中邮因子周报：成长风格占优，小盘股活跃-20250915

Quantitative Models and Factor Analysis Quantitative Models and Construction - Model Name: GRU-based Models - Construction Idea: GRU (Gated Recurrent Unit) models are used to capture sequential patterns in financial data, aiming to predict stock movements based on historical trends and other input features [3][4][5] - Construction Process: GRU models are trained on historical data to optimize their predictive capabilities. Specific variations of GRU models include barra1d, barra5d, open1d, and close1d, which differ in their input features and time horizons [3][4][5] - Evaluation: GRU models show mixed performance, with barra1d consistently achieving positive returns, while other variations like close1d and barra5d experience significant drawdowns [3][4][5] Model Backtesting Results - GRU Models: - barra1d: Weekly excess return of 0.14%, monthly return of 1.20%, and YTD return of 4.77% [32][33] - barra5d: Weekly excess return of -0.59%, monthly return of -2.84%, and YTD return of 5.03% [32][33] - open1d: Weekly excess return of 0.22%, monthly return of -1.23%, and YTD return of 5.45% [32][33] - close1d: Weekly excess return of -0.20%, monthly return of -2.64%, and YTD return of 2.92% [32][33] --- Quantitative Factors and Construction - Factor Name: Style Factors (Barra) - Construction Idea: Style factors are designed to capture systematic risks and returns associated with specific stock characteristics, such as size, momentum, and valuation [14][15] - Construction Process: - Beta: Historical beta of the stock - Size: Natural logarithm of total market capitalization - Momentum: Mean of historical excess returns - Volatility: Weighted combination of historical excess return volatility, cumulative excess return deviation, and residual return volatility - Valuation: Inverse of price-to-book ratio - Liquidity: Weighted turnover rates over monthly, quarterly, and yearly periods - Profitability: Weighted combination of analyst-predicted earnings yield, cash flow yield, and other profitability metrics - Growth: Weighted combination of earnings and revenue growth rates - Leverage: Weighted combination of market leverage, book leverage, and debt-to-asset ratio [15] - Evaluation: Style factors exhibit varying performance, with size, non-linear size, and liquidity factors showing strong long positions, while valuation and growth factors perform better in short positions [16][17] - Factor Name: Fundamental Factors - Construction Idea: Fundamental factors are derived from financial statements and aim to capture the financial health and growth potential of companies [17][18][20] - Construction Process: - ROA Growth: Growth in return on assets - ROC Growth: Growth in return on capital - Net Profit Growth: Growth in net profit - Sales-to-Price Ratio: Inverse of price-to-sales ratio - Operating Profit Growth: Growth in operating profit [21][25][27] - Evaluation: Fundamental factors like ROA and ROC growth show positive returns, while static financial metrics like sales-to-price ratio exhibit mixed results [21][25][27] - Factor Name: Technical Factors - Construction Idea: Technical factors are based on price and volume data, aiming to capture momentum and volatility patterns [18][20][24] - Construction Process: - Momentum: Calculated over 20, 60, and 120-day periods - Volatility: Measured over similar time horizons - Median Deviation: Deviation of stock prices from the median [25][27][30] - Evaluation: High-momentum stocks generally outperform, while long-term volatility factors show weaker performance [25][27][30] --- Factor Backtesting Results - Style Factors: - Size: Weekly return of 0.22%, monthly return of 1.20%, and YTD return of 4.77% [16][17] - Valuation: Weekly return of -0.20%, monthly return of -2.64%, and YTD return of 2.92% [16][17] - Fundamental Factors: - ROA Growth: Weekly return of 1.31%, monthly return of 12.03%, and YTD return of 33.49% [21][25] - ROC Growth: Weekly return of 1.74%, monthly return of 4.75%, and YTD return of 10.89% [21][25] - Technical Factors: - 20-day Momentum: Weekly return of 3.25%, monthly return of 12.92%, and YTD return of 2.35% [25][27] - 60-day Volatility: Weekly return of 3.65%, monthly return of 16.15%, and YTD return of 28.43% [25][27]