申万行业轮动框架介绍：因子分域下的行业轮动框架

Quantitative Models and Construction Methods Model Name: Momentum Acceleration - Construction Idea: The momentum acceleration factor is designed to measure the marginal change in price trends, reflecting short-term trading sentiment by excluding the impact of trading congestion[52] - Construction Process: - The factor is constructed by calculating the second derivative of the excess return curve to determine the rate of change in price trends - The formula used is not explicitly provided in the document, but it involves calculating the second derivative of the price trend to assess the acceleration or deceleration of price movements[52][53] - Evaluation: The momentum acceleration factor has shown to have a leading effect in industry selection, especially in long-term trends[53] Model Name: Composite Factor - Construction Idea: The composite factor integrates multiple dimensions to score industries, aiming to achieve sustained excess returns over the entire industry[63] - Construction Process: - The composite factor is constructed by combining various individual factors, including fundamental, technical, and sentiment indicators - The specific formula or method for combining these factors is not detailed in the document[63] - Evaluation: The composite factor has shown improved Rank_IC and sustained excess returns compared to the equal-weighted industry portfolio[63] Model Backtesting Results - Momentum Acceleration: - Rank_IC: 3.80% - IC_IR: 12.58% - IC>0 Ratio: 55.65% - Quintile 1 Annualized Return: -3.11% - Quintile 5 Annualized Return: 2.44%[56] - Composite Factor: - Rank_IC: 9.89% - IC_IR: 40.07% - IC>0 Ratio: 67.26% - Quintile 1 Annualized Return: -4.97% - Quintile 5 Annualized Return: 7.21%[61] Quantitative Factors and Construction Methods Factor Name: Analyst Consensus Change Rate - Construction Idea: The change rate of analyst consensus is used to reflect analysts' views more accurately[7] - Construction Process: - The factor is constructed using the change in consensus net profit forecasts over the past three months (FY1 and FY2) - The specific formula is not provided, but it involves calculating the percentage change in consensus forecasts[8] - Evaluation: The change rate of consensus net profit forecasts (FY2) has shown better predictive ability for excess returns compared to FY1[11] Factor Name: Cash Flow to Net Profit Ratio - Construction Idea: The cash flow to net profit ratio is used to reflect the quality of industry operations[22] - Construction Process: - The factor is constructed by calculating the ratio of operating cash flow to net profit - The specific formula is not provided, but it involves dividing operating cash flow by net profit[22] - Evaluation: The cash flow to net profit ratio has shown better performance in screening for high-quality industries, especially in identifying short positions[28] Factor Backtesting Results - Analyst Consensus Change Rate (FY2): - Rank_IC: 6.17% - IC_IR: 25.22% - IC>0 Ratio: 63.03% - Quintile 1 Annualized Return: -4.44% - Quintile 5 Annualized Return: 2.77%[6] - Cash Flow to Net Profit Ratio: - Rank_IC: 4.90% - IC_IR: 25.01% - IC>0 Ratio: 58.78% - Quintile 1 Annualized Return: -2.17% - Quintile 5 Annualized Return: 3.88%[20]