中邮因子周报：成长风格显著，小盘风格占优-20251027

• Barra style factors: The report tracks several style factors including Beta, Market Cap, Momentum, Volatility, Non-linear Market Cap, Valuation, Liquidity, Profitability, Growth, and Leverage. These factors are constructed using historical data and financial metrics such as turnover rates, earnings growth rates, and market leverage ratios. For example, the Beta factor represents historical beta, while the Valuation factor is calculated as the inverse of the price-to-book ratio. The formulas for constructing these factors include weighted combinations of metrics like turnover rates and earnings ratios [14][15][16] - Factor performance tracking: The report evaluates the recent performance of style factors across the market. Beta, Liquidity, and Momentum factors showed strong long positions, while Market Cap, Non-linear Market Cap, and Valuation factors performed better in short positions. The tracking methodology involves selecting stocks from the Wind All A pool, excluding ST stocks, suspended stocks, and newly listed stocks under 120 days. Long positions are taken in the top 10% of stocks with the highest factor values, and short positions in the bottom 10%, with equal weight allocation [16][19][20] - Factor backtesting results: The report provides detailed backtesting results for style factors. For example, Beta achieved a weekly return of 4.58%, while Market Cap showed a negative weekly return of -3.55%. Other factors like Momentum and Liquidity also demonstrated varied performance across different time horizons, such as one week, one month, and year-to-date. The report highlights the annualized returns for three-year and five-year periods for each factor [17][18][19] - GRU factor performance: GRU factors showed weaker performance overall, with only the barra1d model achieving positive returns. Other GRU models experienced drawdowns in their long-short portfolios. This indicates potential challenges in the effectiveness of GRU factors under current market conditions [20][25][29] - Technical factors: Technical factors such as 20-day Momentum, 60-day Momentum, and various volatility measures (e.g., 120-day Volatility) were tracked. These factors generally showed positive returns in long positions, particularly in high-volatility and high-momentum stocks. For example, 120-day Volatility achieved a weekly return of 5.92% in the CSI 300 stock pool [24][27][31] - Fundamental factors: Fundamental factors like ROA growth, ROC growth, and Net Profit growth were analyzed. In the CSI 300 stock pool, Net Profit growth achieved a weekly return of 2.51%, while ROA growth showed a return of 1.19%. These factors generally favored stocks with stable and strong growth metrics [23][25][30] - Multi-factor portfolio performance: The report evaluates the performance of multi-factor portfolios. The barra5d model outperformed the CSI 1000 index by 0.27% this week and achieved a year-to-date excess return of 5.91%. Other models showed mixed results, with some experiencing slight drawdowns. The multi-factor portfolio achieved a weekly excess return of 0.04% relative to the CSI 1000 index [8][33][34]