金工定期报告20250903：估值异常因子绩效月报20250829-20250903

Quantitative Factors and Construction Methods 1. Factor Name: Valuation Deviation (EPD) Factor - Construction Idea: Combines the mean-reversion strategy commonly used in CTA with the valuation repair logic of fundamentals, leveraging the mean-reversion characteristics of the PE valuation metric[7][2] - Construction Process: - Utilize the mean-reversion property of the PE ratio to construct the EPD factor[7] - The factor captures valuation deviations based on historical PE levels[7] - Evaluation: Reflects the valuation deviation of stocks, providing a basis for mean-reversion strategies[7] 2. Factor Name: Slow Deviation (EPDS) Factor - Construction Idea: Removes the impact of changes in individual stock valuation logic by using the EPD factor to exclude stocks with altered valuation logic, represented by the stock's information ratio[7][2] - Construction Process: - Use the EPD factor as a base - Exclude stocks with high probabilities of valuation logic changes, as proxied by their information ratios[7] - Evaluation: Focuses on stocks with stable valuation logic, enhancing the robustness of the factor[7] 3. Factor Name: Valuation Anomaly (EPA) Factor - Construction Idea: Further removes the influence of beta, growth, and value styles from the EPDS factor to isolate the "valuation anomaly" logic[7][2] - Construction Process: - Start with the EPDS factor - Adjust for beta, growth, and value style influences to refine the factor[7] - Evaluation: Provides a purer measure of valuation anomalies, making it more effective for stock selection[7] --- Factor Backtesting Results 1. Valuation Deviation (EPD) Factor - Annualized Return: 17.47%[2][8][12] - Annualized Volatility: 9.94%[2][8][12] - IR: 1.76[2][8][12] - Monthly Win Rate: 70.59%[2][8][12] - Maximum Drawdown: 8.93%[2][8][12] 2. Slow Deviation (EPDS) Factor - Annualized Return: 16.12%[2][8][12] - Annualized Volatility: 5.74%[2][8][12] - IR: 2.81[2][8][12] - Monthly Win Rate: 78.61%[2][8][12] - Maximum Drawdown: 3.10%[2][8][12] 3. Valuation Anomaly (EPA) Factor - Annualized Return: 17.29%[2][8][12] - Annualized Volatility: 5.14%[2][8][12] - IR: 3.37[2][8][12] - Monthly Win Rate: 80.75%[2][8][12] - Maximum Drawdown: 3.12%[2][8][12]