shows strong positive returns in the CSI 500 stock pool, highlighting its effectiveness in identifying growth trends[14] Total Asset Growth Rate - Factor Name: Total Asset Growth Rate - Factor Construction Idea: Measures the growth rate of total assets over a specific period[16] - Factor Construction Process: $ Growth_{assets} = \frac{Assets_{current} - Assets_{previous}}{Assets_{previous}} $ Where: $Assets_{current}$ = Total assets in the current period $Assets_{previous}$ = Total assets in the previous period[16] - Factor Evaluation: Demonstrates strong positive returns across multiple stock pools, indicating its robustness in capturing growth signals[16] --- Backtesting Results of Models PB-ROE-50 Model - Excess Return (Weekly): - CSI 500: 0.47% - CSI 800: 0.25% - All Market: 1.02%[25] - Excess Return (YTD): - CSI 500: 3.22% - CSI 800: 11.76% - All Market: 14.28%[25] --- Backtesting Results of Factors Standardized Unexpected Earnings (SUE) - Excess Return (Weekly): - CSI 300: 4.12% - CSI 500: 0.34% - Liquidity 1500: 1.16%[12][15][17] Single-Quarter ROE YoY Growth - Excess Return (Weekly): - CSI 300: 0.84% - CSI 500: 2.28% - Liquidity 1500: 1.27%[12][15][17] Total Asset Growth Rate - Excess Return (Weekly): - CSI 300: 2.39% - CSI 500: 0.50% - Liquidity 1500: 2.12%[12][15][17]