金融工程|点评报告：2025年有效选股因子

• The report focuses on the performance of stock selection factors in 2025, highlighting the effectiveness of factors such as transaction count, liquidity, crowding, price stability, and reversal in stock selection across the market [1][5][15] - Factors are categorized into two main groups: volume-price factors and growth factors. Volume-price factors are further divided into two representative categories: price stability and reversal, while liquidity, crowding, and transaction count serve as average representatives of volume-price factors [6][24] - The construction of major factors involves market capitalization and industry neutrality, outlier removal, and standardization, followed by equal-weight synthesis into major factors [13] - Sub-factors are detailed with their calculation methods, such as residual volatility derived from the Fama-French three-factor model regression residual volatility, turnover rate variation coefficient calculated as turnover rate divided by the standard deviation over the mean, and entropy of transaction volume proportion using the entropy formula [13] - The report provides statistical data on the performance of major factors, including IC, ICIR, excess returns, maximum drawdowns, IR, long-short returns, long-short maximum drawdowns, and long-short Sharpe ratios. For example, liquidity factor achieved an IC of 9.72%, ICIR of 1.08, excess return of 23.67%, and IR of 3.43 [15][16] - Sub-factors with notable performance include short-term reversal (IC 6.27%, ICIR 1.21, excess return 4.86%), residual volatility (IC 9.42%, ICIR 1.22, excess return 1.53%), and turnover rate (IC 10.75%, ICIR 1.29, excess return 17.46%) [17] - The report highlights the time-series performance of factors, noting that the main profit periods for all factors were concentrated between January and November 2025, with significant drawdowns occurring between September and December 2025. Growth, SUE, and price stability factors had lower profit levels and higher drawdowns, while liquidity factors had higher profit levels and higher drawdowns [19][20][23] - The correlation analysis of excess returns among factors shows that price stability has a high correlation with other factors, while reversal has a low correlation with other factors. Liquidity, crowding, and transaction count factors exhibit low mutual correlation [21][24]