低频选股因子周报（2025.12.26-2025.12.31）-20260104

Quantitative Models and Construction Methods - Model Name: CSI 300 Enhanced Portfolio Model Construction Idea: The model aims to enhance the performance of the CSI 300 Index by leveraging quantitative strategies to generate excess returns over the benchmark[5][9][15] Model Construction Process: The portfolio is constructed by applying factor-based selection and weighting methodologies to the CSI 300 Index constituents. Factors such as valuation, growth, and momentum are utilized to optimize the portfolio's performance relative to the benchmark[15] Model Evaluation: The model demonstrates consistent excess returns over the CSI 300 Index, indicating its effectiveness in capturing alpha through quantitative strategies[15] - Model Name: CSI 500 Enhanced Portfolio Model Construction Idea: Similar to the CSI 300 Enhanced Portfolio, this model focuses on outperforming the CSI 500 Index by employing quantitative factor-based strategies[5][9][15] Model Construction Process: The portfolio is optimized using factors such as valuation and growth, applied to the CSI 500 Index constituents. The model aims to achieve a balance between risk and return while maintaining a low tracking error relative to the benchmark[15] Model Evaluation: The model shows moderate excess returns, though its performance is less consistent compared to the CSI 300 Enhanced Portfolio[15] - Model Name: CSI 1000 Enhanced Portfolio Model Construction Idea: This model targets excess returns over the CSI 1000 Index by leveraging quantitative factor-based strategies tailored to small-cap stocks[5][9][15] Model Construction Process: Factors such as momentum and growth are applied to the CSI 1000 Index constituents. The portfolio construction process emphasizes capturing the unique characteristics of small-cap stocks while managing risk[15] Model Evaluation: The model effectively captures alpha in the small-cap segment, with consistent excess returns over the benchmark[15] - Model Name: GARP Portfolio Model Construction Idea: The Growth at a Reasonable Price (GARP) strategy combines growth and valuation factors to identify stocks with strong growth potential at reasonable valuations[32] Model Construction Process: Stocks are selected based on a combination of growth metrics (e.g., earnings growth) and valuation metrics (e.g., price-to-earnings ratio). The portfolio is then optimized to balance growth and valuation characteristics[32] Model Evaluation: The GARP portfolio demonstrates strong long-term performance, though short-term results may vary depending on market conditions[32] - Model Name: Small-Cap Growth Portfolio Model Construction Idea: This model focuses on small-cap stocks with high growth potential, leveraging factors such as earnings growth and momentum[39] Model Construction Process: Stocks are selected from the small-cap universe based on growth and momentum factors. The portfolio is constructed to maximize exposure to these factors while managing risk[39] Model Evaluation: The portfolio shows strong performance in capturing growth opportunities in the small-cap segment, though it may be sensitive to market volatility[39] Model Backtesting Results - CSI 300 Enhanced Portfolio: - Weekly excess return: 0.19%[15] - Monthly excess return: 2.63%[15] - Annual excess return: 8.82%[15] - CSI 500 Enhanced Portfolio: - Weekly excess return: -0.10%[15] - Monthly excess return: -0.07%[15] - Annual excess return: 4.72%[15] - CSI 1000 Enhanced Portfolio: - Weekly excess return: 0.47%[15] - Monthly excess return: 0.96%[15] - Annual excess return: 4.67%[15] - GARP Portfolio: - Weekly excess return: -0.13%[32] - Monthly excess return: 1.53%[32] - Annual excess return: 23.51%[32] - Small-Cap Growth Portfolio: - Weekly excess return: 0.55%[39] - Monthly excess return: 5.00%[39] - Annual excess return: -6.37%[39] Quantitative Factors and Construction Methods - Factor Name: Market Capitalization (Size) Factor Construction Idea: This factor captures the performance difference between small-cap and large-cap stocks[42] Factor Construction Process: Stocks are ranked by market capitalization, and the top 10% (small-cap) and bottom 10% (large-cap) are selected to form long and short portfolios, respectively. The difference in returns between these portfolios represents the factor's performance[41][42] Factor Evaluation: The factor shows strong performance in favor of small-cap stocks, particularly in the short term[42] - Factor Name: Price-to-Book Ratio (PB) Factor Construction Idea: This valuation factor identifies undervalued stocks based on their book value relative to market price[42] Factor Construction Process: Stocks are ranked by PB ratio, and the top 10% (low PB) and bottom 10% (high PB) are selected to form long and short portfolios, respectively. The difference in returns between these portfolios represents the factor's performance[41][42] Factor Evaluation: The factor's performance is mixed, with periods of underperformance in certain market conditions[42] - Factor Name: Return on Equity (ROE) Factor Construction Idea: This profitability factor identifies companies with high returns on equity, indicating efficient use of capital[53] Factor Construction Process: Stocks are ranked by ROE, and the top 10% (high ROE) and bottom 10% (low ROE) are selected to form long and short portfolios, respectively. The difference in returns between these portfolios represents the factor's performance[41][53] Factor Evaluation: The factor demonstrates consistent positive returns, particularly in the long term[53] Factor Backtesting Results - Market Capitalization (Size): - Weekly long-short return: 0.20%[42] - Monthly long-short return: -6.40%[42] - Annual long-short return: 45.24%[43] - Price-to-Book Ratio (PB): - Weekly long-short return: -0.45%[42] - Monthly long-short return: -1.51%[42] - Annual long-short return: -12.78%[43] - Return on Equity (ROE): - Weekly long-short return: 0.65%[53] - Monthly long-short return: 4.49%[53] - Annual long-short return: 2.82%[54]