量化组合跟踪周报 20251227：市场大市值风格占优，机构调研组合超额明显-20251227

Quantitative Models and Construction Methods 1. Model Name: PB-ROE-50 Combination - Model Construction Idea: The PB-ROE-50 combination is designed to capture excess returns by selecting stocks with favorable Price-to-Book (PB) and Return on Equity (ROE) characteristics within specific stock pools[24] - Model Construction Process: The model selects stocks based on PB and ROE metrics, focusing on stocks with high ROE and low PB ratios. The combination is rebalanced periodically to maintain its focus on these metrics. Detailed construction methodology is referenced in earlier reports[24] - Model Evaluation: The model demonstrates significant excess returns in certain stock pools, indicating its effectiveness in capturing value and profitability factors[24] --- Model Backtesting Results 1. PB-ROE-50 Combination - Excess Return (Weekly): - CSI 500: -0.62% - CSI 800: 1.31% - All Market: 1.36%[25] - Excess Return (Year-to-Date): - CSI 500: 2.48% - CSI 800: 18.55% - All Market: 20.81%[25] - Absolute Return (Weekly): - CSI 500: 3.39% - CSI 800: 3.85% - All Market: 4.18%[25] - Absolute Return (Year-to-Date): - CSI 500: 33.50% - CSI 800: 43.89% - All Market: 51.01%[25] --- Quantitative Factors and Construction Methods 1. Factor Name: Beta Factor - Factor Construction Idea: Measures the sensitivity of a stock's returns to market returns, capturing systematic risk[20] - Factor Construction Process: Calculated as the covariance of a stock's returns with market returns divided by the variance of market returns $ \beta = \frac{\text{Cov}(R_i, R_m)}{\text{Var}(R_m)} $ where $R_i$ is the stock return and $R_m$ is the market return[20] - Factor Evaluation: Demonstrates positive returns in the current week, indicating its relevance in capturing market trends[20] 2. Factor Name: Scale Factor - Factor Construction Idea: Captures the size effect by focusing on the market capitalization of stocks[20] - Factor Construction Process: Stocks are ranked by market capitalization, and the factor is constructed by taking the difference in returns between small-cap and large-cap stocks[20] - Factor Evaluation: Positive returns this week suggest the dominance of large-cap stocks in the market[20] 3. Factor Name: Nonlinear Market Cap Factor - Factor Construction Idea: Captures nonlinear effects of market capitalization on stock returns[20] - Factor Construction Process: Incorporates higher-order terms of market capitalization in the regression model to account for nonlinear relationships[20] - Factor Evaluation: Positive returns this week highlight its effectiveness in capturing nonlinear size effects[20] 4. Factor Name: Leverage Factor - Factor Construction Idea: Measures the impact of financial leverage on stock returns[20] - Factor Construction Process: Calculated as the ratio of total debt to equity, adjusted for industry and market effects[20] - Factor Evaluation: Negative returns this week suggest that high-leverage stocks underperformed[20] 5. Factor Name: Early Morning Return Factor - Factor Construction Idea: Captures the return patterns of stocks during early trading hours[12] - Factor Construction Process: Calculated as the return of a stock during the first trading hour of the day, adjusted for market and industry effects[12] - Factor Evaluation: Strong positive performance this week indicates its ability to capture intraday momentum[12] 6. Factor Name: Single-Quarter Net Profit YoY Growth Rate - Factor Construction Idea: Measures the year-over-year growth in net profit for a single quarter, reflecting profitability trends[12][14][18] - Factor Construction Process: $ \text{Growth Rate} = \frac{\text{Net Profit}{t} - \text{Net Profit}{t-1}}{\text{Net Profit}_{t-1}} $ where $t$ is the current quarter and $t-1$ is the same quarter in the previous year[12][14][18] - Factor Evaluation: Consistently positive performance across multiple stock pools highlights its robustness in capturing profitability[12][14][18] 7. Factor Name: 5-Day Reversal Factor - Factor Construction Idea: Captures short-term mean-reversion effects in stock prices[18] - Factor Construction Process: Calculated as the negative return of a stock over the past 5 trading days, adjusted for market and industry effects[18] - Factor Evaluation: Strong positive performance in the liquidity 1500 stock pool indicates its effectiveness in identifying short-term reversals[18] --- Factor Backtesting Results 1. Beta Factor - Weekly Return: 1.31%[20] 2. Scale Factor - Weekly Return: 0.62%[20] 3. Nonlinear Market Cap Factor - Weekly Return: 0.58%[20] 4. Leverage Factor - Weekly Return: -0.13%[20] 5. Early Morning Return Factor - Weekly Return: - CSI 300: 2.16% - CSI 500: 0.25% - Liquidity 1500: 1.22%[12][14][18] 6. Single-Quarter Net Profit YoY Growth Rate - Weekly Return: - CSI 300: 1.75% - CSI 500: 1.11% - Liquidity 1500: 1.58%[12][14][18] 7. 5-Day Reversal Factor - Weekly Return: - CSI 300: 0.77% - CSI 500: 1.04% - Liquidity 1500: 3.33%[12][14][18]