Orient Securities(SH:600958) Orient Securities·2025-08-24 02:15Quantitative Models and Factor Analysis Quantitative Models and Construction Methods Model: DFQ-FactorGCL - Construction Idea: This model is based on hypergraph convolutional neural networks and time residual contrastive learning for stock return prediction[7] - Construction Process: The detailed construction process is not provided in the document - Evaluation: The model is part of the factor stock selection series, indicating its relevance in stock return prediction[7] Model: Neural ODE - Construction Idea: This model reconstructs time-series dynamic systems for deep learning factor mining[7] - Construction Process: The detailed construction process is not provided in the document - Evaluation: The model is part of the factor stock selection series, indicating its relevance in factor mining[7] Model Backtesting Results DFQ-FactorGCL Model - IR: Not provided - Return: Not provided - Volatility: Not provided Neural ODE Model - IR: Not provided - Return: Not provided - Volatility: Not provided Quantitative Factors and Construction Methods Factor: Beta - Construction Idea: Measures the sensitivity of a stock's returns to market returns[11] - Construction Process: - Bayesian compressed market Beta[16] - Evaluation: Beta factor showed a significant positive return of 3.74% this week, indicating a strong market preference for high Beta stocks[11] Factor: Volatility - Construction Idea: Measures the degree of variation in a stock's returns[11] - Construction Process: - Stdvol: Standard deviation of returns over the past 243 days - Ivff: FF3 idiosyncratic volatility over the past 243 days - Range: Highest price/lowest price - 1 over the past 243 days - MaxRet_6: Average return of the highest six days over the past 243 days - MinRet_6: Average return of the lowest six days over the past 243 days[16] - Evaluation: Volatility factor showed a significant positive return of 3.41% this week, indicating increased demand for high volatility assets[11] Factor: Liquidity - Construction Idea: Measures the ease with which a stock can be bought or sold without affecting its price[11] - Construction Process: - TO: Average log turnover rate over the past 243 days - Liquidity beta: Regression of individual stock log turnover rate against market log turnover rate over the past 243 days[16] - Evaluation: Liquidity factor showed a significant positive return of 3.34% this week, indicating increased demand for high liquidity assets[11] Factor: SOE (State-Owned Enterprise) - Construction Idea: Measures the proportion of state ownership in a company[11] - Construction Process: - State Owned Enterprise: Proportion of state ownership[16] - Evaluation: SOE factor showed a positive return of 0.63% this week, indicating a slight increase in market attention to state-owned enterprise stocks[11] Factor: Growth - Construction Idea: Measures the growth potential of a company[12] - Construction Process: - Delta ROE: Average change in ROE over the past 3 years - Sales_growth: 3-year compound growth rate of sales revenue - Na_growth: 3-year compound growth rate of net assets[16] - Evaluation: Growth factor showed a negative return of -0.33% this week, indicating low market preference for growth stocks[12] Factor: Certainty - Construction Idea: Measures the certainty of a company's future performance[12] - Construction Process: - Instholder Pct: Proportion of public fund holdings - Cov: Analyst coverage (orthogonalized to market value) - Listdays: Number of days listed[16] - Evaluation: Certainty factor showed a significant negative return of -0.83% this week, indicating reduced market confidence in certainty investment strategies[12] Factor: Cubic Size - Construction Idea: Measures the size of a company using a power function of market value[12] - Construction Process: - Market value power term[16] - Evaluation: Cubic Size factor showed a significant negative return of -1.51% this week, indicating reduced market attention to extreme market value-related assets[12] Factor: Trend - Construction Idea: Measures the trend-following behavior of a stock[12] - Construction Process: - Trend_120: EWMA(halflife=20)/EWMA(halflife=120) - Trend_240: EWMA(halflife=20)/EWMA(halflife=240)[16] - Evaluation: Trend factor showed a significant negative return of -1.96% this week, indicating reduced market preference for trend investment strategies[12] Factor: Size - Construction Idea: Measures the size of a company using the logarithm of market value[12] - Construction Process: - Logarithm of market value[16] - Evaluation: Size factor showed a significant negative return of -2.14% this week, indicating reduced market attention to small-cap stocks[12] Factor: Value - Construction Idea: Measures the value of a company using various valuation metrics[12] - Construction Process: - BP: Book-to-market ratio - EP: Earnings yield[16] - Evaluation: Value factor showed a significant negative return of -2.40% this week, indicating reduced market recognition of value investment strategies[12] Factor Backtesting Results Beta Factor - Recent Week: 3.74%[13] - Recent Month: 10.06%[13] - Year-to-Date: 27.17%[13] - Last Year: 59.45%[13] - Historical Annualized: 1.21%[13] Volatility Factor - Recent Week: 3.41%[13] - Recent Month: 6.01%[13] - Year-to-Date: 9.97%[13] - Last Year: 35.11%[13] - Historical Annualized: -12.85%[13] Liquidity Factor - Recent Week: 3.34%[13] - Recent Month: 3.92%[13] - Year-to-Date: 20.65%[13] - Last Year: 32.29%[13] - Historical Annualized: -3.28%[13] SOE Factor - Recent Week: 0.63%[13] - Recent Month: 1.44%[13] - Year-to-Date: 7.38%[13] - Last Year: 14.87%[13] - Historical Annualized: 7.22%[13] Growth Factor - Recent Week: -0.33%[13] - Recent Month: -2.55%[13] - Year-to-Date: -2.67%[13] - Last Year: 0.62%[13] - Historical Annualized: 2.63%[13] Certainty Factor - Recent Week: -0.83%[13] - Recent Month: -3.85%[13] - Year-to-Date: -14.30%[13] - Last Year: -20.88%[13] - Historical Annualized: 2.44%[13] Cubic Size Factor - Recent Week: -1.51%[13] - Recent Month: 0.59%[13] - Year-to-Date: -30.87%[13] - Last Year: -50.44%[13] - Historical Annualized: -26.52%[13] Trend Factor - Recent Week: -1.96%[13] - Recent Month: -3.40%[13] - Year-to-Date: -4.05%[13] - Last Year: 18.60%[13] - Historical Annualized: 13.97%[13] Size Factor - Recent Week: -2.14%[13] - Recent Month: -2.79%[13] - Year-to-Date: -38.32%[13] - Last Year: -59.18%[13] - Historical Annualized: -29.70%[13] Value Factor - Recent Week: -2.40%[13] - Recent Month: -6.37%[13] - Year-to-Date: -15.60%[13] - Last Year: -29.84%[13] - Historical Annualized: 6.76%[13]