多因子选股周报：动量因子表现出色，沪深300增强组合年内超额21.85%-20251227

Quantitative Models and Factor Analysis Quantitative Models and Construction Methods Model Name: Guosen JinGong Index Enhanced Portfolio - Model Construction Idea: The model aims to outperform its respective benchmarks by constructing enhanced portfolios based on multiple factors[10]. - Model Construction Process: - Return Prediction: Predicting the returns of stocks within the benchmark index. - Risk Control: Implementing risk control measures to manage the portfolio's risk exposure. - Portfolio Optimization: Optimizing the portfolio to maximize returns while adhering to the risk constraints[11]. - Model Evaluation: The model is designed to consistently outperform its benchmarks by leveraging multiple factors and optimizing the portfolio accordingly[10][11]. Model Backtesting Results - Guosen JinGong Index Enhanced Portfolio: - CSI 300 Index Enhanced Portfolio: Weekly excess return 0.51%, annual excess return 21.85%[4][13]. - CSI 500 Index Enhanced Portfolio: Weekly excess return -0.73%, annual excess return 6.17%[4][13]. - CSI 1000 Index Enhanced Portfolio: Weekly excess return -1.12%, annual excess return 15.93%[4][13]. - CSI A500 Index Enhanced Portfolio: Weekly excess return -0.28%, annual excess return 10.62%[4][13]. Quantitative Factors and Construction Methods Factor Name: Momentum - Factor Construction Idea: The momentum factor captures the tendency of stocks that have performed well in the past to continue performing well in the future[15]. - Factor Construction Process: - One-Year Momentum: Calculated as the return of a stock over the past year, excluding the most recent month[15]. - Formula: $ \text{One-Year Momentum} = \text{Return}{t-12} - \text{Return}{t-1} $[15]. - Factor Evaluation: The momentum factor is effective in identifying stocks with strong past performance that are likely to continue performing well[15]. Factor Name: Standardized Unexpected Earnings (SUE) - Factor Construction Idea: The SUE factor measures the difference between actual and expected earnings, standardized by the standard deviation of expected earnings[15]. - Factor Construction Process: - SUE Calculation: $ \text{SUE} = \frac{\text{Actual Earnings} - \text{Expected Earnings}}{\text{Standard Deviation of Expected Earnings}} $[15]. - Factor Evaluation: The SUE factor is useful in identifying stocks with earnings surprises, which can lead to significant price movements[15]. Factor Name: Expected Net Profit QoQ - Factor Construction Idea: This factor measures the quarter-over-quarter change in expected net profit[15]. - Factor Construction Process: - Calculation: $ \text{Expected Net Profit QoQ} = \frac{\text{Expected Net Profit}{t} - \text{Expected Net Profit}{t-1}}{\text{Expected Net Profit}_{t-1}} $[15]. - Factor Evaluation: The factor is effective in identifying stocks with improving earnings expectations, which can lead to positive price movements[15]. Factor Backtesting Results - CSI 300 Index: - One-Year Momentum: Weekly excess return 1.09%, monthly excess return 2.08%, annual excess return 3.27%, historical annualized return 2.75%[18]. - Standardized Unexpected Earnings: Weekly excess return 0.87%, monthly excess return 2.24%, annual excess return 12.16%, historical annualized return 4.18%[18]. - Expected Net Profit QoQ: Weekly excess return 0.86%, monthly excess return 1.50%, annual excess return 6.56%, historical annualized return 1.72%[18]. - CSI 500 Index: - Expected Net Profit QoQ: Weekly excess return 0.73%, monthly excess return 1.98%, annual excess return 15.82%, historical annualized return 4.80%[20]. - Standardized Unexpected Earnings: Weekly excess return 0.72%, monthly excess return 2.48%, annual excess return 18.17%, historical annualized return 4.51%[20]. - DELTAROE: Weekly excess return 0.57%, monthly excess return 2.27%, annual excess return 11.09%, historical annualized return 5.36%[20]. - CSI 1000 Index: - One-Month Reversal: Weekly excess return 1.23%, monthly excess return 0.00%, annual excess return -2.94%, historical annualized return -3.76%[22]. - Single-Quarter Revenue YoY Growth: Weekly excess return 1.08%, monthly excess return 3.27%, annual excess return 23.01%, historical annualized return 5.16%[22]. - Standardized Unexpected Revenue: Weekly excess return 0.66%, monthly excess return 2.21%, annual excess return 21.47%, historical annualized return 6.55%[22]. - CSI A500 Index: - Expected Net Profit QoQ: Weekly excess return 1.89%, monthly excess return 1.49%, annual excess return 8.61%, historical annualized return 3.73%[24]. - One-Year Momentum: Weekly excess return 1.39%, monthly excess return 2.42%, annual excess return 2.76%, historical annualized return 1.81%[24]. - Standardized Unexpected Earnings: Weekly excess return 1.28%, monthly excess return 3.29%, annual excess return 14.02%, historical annualized return 5.92%[24]. - Public Fund Heavyweight Index: - One-Year Momentum: Weekly excess return 1.61%, monthly excess return 2.90%, annual excess return 4.13%, historical annualized return 15.48%[26]. - Expected Net Profit QoQ: Weekly excess return 0.70%, monthly excess return 2.31%, annual excess return 3.36%, historical annualized return 11.90%[26]. - Single-Quarter Net Profit YoY Growth: Weekly excess return 0.58%, monthly excess return 2.13%, annual excess return 2.95%, historical annualized return 9.10%[26].