Guoxin Securities·2025-10-09 08:29Quantitative Models and Construction Methods 1. Model Name: Securities Firms' Golden Stock Performance Enhancement Portfolio - Model Construction Idea: The model aims to optimize the selection of stocks from the securities firms' golden stock pool to outperform the benchmark, which is the median of equity-biased hybrid fund indices. The model leverages a multi-factor approach to select stocks with high alpha potential while controlling for deviations in individual stocks and style factors from the golden stock pool [39][43]. - Model Construction Process: - The securities firms' golden stock pool is used as the stock selection universe and constraint benchmark. - A multi-factor model is applied to further optimize the selection of stocks from the pool. - The portfolio is constructed by controlling the deviation of individual stocks and style factors from the golden stock pool. - The industry allocation is based on the distribution of all public funds [43]. - Model Evaluation: The model demonstrates strong alpha generation potential and consistently outperforms the equity-biased hybrid fund index. It reflects the research strength of securities firms and their ability to capture market trends effectively [43]. --- Model Backtesting Results 1. Securities Firms' Golden Stock Performance Enhancement Portfolio - Absolute Return (Monthly): -0.55% (2025/09/01 - 2025/09/30) [42] - Excess Return (Monthly): -3.50% relative to equity-biased hybrid fund index (2025/09/01 - 2025/09/30) [42] - Absolute Return (Year-to-Date): 33.26% (2025/01/02 - 2025/09/30) [42] - Excess Return (Year-to-Date): 1.19% relative to equity-biased hybrid fund index (2025/01/02 - 2025/09/30) [42] - Ranking in Active Equity Funds (Year-to-Date): 43.07% percentile (1494/3469) [42] - Historical Performance (2018-2025): - Annualized Return: 19.34% - Annualized Excess Return: 14.38% relative to equity-biased hybrid fund index - Consistently ranked in the top 30% of active equity funds each year [44][47] --- Quantitative Factors and Construction Methods 1. Factor Name: Intraday Return - Factor Construction Idea: Measures the return generated within a single trading day to capture short-term price movements [27][28]. - Factor Evaluation: Demonstrated strong performance in the most recent month [27][28]. 2. Factor Name: BP (Book-to-Price Ratio) - Factor Construction Idea: Reflects the valuation of a stock by comparing its book value to its market price [27][28]. - Factor Evaluation: Performed well in the most recent month but underperformed year-to-date [27][28]. 3. Factor Name: Volatility - Factor Construction Idea: Measures the degree of variation in a stock's price over a specific period, capturing risk and uncertainty [27][28]. - Factor Evaluation: Showed strong performance in the most recent month but underperformed year-to-date [27][28]. 4. Factor Name: Total Market Capitalization - Factor Construction Idea: Represents the total market value of a company's outstanding shares, often used to gauge company size [27][28]. - Factor Evaluation: Underperformed in the most recent month but performed well year-to-date [27][28]. 5. Factor Name: SUE (Standardized Unexpected Earnings) - Factor Construction Idea: Measures the deviation of actual earnings from expected earnings, standardized by the standard deviation of past earnings surprises [27][28]. - Factor Evaluation: Underperformed in the most recent month [27][28]. 6. Factor Name: Single-Quarter Earnings Surprise - Factor Construction Idea: Captures the magnitude of earnings surprises in a single quarter [27][28]. - Factor Evaluation: Underperformed in the most recent month but performed well year-to-date [27][28]. 7. Factor Name: Single-Quarter Revenue Growth - Factor Construction Idea: Measures the growth in revenue over a single quarter, reflecting a company's sales performance [27][28]. - Factor Evaluation: Performed well year-to-date [27][28]. 8. Factor Name: Analyst Net Upward Revision - Factor Construction Idea: Tracks the net number of upward revisions in analysts' earnings estimates for a stock [27][28]. - Factor Evaluation: Performed well year-to-date [27][28]. 9. Factor Name: Expected Dividend Yield - Factor Construction Idea: Represents the expected annual dividend payments as a percentage of the stock price [27][28]. - Factor Evaluation: Underperformed year-to-date [27][28]. --- Factors' Backtesting Results 1. Intraday Return Factor - Recent Month Performance: Strong [27][28] - Year-to-Date Performance: Not specified [27][28] 2. BP Factor - Recent Month Performance: Strong [27][28] - Year-to-Date Performance: Weak [27][28] 3. Volatility Factor - Recent Month Performance: Strong [27][28] - Year-to-Date Performance: Weak [27][28] 4. Total Market Capitalization Factor - Recent Month Performance: Weak [27][28] - Year-to-Date Performance: Strong [27][28] 5. SUE Factor - Recent Month Performance: Weak [27][28] - Year-to-Date Performance: Not specified [27][28] 6. Single-Quarter Earnings Surprise Factor - Recent Month Performance: Weak [27][28] - Year-to-Date Performance: Strong [27][28] 7. Single-Quarter Revenue Growth Factor - Recent Month Performance: Not specified [27][28] - Year-to-Date Performance: Strong [27][28] 8. Analyst Net Upward Revision Factor - Recent Month Performance: Not specified [27][28] - Year-to-Date Performance: Strong [27][28] 9. Expected Dividend Yield Factor - Recent Month Performance: Not specified [27][28] - Year-to-Date Performance: Weak [27][28]