多因子选股周报：反转因子表现出色，四大指增组合本周均跑赢基准-20260207

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 the risk constraints[12]. - Model Evaluation: The model is designed to consistently outperform its benchmarks by leveraging multiple factors[11]. Model Backtesting Results - Guosen JinGong Index Enhanced Portfolio: - CSI 300 Index Enhanced Portfolio: Weekly excess return 0.24%, annual excess return 3.21%[5][14]. - CSI 500 Index Enhanced Portfolio: Weekly excess return 0.53%, annual excess return -0.27%[5][14]. - CSI 1000 Index Enhanced Portfolio: Weekly excess return 1.63%, annual excess return 3.92%[5][14]. - CSI A500 Index Enhanced Portfolio: Weekly excess return 0.40%, annual excess return 3.28%[5][14]. Quantitative Factors and Construction Methods Factor Name: Single-Season SP - Factor Construction Idea: This factor measures the ratio of single-quarter operating revenue to total market value[17]. - Factor Construction Process: - Formula: $ \text{Single-Season SP} = \frac{\text{Single-Quarter Operating Revenue}}{\text{Total Market Value}} $[17]. - Factor Evaluation: This factor performed well in the CSI 300 and public fund heavy index selection spaces[1][26]. Factor Name: Single-Season EP - Factor Construction Idea: This factor measures the ratio of single-quarter net profit attributable to the parent company to total market value[17]. - Factor Construction Process: - Formula: $ \text{Single-Season EP} = \frac{\text{Single-Quarter Net Profit Attributable to Parent}}{\text{Total Market Value}} $[17]. - Factor Evaluation: This factor performed well in the CSI 300 and CSI A500 index selection spaces[1][24]. Factor Name: SPTTM - Factor Construction Idea: This factor measures the ratio of trailing twelve months (TTM) operating revenue to total market value[17]. - Factor Construction Process: - Formula: $ \text{SPTTM} = \frac{\text{TTM Operating Revenue}}{\text{Total Market Value}} $[17]. - Factor Evaluation: This factor performed well in the CSI 300 and public fund heavy index selection spaces[1][26]. Factor Name: One-Month Reversal - Factor Construction Idea: This factor measures the price change over the past 20 trading days[17]. - Factor Construction Process: - Formula: $ \text{One-Month Reversal} = \text{Price Change over Past 20 Trading Days} $[17]. - Factor Evaluation: This factor performed well in the CSI 500 and CSI 1000 index selection spaces[1][20][22]. Factor Name: Three-Month Reversal - Factor Construction Idea: This factor measures the price change over the past 60 trading days[17]. - Factor Construction Process: - Formula: $ \text{Three-Month Reversal} = \text{Price Change over Past 60 Trading Days} $[17]. - Factor Evaluation: This factor performed well in the CSI 500 and CSI 1000 index selection spaces[1][20][22]. Factor Name: Non-Liquidity Shock - Factor Construction Idea: This factor measures the average absolute value of daily price changes over the past 20 trading days divided by the average trading volume[17]. - Factor Construction Process: - Formula: $ \text{Non-Liquidity Shock} = \frac{\text{Average Absolute Daily Price Change}}{\text{Average Trading Volume}} $[17]. - Factor Evaluation: This factor performed well in the CSI 1000 index selection space[1][22]. Factor Backtesting Results - Single-Season SP: - CSI 300: Weekly excess return 1.33%, monthly excess return 0.89%, annualized historical return 2.80%[19]. - Public Fund Heavy Index: Weekly excess return 1.45%, monthly excess return 1.56%, annualized historical return 1.98%[26]. - Single-Season EP: - CSI 300: Weekly excess return 0.99%, monthly excess return 1.48%, annualized historical return 5.37%[19]. - CSI A500: Weekly excess return 1.29%, monthly excess return 1.59%, annualized historical return 5.16%[24]. - SPTTM: - CSI 300: Weekly excess return 1.11%, monthly excess return 0.81%, annualized historical return 2.03%[19]. - Public Fund Heavy Index: Weekly excess return 1.44%, monthly excess return 1.09%, annualized historical return 0.76%[26]. - One-Month Reversal: - CSI 500: Weekly excess return 1.19%, monthly excess return -0.32%, annualized historical return -1.60%[20]. - CSI 1000: Weekly excess return 1.77%, monthly excess return -0.37%, annualized historical return -4.29%[22]. - Three-Month Reversal: - CSI 500: Weekly excess return 1.42%, monthly excess return -3.14%, annualized historical return -2.38%[20]. - CSI 1000: Weekly excess return 1.56%, monthly excess return 0.76%, annualized historical return -1.95%[22]. - Non-Liquidity Shock: - CSI 1000: Weekly excess return 1.52%, monthly excess return 2.73%, annualized historical return 2.48%[22].