Quantitative Models and Construction Methods 1. Model Name: IPO Return Estimation Model - Model Construction Idea: The model estimates the returns of IPO investments by considering account size, subscription limits, winning rates, and IPO yield rates[47] - Model Construction Process: The model calculates the IPO return for a single account using the formula: $ \text{Single Account IPO Return} = \min(\text{Account Size}, \text{Subscription Limit}) \times \text{Winning Rate} \times \text{Yield Rate} $ For full subscription scenarios, the formula is: $ \text{Full Subscription Return} = \text{Subscription Limit} \times \text{Winning Rate} \times \text{Yield Rate} $ - Winning rate is based on actual IPO results - Yield rate is determined by the price difference between the IPO price and the first trading day price for registration-based IPOs, or the price difference on the opening day for non-registration-based IPOs[47] - Model Evaluation: The model provides a structured approach to estimate IPO returns under different scenarios, but it relies on historical data and assumptions, which may introduce subjectivity[47][72] --- Model Backtesting Results 1. IPO Return Estimation Model - Main Board: - August 2025: A-class return rate: 0.014%, C-class return rate: 0.013%[48] - Full subscription return: A-class: 6.8 million yuan, C-class: 6.4 million yuan[57] - ChiNext Board: - August 2025: A-class return rate: 0.066%, C-class return rate: 0.064%[48] - Full subscription return: A-class: 33.2 million yuan, C-class: 32.1 million yuan[57] - Cumulative 2025 Returns: - A-class: 1.134%, C-class: 1.035%[54] --- Quantitative Factors and Construction Methods 1. Factor Name: Winning Rate Factor - Factor Construction Idea: Measures the probability of winning IPO shares based on investor category and market conditions[30][31] - Factor Construction Process: Winning rates are calculated as the ratio of successful allocations to total applications, segmented by investor categories (A-class and C-class) and market boards (Main Board, ChiNext, etc.)[30][31] - Factor Evaluation: The factor effectively captures the allocation efficiency and competitiveness of different investor categories in IPOs[30][31] 2. Factor Name: Yield Rate Factor - Factor Construction Idea: Represents the profitability of IPO investments based on the price difference between the IPO price and the trading price[47] - Factor Construction Process: Yield rate is calculated as: $ \text{Yield Rate} = \frac{\text{Trading Price} - \text{IPO Price}}{\text{IPO Price}} $ - For registration-based IPOs, the trading price is the average price on the first trading day - For non-registration-based IPOs, the trading price is the average price on the opening day[47] - Factor Evaluation: The factor provides a direct measure of IPO profitability but may be influenced by market volatility and external factors[47] --- Factor Backtesting Results 1. Winning Rate Factor - Main Board: - A-class: 0.12‰, C-class: 0.12‰[30] - ChiNext Board: - A-class: 0.25‰, C-class: 0.24‰[30] 2. Yield Rate Factor - Main Board: - August 2025: 140.68%[23] - ChiNext Board: - August 2025: 302.58%[23]
打新市场跟踪月报：北交所IPO提速，打新市场参与度上升-20250901