量化选股策略更新

Quantitative Models and Construction Methods National Enterprise Fundamental Factor Stock Selection Strategy - Model Name: National Enterprise Fundamental Factor Stock Selection Strategy [3] - Model Construction Idea: The strategy is based on fundamental factors tailored to national enterprises, considering both general and industry-specific factors [5][6] - Model Construction Process: - Define the sample pool using the CSI National Enterprise Index (000955.CSI) and stocks listed on the Beijing Stock Exchange for over six months with central or local state-owned enterprise attributes [3] - Classify industries into dividend-oriented and growth-oriented categories based on ZX third-level industry logic [3][4] - Select general factors such as ROE (TTM), operating cash ratio, labor productivity, asset-liability ratio, and dividend yield [5][6] - Incorporate industry-specific factors like ROIC, prepayment growth rate, inventory turnover rate, and capital expenditure/depreciation ratio for different industries [6][8] - Adjust factor weights based on industry characteristics, emphasizing dividend yield for dividend-oriented industries and reducing the weight of asset-liability ratio for growth-oriented industries [9] - Calculate scores using weighted averages of general and industry-specific factors, normalize the scores, and assign weights to stocks based on their scores [11] - Formula for stock weight: $w_{i}={\frac{s c o r e_{i}^{3}}{\sum_{i=1}^{N}s c o r e_{i}^{3}}}$ [11] - Model Evaluation: The strategy effectively captures the characteristics of national enterprises, balancing dividend stability and growth potential [5][6] Technology Theme Fundamental Factor Stock Selection Strategy - Model Name: Technology Theme Fundamental Factor Stock Selection Strategy [19] - Model Construction Idea: Focus on technology stocks with high R&D investment and strong growth potential, using fundamental factors to identify stocks in their growth and mature stages [20][23] - Model Construction Process: - Define the sample pool based on SW third-level industries and R&D investment criteria (R&D expenses > 5% of revenue or R&D personnel > 10% of total employees) [19][20] - Exclude stocks in the shock and decline stages based on cash flow lifecycle analysis [22][23] - Select general factors such as profitability, growth ability, technical level, supply chain concentration, and alpha factors [24][28] - Incorporate specific factors for growth and mature stages, such as management expense ratio, R&D expense ratio, accounts receivable turnover rate, and PB-ROE [24][28] - Adjust scores using R&D expense multipliers to emphasize high R&D industries [28][29] - Formula for stock weight: $w e i g h t_{i}={\frac{s c o r e_{i}}{\sum_{i=1}^{50}s c o r e_{i}}}$ [30] - Model Evaluation: The strategy highlights technology stocks with strong R&D capabilities and growth potential, effectively capturing industry-specific dynamics [24][28] Consumer Theme Fundamental Factor Stock Selection Strategy - Model Name: Consumer Theme Fundamental Factor Stock Selection Strategy [38] - Model Construction Idea: Focus on consumer stocks with direct-to-consumer business models, using fundamental factors to identify stocks with strong growth, profitability, and governance [38][39] - Model Construction Process: - Define the sample pool based on SW third-level industries, categorizing stocks into daily manufacturing, optional manufacturing, daily services, and optional services [38][39] - Select general factors such as growth-profitability-cash flow composite factor, operating cash flow ratio, ESG management score, and economic sensitivity [40][41] - Incorporate specific factors like market share, R&D expense ratio, accounts receivable turnover rate, and marketing expense ratio [40][41] - Adjust scores using PS (TTM) multipliers to emphasize stocks with lower price-to-sales ratios [46][47] - Formula for stock weight: $w e l g h t_{i}={\frac{S c o r e_{i}^{a d j}}{\sum_{i=1}^{50}S c o r e_{i}^{a d j}}}$ [48] - Model Evaluation: The strategy effectively identifies consumer stocks with strong fundamentals and growth potential, balancing profitability and governance [40][41] --- Model Backtesting Results National Enterprise Fundamental Factor Stock Selection Strategy - Annualized Return: 22.93% [12][15] - Annualized Volatility: 20.85% [15] - Sharpe Ratio: 1.0961 [15] - Calmar Ratio: 0.9963 [15] - Maximum Drawdown: -23.01% [15] Technology Theme Fundamental Factor Stock Selection Strategy - Annualized Return: 30.61% [31][34] - Annualized Volatility: 27.61% [34] - Sharpe Ratio: 1.1070 [34] - Calmar Ratio: 0.8962 [34] - Maximum Drawdown: -34.16% [34] Consumer Theme Fundamental Factor Stock Selection Strategy - Annualized Return: 24.86% [49][52] - Annualized Volatility: 22.99% [52] - Sharpe Ratio: 1.0825 [52] - Calmar Ratio: 1.0197 [52] - Maximum Drawdown: -24.38% [52]