Quantitative Models and Construction Methods Model Name: Broker Gold Stock Performance Enhancement Portfolio - Model Construction Idea: The model aims to optimize the selection of stocks from the broker gold stock pool to outperform the median of active equity funds[39][43]. - Model Construction Process: - The model uses the broker gold stock pool as the stock selection space and constraint benchmark. - It employs portfolio optimization to control deviations in individual stocks and styles from the broker gold stock pool. - The industry distribution of all public funds is used as the industry allocation benchmark. - The model's detailed construction method can be found in the report "Broker Gold Stock Full Analysis - Data, Modeling, and Practice" published on February 18, 2022[39][43]. - Model Evaluation: The model has shown stable performance historically, consistently outperforming the active equity fund index from 2018 to 2022, ranking in the top 30% of active equity funds each year[12][39]. Model Backtesting Results Broker Gold Stock Performance Enhancement Portfolio - Absolute Return (Monthly): 15.49%[5][42] - Excess Return Relative to Active Equity Fund Index (Monthly): 3.59%[5][42] - Absolute Return (Year-to-Date): 34.01%[5][42] - Excess Return Relative to Active Equity Fund Index (Year-to-Date): 5.72%[5][42] - Ranking in Active Equity Funds (Year-to-Date): 30.38% percentile (1054/3469)[5][42] Quantitative Factors and Construction Methods Factor Name: Single Quarter Net Profit Growth Rate - Factor Construction Idea: This factor measures the growth rate of net profit in a single quarter[3][28]. - Factor Construction Process: - Calculate the net profit for the current quarter. - Compare it to the net profit of the same quarter in the previous year. - The formula is: $ \text{Net Profit Growth Rate} = \frac{\text{Current Quarter Net Profit} - \text{Previous Year Same Quarter Net Profit}}{\text{Previous Year Same Quarter Net Profit}} \times 100% $ - Factor Evaluation: This factor has performed well recently[3][28]. Factor Name: Single Quarter ROE - Factor Construction Idea: This factor measures the return on equity for a single quarter[3][28]. - Factor Construction Process: - Calculate the net income for the quarter. - Divide it by the average shareholders' equity for the quarter. - The formula is: $ \text{ROE} = \frac{\text{Net Income}}{\text{Average Shareholders' Equity}} \times 100% $ - Factor Evaluation: This factor has performed well recently[3][28]. Factor Name: Single Quarter Revenue Growth Rate - Factor Construction Idea: This factor measures the growth rate of revenue in a single quarter[3][28]. - Factor Construction Process: - Calculate the revenue for the current quarter. - Compare it to the revenue of the same quarter in the previous year. - The formula is: $ \text{Revenue Growth Rate} = \frac{\text{Current Quarter Revenue} - \text{Previous Year Same Quarter Revenue}}{\text{Previous Year Same Quarter Revenue}} \times 100% $ - Factor Evaluation: This factor has performed well recently[3][28]. Factor Backtesting Results Single Quarter Net Profit Growth Rate - Performance: This factor has shown good performance recently[3][28]. Single Quarter ROE - Performance: This factor has shown good performance recently[3][28]. Single Quarter Revenue Growth Rate - Performance: This factor has shown good performance recently[3][28].