多因子选股周报：估值因子表现出色，沪深 300 增强组合年内超额收益20.75%-20251221

Quantitative Models and Construction Methods Model Name: Maximized Factor Exposure Portfolio (MFE) - Model Construction Idea: The MFE portfolio is designed to maximize the exposure of a single factor while controlling for various constraints such as industry exposure, style exposure, stock weight deviation, and turnover rate. This approach ensures that the factor's predictive power is tested under realistic portfolio constraints, making it more applicable in practical investment scenarios [40][41]. - Model Construction Process: - The optimization model is formulated as follows: $\begin{array}{ll} \text{max} & f^{T}w \\ \text{s.t.} & s_{l} \leq X(w-w_{b}) \leq s_{h} \\ & h_{l} \leq H(w-w_{b}) \leq h_{h} \\ & w_{l} \leq w-w_{b} \leq w_{h} \\ & b_{l} \leq B_{b}w \leq b_{h} \\ & \mathbf{0} \leq w \leq l \\ & \mathbf{1}^{T}w = 1 \end{array}$ - Objective Function: Maximize single-factor exposure, where $f$ represents factor values, and $f^{T}w$ is the weighted exposure of the portfolio to the factor. $w$ is the weight vector of stocks in the portfolio [40][41]. - Constraints: 1. Style Exposure: $X$ is the factor exposure matrix for stocks, $w_b$ is the weight vector of the benchmark index, and $s_l, s_h$ are the lower and upper bounds for style factor deviations [41]. 2. Industry Exposure: $H$ is the industry exposure matrix, where $H_{ij} = 1$ if stock $i$ belongs to industry $j$. $h_l, h_h$ are the lower and upper bounds for industry deviations [41]. 3. Stock Weight Deviation: $w_l, w_h$ are the lower and upper bounds for individual stock weight deviations relative to the benchmark [41]. 4. Component Stock Weight: $B_b$ is a 0-1 vector indicating whether a stock is a component of the benchmark. $b_l, b_h$ are the lower and upper bounds for component stock weights [41]. 5. No Short Selling: Ensures non-negative weights and limits individual stock weights to a maximum $l$ [41]. 6. Full Investment: Ensures the portfolio is fully invested, with the sum of weights equal to 1 [42]. - The MFE portfolio is constructed monthly, and historical returns are calculated after accounting for transaction costs (0.3% on both sides) [44]. - Model Evaluation: The MFE portfolio approach is effective in testing factor performance under realistic constraints, making it a robust method for practical applications [40][41]. --- Quantitative Factors and Construction Methods Factor Name: BP (Book-to-Price Ratio) - Factor Construction Idea: Measures the valuation of a stock by comparing its book value to its market price [16]. - Factor Construction Process: - Formula: $\text{BP} = \frac{\text{Net Asset}}{\text{Market Value}}$ [16]. Factor Name: DELTAROE (Change in Return on Equity) - Factor Construction Idea: Captures the change in a company's profitability by comparing its return on equity (ROE) to the same period in the previous year [16]. - Factor Construction Process: - Formula: $\text{DELTAROE} = \text{ROE}_{\text{current}} - \text{ROE}_{\text{previous year}}$ [16]. Factor Name: SPTTM (Sales-to-Price Ratio, Trailing Twelve Months) - Factor Construction Idea: Evaluates a company's valuation by comparing its trailing twelve-month sales to its market price [16]. - Factor Construction Process: - Formula: $\text{SPTTM} = \frac{\text{Sales (TTM)}}{\text{Market Value}}$ [16]. Factor Name: One-Month Reversal - Factor Construction Idea: Measures the short-term reversal effect by calculating the stock's return over the past 20 trading days [16]. - Factor Construction Process: - Formula: $\text{One-Month Reversal} = \text{Return over the past 20 trading days}$ [16]. Factor Name: Three-Month Turnover - Factor Construction Idea: Reflects the liquidity of a stock by calculating its average turnover rate over the past 60 trading days [16]. - Factor Construction Process: - Formula: $\text{Three-Month Turnover} = \text{Average Turnover Rate over the past 60 trading days}$ [16]. --- Factor Backtesting Results Performance in the CSI 300 Universe - DELTAROE: Weekly excess return 0.74%, monthly 2.05%, YTD 16.88% [18]. - BP: Weekly excess return 0.34%, monthly -0.03%, YTD -1.23% [18]. - SPTTM: Weekly excess return 0.51%, monthly 0.36%, YTD -0.54% [18]. Performance in the CSI 500 Universe - BP: Weekly excess return 1.18%, monthly 1.34%, YTD -0.80% [20]. - DELTAROE: Weekly excess return -0.81%, monthly -0.60%, YTD 7.77% [20]. - SPTTM: Weekly excess return 0.79%, monthly -0.52%, YTD 2.01% [20]. Performance in the CSI 1000 Universe - DELTAROE: Weekly excess return 0.78%, monthly 2.46%, YTD 12.26% [22]. - BP: Weekly excess return 0.86%, monthly -0.19%, YTD -0.35% [22]. - SPTTM: Weekly excess return 1.05%, monthly 0.23%, YTD -2.52% [22]. Performance in the CSI A500 Universe - DELTAROE: Weekly excess return 0.60%, monthly 1.65%, YTD 18.37% [24]. - BP: Weekly excess return 0.51%, monthly 0.01%, YTD -4.35% [24]. - SPTTM: Weekly excess return 0.19%, monthly -0.31%, YTD -5.36% [24]. Performance in the Public Fund Heavyweight Index Universe - BP: Weekly excess return 1.18%, monthly -0.78%, YTD -8.84% [26]. - DELTAROE: Weekly excess return -0.11%, monthly -0.12%, YTD 8.42% [26]. - SPTTM: Weekly excess return 1.07%, monthly -1.21%, YTD -8.15% [26].