量化组合跟踪周报 20251115：市场小市值风格占优、反转效应显著-20251115

Quantitative Models and Construction Methods 1. Model Name: PB-ROE-50 Combination - Model Construction Idea: The PB-ROE-50 combination is constructed based on the principle of selecting stocks with low price-to-book (PB) ratios and high return on equity (ROE), aiming to capture value and profitability factors[25] - Model Construction Process: - Stocks are selected based on their PB and ROE metrics - The portfolio is rebalanced periodically to maintain the desired exposure to these factors - The construction details are referenced in earlier reports[25][26] - Model Evaluation: The model experienced a drawdown in excess returns across all stock pools during the week, indicating potential short-term underperformance[25] --- Model Backtesting Results 1. PB-ROE-50 Combination - Excess Return: - CSI 500: -0.23% this week, 2.92% year-to-date - CSI 800: -0.98% this week, 15.82% year-to-date - Full Market: -1.39% this week, 18.21% year-to-date[26] - Absolute Return: - CSI 500: -1.49% this week, 30.06% year-to-date - CSI 800: -2.10% this week, 38.80% year-to-date - Full Market: -1.91% this week, 46.11% year-to-date[26] --- Quantitative Factors and Construction Methods 1. Factor Name: Residual Volatility Factor - Factor Construction Idea: Captures the residual volatility of stocks after controlling for market and sector effects, aiming to identify stocks with stable performance[20] - Factor Construction Process: - Calculate the residual volatility of stock returns after regressing against market and sector returns - Rank stocks based on their residual volatility and construct a portfolio with the desired exposure[20] - Factor Evaluation: The factor delivered positive returns this week, indicating its effectiveness in capturing stable stocks during the period[20] 2. Factor Name: Leverage Factor - Factor Construction Idea: Measures the financial leverage of companies, aiming to capture the risk-return tradeoff associated with leverage[20] - Factor Construction Process: - Calculate the leverage ratio of companies (e.g., debt-to-equity ratio) - Rank stocks based on their leverage and construct a portfolio with the desired exposure[20] - Factor Evaluation: The factor delivered positive returns this week, suggesting its relevance in the current market environment[20] 3. Factor Name: Beta Factor - Factor Construction Idea: Measures the sensitivity of a stock's returns to market returns, aiming to capture systematic risk[20] - Factor Construction Process: - Calculate the beta of stocks using historical return data - Rank stocks based on their beta and construct a portfolio with the desired exposure[20] - Factor Evaluation: The factor delivered negative returns this week, indicating underperformance in the current market environment[20] 4. Factor Name: Size Factor - Factor Construction Idea: Captures the size effect by focusing on small-cap stocks, which tend to outperform large-cap stocks over time[20] - Factor Construction Process: - Rank stocks based on their market capitalization - Construct a portfolio with a tilt towards smaller-cap stocks[20] - Factor Evaluation: The factor delivered negative returns this week, despite the general preference for small-cap stocks in the market[20] 5. Factor Name: Momentum Factor - Factor Construction Idea: Captures the momentum effect by focusing on stocks with strong recent performance[20] - Factor Construction Process: - Calculate the past returns of stocks over a specific period (e.g., 6 months or 12 months) - Rank stocks based on their momentum and construct a portfolio with the desired exposure[20] - Factor Evaluation: The factor delivered negative returns this week, indicating a reversal effect in the market[20] --- Factor Backtesting Results 1. Residual Volatility Factor - Weekly Return: 0.50%[20] 2. Leverage Factor - Weekly Return: 0.36%[20] 3. Beta Factor - Weekly Return: -1.10%[20] 4. Size Factor - Weekly Return: -0.92%[20] 5. Momentum Factor - Weekly Return: -0.70%[20]