量化组合跟踪周报 20251220：市场小市值风格显著，估值因子表现良好-20251220

Quantitative Models and Construction Methods 1. Model Name: PB-ROE-50 - Model Construction Idea: This model aims to track the performance of a portfolio based on Price-to-Book (PB) and Return on Equity (ROE) ratios[23] - Model Construction Process: The PB-ROE-50 portfolio is constructed by selecting stocks with favorable PB and ROE ratios. The portfolio is then tracked across different stock pools such as the CSI 500, CSI 800, and the entire market[23] - Model Evaluation: The model's performance is evaluated based on its excess returns relative to benchmark indices[23] 2. Model Name: Institutional Research Portfolio - Model Construction Idea: This model tracks the performance of stocks selected based on public and private institutional research[25] - Model Construction Process: The portfolio is constructed by selecting stocks that have been the subject of institutional research. The performance is then tracked relative to the CSI 800 index[25] - Model Evaluation: The model's performance is evaluated based on its excess returns relative to the CSI 800 index[25] 3. Model Name: Block Trade Portfolio - Model Construction Idea: This model aims to capture the information embedded in block trades by focusing on stocks with high block trade volumes and low volatility[29] - Model Construction Process: The portfolio is constructed by selecting stocks with high block trade volumes and low 6-day trading volume volatility. The portfolio is rebalanced monthly[29] - Model Evaluation: The model's performance is evaluated based on its excess returns relative to the CSI All Share Index[29] 4. Model Name: Private Placement Portfolio - Model Construction Idea: This model aims to capture the event-driven effects of private placements[35] - Model Construction Process: The portfolio is constructed by selecting stocks involved in private placements, considering factors such as market capitalization, rebalancing frequency, and position control. The event date is the shareholders' meeting announcement date[35] - Model Evaluation: The model's performance is evaluated based on its excess returns relative to the CSI All Share Index[35] Model Backtesting Results PB-ROE-50 Model - CSI 500: Weekly excess return: -0.02%, Year-to-date excess return: 3.12%, Weekly absolute return: -0.03%, Year-to-date absolute return: 29.13%[24] - CSI 800: Weekly excess return: -0.19%, Year-to-date excess return: 17.02%, Weekly absolute return: -0.39%, Year-to-date absolute return: 38.56%[24] - Entire Market: Weekly excess return: -0.75%, Year-to-date excess return: 19.20%, Weekly absolute return: -0.92%, Year-to-date absolute return: 44.96%[24] Institutional Research Portfolio - Public Research: Weekly excess return: -0.43%, Year-to-date excess return: 18.56%, Weekly absolute return: -0.64%, Year-to-date absolute return: 40.39%[26] - Private Research: Weekly excess return: -1.92%, Year-to-date excess return: 17.05%, Weekly absolute return: -2.12%, Year-to-date absolute return: 38.60%[26] Block Trade Portfolio - Weekly excess return: -0.68%, Year-to-date excess return: 36.76%, Weekly absolute return: -0.86%, Year-to-date absolute return: 66.32%[30] Private Placement Portfolio - Weekly excess return: 1.46%, Year-to-date excess return: -6.90%, Weekly absolute return: 1.28%, Year-to-date absolute return: 13.22%[36] Quantitative Factors and Construction Methods 1. Factor Name: Single Quarter ROE YoY - Factor Construction Idea: Measures the year-over-year change in Return on Equity for a single quarter[12] - Factor Construction Process: Calculate the ROE for the current quarter and compare it to the same quarter in the previous year[12] - Factor Evaluation: This factor showed a positive return of 2.31% in the CSI 300 stock pool for the week[12] 2. Factor Name: Price-to-Earnings Ratio (PE) - Factor Construction Idea: Measures the ratio of a company's current share price to its earnings per share[12] - Factor Construction Process: Calculate the PE ratio by dividing the current share price by the earnings per share[12] - Factor Evaluation: This factor showed a positive return of 1.51% in the CSI 300 stock pool for the week[12] 3. Factor Name: Price-to-Book Ratio (PB) - Factor Construction Idea: Measures the ratio of a company's market value to its book value[14] - Factor Construction Process: Calculate the PB ratio by dividing the market value by the book value[14] - Factor Evaluation: This factor showed a positive return of 1.78% in the CSI 500 stock pool for the week[14] Factor Backtesting Results CSI 300 Stock Pool - Single Quarter ROE YoY: 2.31%[12] - PE Ratio: 1.51%[12] CSI 500 Stock Pool - PB Ratio: 1.78%[14] Liquidity 1500 Stock Pool - PE Ratio: 1.44%[16] - PB Ratio: 1.17%[16]