多因子选股周报：长因子表现出色，中证A500增强组合本周超额0.61%-20260110

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[11][12] - Model Construction Process: 1. Return Prediction: Predicting the returns of stocks within the benchmark index 2. Risk Control: Implementing risk control measures to manage the portfolio's risk exposure 3. Portfolio Optimization: Optimizing the portfolio to maximize returns while adhering to risk constraints[12] - Model Evaluation: The model is designed to consistently outperform its benchmarks by leveraging multiple factors[11][12] Model Backtesting Results - Guosen JinGong Index Enhanced Portfolio: - CSI 300 Index Enhanced Portfolio: Weekly excess return 0.44%, annual excess return 0.44%[5][14] - CSI 500 Index Enhanced Portfolio: Weekly excess return -1.80%, annual excess return -1.80%[5][14] - CSI 1000 Index Enhanced Portfolio: Weekly excess return -2.20%, annual excess return -2.20%[5][14] - CSI A500 Index Enhanced Portfolio: Weekly excess return 0.61%, annual excess return 0.61%[5][14] Quantitative Factors and Construction Methods Factor Name: Single Factor MFE (Maximized Factor Exposure) Portfolio - Factor Construction Idea: The factor aims to maximize the exposure to a single factor while controlling for various constraints such as industry exposure, style exposure, and stock weight deviations[40][41] - Factor Construction Process: 1. Optimization Model: The optimization model is formulated as follows: $\begin{array}{ll} \text{max} & f^{T} w \\ \text{s.t.} & s_{l} \leq X(w - w_{b}) \leq s_{h} \\ & h_{l} \leq H(w - w_{b}) \leq h_{h} \\ & w_{l} \leq w - w_{b} \leq w_{h} \\ & b_{l} \leq B_{b} w \leq b_{h} \\ & \mathbf{0} \leq w \leq l \\ & \mathbf{1}^{T} w = 1 \end{array}$ where $f$ represents the factor values, $w$ is the stock weight vector, and the constraints include style exposure, industry exposure, stock weight deviations, and component stock weight limits[40][41] 2. Constraints: The constraints include: - Style Exposure: $X$ is the factor exposure matrix, $w_{b}$ is the benchmark weight vector, $s_{l}$ and $s_{h}$ are the lower and upper bounds for style exposure[41] - Industry Exposure: $H$ is the industry exposure matrix, $h_{l}$ and $h_{h}$ are the lower and upper bounds for industry exposure[41] - Stock Weight Deviations: $w_{l}$ and $w_{h}$ are the lower and upper bounds for stock weight deviations[41] - Component Stock Weight Limits: $B_{b}$ is the 0-1 vector indicating whether a stock is a benchmark component, $b_{l}$ and $b_{h}$ are the lower and upper bounds for component stock weights[41] - No Short Selling: The weights are non-negative and sum to 1[41] 3. Portfolio Construction: The MFE portfolio is constructed by maximizing the factor exposure while adhering to the constraints[42][44] - Factor Evaluation: The MFE portfolio is used to test the effectiveness of single factors under realistic constraints, making it more likely to reflect the true predictive power of the factors in the final portfolio[40][41] Factor Backtesting Results - CSI 300 Index: - Best Performing Factors (Weekly): Three-month institutional coverage (0.86%), DELTAROA (0.61%), DELTAROE (0.52%)[19] - Worst Performing Factors (Weekly): Expected net profit QoQ (-0.78%), one-year momentum (-0.45%), idiosyncratic volatility (-0.42%)[19] - CSI 500 Index: - Best Performing Factors (Weekly): Single-quarter net profit YoY growth (0.06%), expected net profit QoQ (0.33%), idiosyncratic volatility (0.22%)[21] - Worst Performing Factors (Weekly): One-month volatility (-2.47%), EPTTM (-3.56%), single-quarter ROE (-0.67%)[21] - CSI 1000 Index: - Best Performing Factors (Weekly): One-year momentum (1.94%), single-quarter revenue YoY growth (1.31%), standardized unexpected income (0.92%)[23] - Worst Performing Factors (Weekly): EPTTM (-3.56%), dividend yield (-3.27%), expected EPTTM (-3.22%)[23] - CSI A500 Index: - Best Performing Factors (Weekly): Single-quarter net profit YoY growth (1.14%), DELTAROE (0.88%), single-quarter operating profit YoY growth (0.70%)[25] - Worst Performing Factors (Weekly): EPTTM (-1.29%), one-month volatility (-1.22%), three-month volatility (-1.09%)[25] - Public Fund Heavy Index: - Best Performing Factors (Weekly): Single-quarter net profit YoY growth (1.14%), expected net profit QoQ (0.88%), three-month reversal (0.29%)[27] - Worst Performing Factors (Weekly): Expected EPTTM (-0.74%), EPTTM (-1.29%), one-month volatility (-1.22%)[27]