中邮因子周报：小盘风格占优，成长承压-20251117

Quantitative Models and Construction GRU Model - Model Name: GRU (Generalized Rotation Unit) Model - Model Construction Idea: The GRU model is designed to capture industry rotation trends and optimize stock selection by leveraging short-term and long-term market dynamics[3][4][5] - Model Construction Process: - The GRU model is applied across different stock pools (e.g., CSI 300, CSI 500, CSI 1000) to evaluate multi-factor performance - It incorporates multiple sub-models such as barra1d, barra5d, open1d, and close1d to assess short-term and long-term factor returns - The model evaluates the long-short performance of stocks by ranking them based on factor scores and constructing portfolios with the top 10% (long) and bottom 10% (short) stocks[3][4][5] - Model Evaluation: The GRU model demonstrates strong performance in capturing positive long-short returns, particularly in the barra5d and close1d sub-models, which show consistent strength across different stock pools[4][5][6] --- Quantitative Factors and Construction Style Factors (Barra Factors) - Factor Names: Beta, Size, Momentum, Volatility, Non-linear Size, Valuation, Liquidity, Profitability, Growth, Leverage[14][15] - Factor Construction Ideas: - These factors are designed to capture specific market characteristics such as risk, size, valuation, and growth potential - They are derived from historical price data, financial metrics, and analyst forecasts - Factor Construction Process: - Beta: Historical beta - Size: Natural logarithm of total market capitalization - Momentum: Mean of historical excess return series - Volatility: Weighted combination of historical excess return volatility, cumulative excess return deviation, and residual return volatility - Non-linear Size: Cubic transformation of size - Valuation: Inverse of price-to-book ratio - Liquidity: Weighted combination of monthly, quarterly, and annual turnover rates - Profitability: Weighted combination of analyst forecasted earnings-to-price ratio, inverse of price-to-cash flow ratio, inverse of trailing twelve-month price-to-earnings ratio, and forecasted growth rates - Growth: Weighted combination of earnings growth rate and revenue growth rate - Leverage: Weighted combination of market leverage, book leverage, and debt-to-asset ratio[15] - Factor Evaluation: Valuation, leverage, and volatility factors showed strong long performance, while beta, momentum, and liquidity factors performed well on the short side during the week[16] Fundamental Factors - Factor Names: Static Financial Indicators, Growth Indicators, Surprise Growth Indicators - Factor Construction Ideas: These factors are derived from financial statements and are designed to capture company fundamentals such as profitability, growth, and operational efficiency - Factor Construction Process: - Financial indicators are calculated using trailing twelve-month (TTM) data - Growth indicators include metrics like revenue growth and earnings growth - Surprise growth indicators measure deviations from analyst expectations[19][20][22] - Factor Evaluation: Static financial indicators showed significant negative returns, while growth and surprise growth indicators had mixed performance. Low-growth stocks outperformed across all stock pools[20][22][27] Technical Factors - Factor Names: Short-term Momentum, Short-term Volatility, Medium-term Momentum, Medium-term Volatility, Median Absolute Deviation - Factor Construction Ideas: These factors are derived from historical price data and are designed to capture price trends and volatility - Factor Construction Process: - Momentum factors are calculated as the average excess return over specific time windows (e.g., 20-day, 60-day, 120-day) - Volatility factors are calculated as the standard deviation of returns over specific time windows - Median absolute deviation measures the dispersion of returns around the median[20][24][26] - Factor Evaluation: Short-term momentum and volatility factors showed positive returns, while medium-term factors generally underperformed. Low-volatility and low-momentum stocks were favored[20][24][26] --- Model Backtesting Results GRU Model - Open1d: Weekly excess return of 1.10%, monthly return of 1.55%, and YTD return of 7.19%[34] - Close1d: Weekly excess return of 1.84%, monthly return of 3.56%, and YTD return of 6.24%[34] - Barra1d: Weekly excess return of 0.45%, monthly return of -0.26%, and YTD return of 5.19%[34] - Barra5d: Weekly excess return of 1.77%, monthly return of 4.51%, and YTD return of 9.23%[34] - Multi-factor Portfolio: Weekly excess return of 0.75%, monthly return of 1.16%, and YTD return of 1.65%[34] Style Factors - Beta: Weekly return of -5.67%, monthly return of -10.16%, and YTD return of 21.16%[17] - Momentum: Weekly return of 4.04%, monthly return of -9.28%, and YTD return of 18.32%[17] - Liquidity: Weekly return of -2.91%, monthly return of 6.35%, and YTD return of 11.43%[17] - Size: Weekly return of 2.67%, monthly return of 18.45%, and YTD return of 41.09%[17] - Non-linear Size: Weekly return of 1.80%, monthly return of -7.67%, and YTD return of 35.55%[17] - Growth: Weekly return of 1.59%, monthly return of -2.69%, and YTD return of 2.47%[17] - Profitability: Weekly return of 1.13%, monthly return of 0.03%, and YTD return of 15.36%[17] - Volatility: Weekly return of 1.35%, monthly return of -1.31%, and YTD return of 4.82%[17] - Leverage: Weekly return of 1.36%, monthly return of 3.48%, and YTD return of 15.46%[17] - Valuation: Weekly return of 1.45%, monthly return of 4.88%, and YTD return of 2.98%[17] Fundamental Factors - Net Profit Surprise Growth: Weekly return of 3.62%, monthly return of -2.63%, and YTD return of 37.43%[23] - Operating Profit Margin Surprise Growth: Weekly return of 1.77%, monthly return of 1.65%, and YTD return of 2.46%[23] - ROA Surprise Growth: Weekly return of 0.73%, monthly return of 0.19%, and YTD return of 11.22%[23] - ROA Growth: Weekly return of -0.70%, monthly return of 0.10%, and YTD return of 25.43%[23] Technical Factors - 20-day Momentum: Weekly return of 1.88%, monthly return of 5.00%, and YTD return of -5.82%[21][24] - 60-day Momentum: Weekly return of -10.66%, monthly return of -0.05%, and YTD return of -5.73%[21][24] - 120-day Momentum: Weekly return of 0.13%, monthly return of 0.13%, and YTD return of -3.53%[21][24] - 20-day Volatility: Weekly return of 0.08%, monthly return of -0.79%, and YTD return of 11.01%[21][24] - 60-day Volatility: Weekly return of -0.67%, monthly return of -3.35%, and YTD return of 7.37%[21][24] - 120-day Volatility: Weekly return of 0.50%, monthly return of -4.08%, and YTD return of 11.22%[21][24]