微盘股指数周报：微盘股继续领涨市场，扩散指数已达较高区间-20251118

Quantitative Models and Construction Methods 1. Model Name: Diffusion Index Model - Model Construction Idea: The diffusion index is used to monitor the market's risk threshold and predict potential market movements based on historical and current data[5][17][40] - Model Construction Process: - The diffusion index is calculated based on the relative performance of micro-cap stocks over a specific time window. - The model uses three trading strategies: 1. Left-Side Threshold Method: Triggered an opening signal on September 23, 2025, when the index reached 0.0575[42] 2. Right-Side Threshold Method: Triggered an opening signal on September 25, 2025, when the index reached 0.1825[47] 3. Dual Moving Average Method: Gave a bullish signal on October 13, 2025[48] - The diffusion index's current value is 0.93, indicating a high level, with potential for high volatility in the coming week[39][40] - Model Evaluation: The model effectively identifies market risk thresholds and provides actionable trading signals based on historical data[5][17][40] 2. Model Name: Small-Cap Low-Volatility 50 Strategy - Model Construction Idea: Selects 50 stocks with small market capitalization and low volatility from micro-cap stock components to optimize returns[7][35] - Model Construction Process: - Stocks are selected based on their market capitalization and volatility metrics. - The portfolio is rebalanced bi-weekly. - The benchmark is the Wind Micro-Cap Stock Index (8841431.WI), with a transaction fee of 0.3% on both sides[7][35] - Model Evaluation: The strategy demonstrates strong performance in 2025, with a year-to-date (YTD) return of 81.53%, though it underperformed the benchmark by 1.01% this week[7][35] --- Model Backtesting Results 1. Diffusion Index Model - Risk Threshold: Triggered at 0.9, indicating a high-risk zone[5][17][40] - Left-Side Threshold Method: Opening signal at 0.0575 on September 23, 2025[42] - Right-Side Threshold Method: Opening signal at 0.1825 on September 25, 2025[47] - Dual Moving Average Method: Bullish signal on October 13, 2025[48] 2. Small-Cap Low-Volatility 50 Strategy - 2024 Return: 7.07%, underperforming the benchmark by 2.93%[7][35] - 2025 YTD Return: 81.53%, underperforming the benchmark by 1.01% this week[7][35] --- Quantitative Factors and Construction Methods 1. Factor Name: Leverage Factor - Construction Idea: Measures the financial leverage of a company to assess its risk and return potential[4][16][33] - Construction Process: Calculated as the ratio of total debt to equity. - Factor Evaluation: Ranked first in weekly rank IC with a value of 0.182, significantly outperforming its historical average of -0.005[4][16][33] 2. Factor Name: Free Float Ratio Factor - Construction Idea: Evaluates the proportion of freely tradable shares to total shares to gauge liquidity[4][16][33] - Construction Process: Calculated as the ratio of free float shares to total shares outstanding. - Factor Evaluation: Ranked second in weekly rank IC with a value of 0.138, outperforming its historical average of -0.012[4][16][33] 3. Factor Name: Turnover Factor - Construction Idea: Assesses trading activity by measuring the turnover of shares[4][16][33] - Construction Process: Calculated as the ratio of trading volume to total shares outstanding over a specific period. - Factor Evaluation: Ranked third in weekly rank IC with a value of 0.116, outperforming its historical average of -0.081[4][16][33] 4. Factor Name: Liquidity Factor - Construction Idea: Measures the ease of trading a stock without significantly impacting its price[4][16][33] - Construction Process: Calculated using bid-ask spreads and trading volume data. - Factor Evaluation: Ranked fourth in weekly rank IC with a value of 0.075, outperforming its historical average of -0.041[4][16][33] 5. Factor Name: Dividend Yield Factor - Construction Idea: Evaluates the dividend income relative to the stock price to assess income potential[4][16][33] - Construction Process: Calculated as the annual dividend per share divided by the stock price. - Factor Evaluation: Ranked fifth in weekly rank IC with a value of 0.064, outperforming its historical average of 0.022[4][16][33] --- Factor Backtesting Results Weekly Rank IC Values 1. Leverage Factor: 0.182 (historical average: -0.005)[4][16][33] 2. Free Float Ratio Factor: 0.138 (historical average: -0.012)[4][16][33] 3. Turnover Factor: 0.116 (historical average: -0.081)[4][16][33] 4. Liquidity Factor: 0.075 (historical average: -0.041)[4][16][33] 5. Dividend Yield Factor: 0.064 (historical average: 0.022)[4][16][33]