金工定期报告20251204：估值异常因子绩效月报20251128-20251204

• The EPD factor, constructed based on the mean reversion characteristic of the PE valuation metric, achieved an annualized return of 17.22%, annualized volatility of 9.92%, IR of 1.73, monthly win rate of 70.00%, and maximum monthly drawdown of 8.93% from February 2010 to November 2025[2][8][13] - The EPDS factor, which excludes the probability of individual stock valuation logic changes using the information ratio, achieved an annualized return of 15.83%, annualized volatility of 5.77%, IR of 2.74, monthly win rate of 77.89%, and maximum monthly drawdown of 3.10% from February 2010 to November 2025[2][8][13] - The EPA factor, which further excludes the influence of Beta, growth, and value styles, achieved an annualized return of 16.93%, annualized volatility of 5.20%, IR of 3.26, monthly win rate of 80.00%, and maximum monthly drawdown of 3.12% from February 2010 to November 2025[2][8][13] - In November, the EPA factor's 5-group long portfolio had a return of -2.21%, the short portfolio had a return of -0.48%, and the long-short hedged portfolio had a return of -1.73%[2][15] - The EPA factor's monthly RankIC mean was 0.061, RankICIR was 4.75, annualized return was 18.29%, IR was 3.76, win rate was 86.99%, and maximum drawdown was 1.53% during the backtest period from January 2010 to May 2022[7]