量化组合跟踪周报 20251122：因子表现分化，市场大市值风格显著-20251122

Quantitative Models and Construction Methods 1. Model Name: PB-ROE-50 - Model Construction Idea: This model aims to combine the Price-to-Book (PB) ratio and Return on Equity (ROE) to create a portfolio of 50 stocks[23] - Model Construction Process: The model selects stocks based on their PB and ROE values, aiming to balance valuation and profitability. The portfolio is rebalanced periodically to maintain the desired characteristics[23] - Model Evaluation: The model's performance is tracked across different stock pools, showing its effectiveness in various market conditions[23] - Model Test Results: - CSI 500: Weekly excess return -1.30%, YTD excess return 1.58%, weekly absolute return -7.01%, YTD absolute return 20.95%[24] - CSI 800: Weekly excess return -2.09%, YTD excess return 13.40%, weekly absolute return -6.31%, YTD absolute return 30.05%[24] - All Market: Weekly excess return -1.46%, YTD excess return 16.48%, weekly absolute return -6.44%, YTD absolute return 36.70%[24] 2. Model Name: Institutional Research Portfolio - Model Construction Idea: This model tracks the stock selection strategies of public and private institutional research[25] - Model Construction Process: The model is constructed based on the stock picks of institutional investors, adjusting the portfolio based on their research and investment decisions[25] - Model Evaluation: The model's performance is evaluated by comparing its returns to the CSI 800 index[25] - Model Test Results: - Public Research Stock Selection: Weekly excess return -1.91%, YTD excess return 12.42%, weekly absolute return -6.14%, YTD absolute return 28.92%[26] - Private Research Tracking: Weekly excess return -3.65%, YTD excess return 12.06%, weekly absolute return -7.80%, YTD absolute return 28.51%[26] 3. Model Name: Block Trade Portfolio - Model Construction Idea: This model leverages the information from block trades, focusing on stocks with high transaction amounts and low volatility[29] - Model Construction Process: The portfolio is constructed based on the "high transaction, low volatility" principle, with monthly rebalancing[29] - Model Evaluation: The model's performance is tracked relative to the CSI All Share Index[29] - Model Test Results: - Weekly excess return: -2.84%[30] - YTD excess return: 35.29%[30] - Weekly absolute return: -7.75%[30] - YTD absolute return: 58.77%[30] 4. Model Name: Private Placement Portfolio - Model Construction Idea: This model analyzes the event effects of private placements to identify investment opportunities[35] - Model Construction Process: The portfolio is constructed around the announcement dates of private placements, considering factors like market capitalization and rebalancing cycles[35] - Model Evaluation: The model's performance is evaluated relative to the CSI All Share Index[35] - Model Test Results: - Weekly excess return: -1.42%[36] - YTD excess return: -3.89%[36] - Weekly absolute return: -6.40%[36] - YTD absolute return: 12.80%[36] Quantitative Factors and Construction Methods 1. Factor Name: Intraday Volatility and Trading Volume Correlation - Factor Construction Idea: This factor measures the correlation between intraday volatility and trading volume[12] - Factor Construction Process: The factor is calculated by correlating the intraday price volatility with the trading volume over a specified period[12] - Factor Evaluation: The factor shows positive returns in the CSI 300 stock pool[12] - Factor Test Results: - Weekly return: 1.23%[13] - Monthly return: 3.14%[13] - Annual return: -2.31%[13] - 10-year return: 22.87%[13] 2. Factor Name: ROE Stability - Factor Construction Idea: This factor measures the stability of a company's Return on Equity over time[12] - Factor Construction Process: The factor is calculated by assessing the variance in ROE over a specified period[12] - Factor Evaluation: The factor shows positive returns in the CSI 300 stock pool[12] - Factor Test Results: - Weekly return: 1.14%[13] - Monthly return: 1.82%[13] - Annual return: 0.95%[13] - 10-year return: 3.68%[13] 3. Factor Name: Downside Volatility Proportion - Factor Construction Idea: This factor measures the proportion of downside volatility in the total volatility of a stock[12] - Factor Construction Process: The factor is calculated by dividing the downside volatility by the total volatility over a specified period[12] - Factor Evaluation: The factor shows positive returns in the CSI 300 stock pool[12] - Factor Test Results: - Weekly return: 1.13%[13] - Monthly return: 2.09%[13] - Annual return: -6.82%[13] - 10-year return: 30.09%[13] 4. Factor Name: Single Quarter Total Asset Gross Profit Margin - Factor Construction Idea: This factor measures the gross profit margin of a company's total assets for a single quarter[14] - Factor Construction Process: The factor is calculated by dividing the gross profit by the total assets for a single quarter[14] - Factor Evaluation: The factor shows positive returns in the CSI 500 stock pool[14] - Factor Test Results: - Weekly return: 1.82%[15] - Monthly return: -0.84%[15] - Annual return: 6.56%[15] - 10-year return: 82.05%[15] 5. Factor Name: Net Profit Margin TTM - Factor Construction Idea: This factor measures the trailing twelve months (TTM) net profit margin of a company[16] - Factor Construction Process: The factor is calculated by dividing the net profit by the total revenue for the trailing twelve months[16] - Factor Evaluation: The factor shows positive returns in the Liquidity 1500 stock pool[16] - Factor Test Results: - Weekly return: 1.82%[17] - Monthly return: -0.58%[17] - Annual return: 1.94%[17] - 10-year return: -17.46%[17] Factor Backtest Results CSI 300 Stock Pool - Intraday Volatility and Trading Volume Correlation: Weekly return 1.23%, monthly return 3.14%, annual return -2.31%, 10-year return 22.87%[13] - ROE Stability: Weekly return 1.14%, monthly return 1.82%, annual return 0.95%, 10-year return 3.68%[13] - Downside Volatility Proportion: Weekly return 1.13%, monthly return 2.09%, annual return -6.82%, 10-year return 30.09%[13] CSI 500 Stock Pool - Single Quarter Total Asset Gross Profit Margin: Weekly return 1.82%, monthly return -0.84%, annual return 6.56%, 10-year return 82.05%[15] Liquidity 1500 Stock Pool - Net Profit Margin TTM: Weekly return 1.82%, monthly return -0.58%, annual return 1.94%, 10-year return -17.46%[17]