ESG定价权逐步提升

Quantitative Models and Construction ESG Factor Construction and Analysis - Factor Name: "Final Holding of Invention Patent Quality Total Score" Construction Idea: This factor measures the quality of a company's innovation output, reflecting its technological barriers and commercialization potential, which can translate into future profitability and competitive advantages[38][42] Construction Process: The factor is derived from the total score of invention patent quality held by the company at the end of the period. It is categorized under the "business innovation" type of ESG factors[38] Evaluation: The factor demonstrates strong positive stock selection ability, with high-quality patents receiving higher valuation premiums from the market[38][42] - Factor Name: "Wages, Bonuses, Allowances, and Subsidies" Construction Idea: This factor reflects a company's ability to attract and retain core talent through human capital investment, indirectly indicating employee satisfaction and productivity[39][42] Construction Process: The factor is based on the total expenditure on wages, bonuses, allowances, and subsidies, categorized under the "human capital" type of ESG factors[39] Evaluation: Companies with higher human capital investment tend to exhibit greater long-term operational stability and innovation potential[39][42] - Factor Name: "Equity Concentration Change Rate" Construction Idea: This factor captures changes in shareholder confidence, where increased concentration may indicate optimism or governance strengthening, while decreased concentration may signal disagreements or cash-out intentions[40][42] Construction Process: The factor measures the rate of change in equity concentration, categorized under the "shareholder" type of ESG factors[40] Evaluation: The factor provides insights into shareholder behavior and its implications for governance and company prospects[40][42] - Factor Name: "Average Age of Executives" Construction Idea: This factor evaluates the stability and strategic maturity of the governance team, where younger teams may lean toward aggressive innovation, and older teams may favor steady operations[40][42] Construction Process: The factor calculates the average age of executives, categorized under the "governance structure" type of ESG factors[40] Evaluation: The factor reflects investor perceptions of decision-making reliability and governance stability[40][42] - Factor Name: "Total Amount of External Donations" Construction Idea: This factor highlights a company's commitment to social responsibility and brand image building, which can enhance trust and stakeholder relationships[41][42] Construction Process: The factor is based on the total monetary value of external donations, categorized under the "social capital" type of ESG factors[41] Evaluation: Companies with consistent and generous donations may reduce operational risks and gain potential policy support[41][42] ESG Composite Factor Construction - Construction Idea: The top 10/20/30 ESG factors with the highest RankIC averages are selected and combined using equal weighting or classification-based weighting methods[55] - Construction Process: 1. Equal Weighting: All selected factors are equally weighted to form the composite factor 2. Classification Weighting: Factors within the same secondary indicator category are first equally weighted, and then the resulting category-level factors are equally weighted to form the composite factor[55] - Evaluation: The composite factors exhibit robust stock selection effectiveness, with high ESG-scoring portfolios consistently outperforming low-scoring ones. The results are stable across different weighting methods[55][59] --- Backtesting Results of Factors Single Factor Backtesting Results - "Final Holding of Invention Patent Quality Total Score": - RankIC Mean: 5.60% - Annualized Excess Return (Long Portfolio): 6.23% - Annualized Excess Return (Short Portfolio): -7.91% - Turnover Rate (Long Portfolio): 16.80% - Turnover Rate (Short Portfolio): 19.55%[42] - "Wages, Bonuses, Allowances, and Subsidies": - RankIC Mean: 4.27% - Annualized Excess Return (Long Portfolio): 4.12% - Annualized Excess Return (Short Portfolio): -6.98% - Turnover Rate (Long Portfolio): 19.45% - Turnover Rate (Short Portfolio): 21.80%[42] - "Equity Concentration Change Rate": - RankIC Mean: 2.88% - Annualized Excess Return (Long Portfolio): 2.18% - Annualized Excess Return (Short Portfolio): -4.82% - Turnover Rate (Long Portfolio): 68.05% - Turnover Rate (Short Portfolio): 62.90%[42] - "Average Age of Executives": - RankIC Mean: 2.01% - Annualized Excess Return (Long Portfolio): 2.16% - Annualized Excess Return (Short Portfolio): -2.20% - Turnover Rate (Long Portfolio): 16.06% - Turnover Rate (Short Portfolio): 17.00%[42] - "Total Amount of External Donations": - RankIC Mean: 1.83% - Annualized Excess Return (Long Portfolio): 1.17% - Annualized Excess Return (Short Portfolio): -0.56% - Turnover Rate (Long Portfolio): 21.33% - Turnover Rate (Short Portfolio): 22.50%[42] Composite Factor Backtesting Results - Top 30 Equal Weight Composite Factor: - RankIC Mean: 5.23% - Annualized Excess Return (Long Portfolio): 4.97% - Annualized Excess Return (Short Portfolio): -7.38% - Turnover Rate (Long Portfolio): 21.72% - Turnover Rate (Short Portfolio): 26.31%[55] --- Index Enhancement Strategy Results CSI 300 Index Enhancement - Annualized Excess Return: 5.75% - Information Ratio (IR): 0.76 - Maximum Excess Drawdown: 14.78%[62][65] CSI 500 Index Enhancement - Annualized Excess Return: 9.11% - Information Ratio (IR): 1.68 - Maximum Excess Drawdown: 9.24%[67][70] CSI 1000 Index Enhancement - Annualized Excess Return: 8.43% - Information Ratio (IR): 1.50 - Maximum Excess Drawdown: 8.47%[73][75]