Quantitative Factors and Construction Methods 1. Factor Name: **bp** - **Factor Construction Idea**: Measures the valuation level of a stock based on its book-to-price ratio [13] - **Factor Construction Process**: Calculated as the current net asset divided by the current total market value $ bp = \frac{\text{Current Net Asset}}{\text{Current Total Market Value}} $ [13] 2. Factor Name: **bp Three-Year Percentile** - **Factor Construction Idea**: Evaluates the relative valuation of a stock over the past three years [13] - **Factor Construction Process**: Represents the percentile rank of the current bp value within the stock's bp distribution over the last three years [13] 3. Factor Name: **Quarterly EP** - **Factor Construction Idea**: Reflects the profitability of a stock relative to its equity [13] - **Factor Construction Process**: Calculated as the quarterly net profit divided by the net asset $ \text{Quarterly EP} = \frac{\text{Quarterly Net Profit}}{\text{Net Asset}} $ [13] 4. Factor Name: **Quarterly EP One-Year Percentile** - **Factor Construction Idea**: Measures the relative profitability of a stock over the past year [13] - **Factor Construction Process**: Represents the percentile rank of the current quarterly EP value within the stock's EP distribution over the last year [13] 5. Factor Name: **Quarterly SP** - **Factor Construction Idea**: Indicates the revenue generation efficiency of a stock relative to its equity [13] - **Factor Construction Process**: Calculated as the quarterly operating revenue divided by the net asset $ \text{Quarterly SP} = \frac{\text{Quarterly Operating Revenue}}{\text{Net Asset}} $ [13] 6. Factor Name: **Quarterly SP One-Year Percentile** - **Factor Construction Idea**: Evaluates the relative revenue efficiency of a stock over the past year [13] - **Factor Construction Process**: Represents the percentile rank of the current quarterly SP value within the stock's SP distribution over the last year [13] 7. Factor Name: **Fama-French Three-Factor One-Month Residual Volatility** - **Factor Construction Idea**: Measures the idiosyncratic risk of a stock based on its residual volatility after regressing against the Fama-French three-factor model [13] - **Factor Construction Process**: Calculated as the standard deviation of the residuals from the regression of daily returns over the past 20 trading days on the Fama-French three factors $ \text{Residual Volatility} = \sqrt{\frac{\sum (\text{Actual Return} - \text{Predicted Return})^2}{n}} $ where "Predicted Return" is derived from the Fama-French three-factor model [13] 8. Factor Name: **One-Month Excess Return Volatility** - **Factor Construction Idea**: Captures the volatility of a stock's excess return over the past month [13] - **Factor Construction Process**: Calculated as the standard deviation of the excess returns over the past 20 trading days $ \text{Excess Return Volatility} = \sqrt{\frac{\sum (\text{Excess Return} - \text{Mean Excess Return})^2}{n}} $ [13] --- Factor Backtesting Results IC Performance - **bp**: Weekly IC = 9.73%, Monthly IC = 2.21%, Yearly IC = 1.64%, Historical IC = 2.27% [9] - **bp Three-Year Percentile**: Weekly IC = 14.75%, Monthly IC = 3.36%, Yearly IC = 2.85%, Historical IC = 1.69% [9] - **Quarterly EP**: Weekly IC = -4.31%, Monthly IC = 0.38%, Yearly IC = -0.58%, Historical IC = 1.13% [9] - **Quarterly EP One-Year Percentile**: Weekly IC = 7.25%, Monthly IC = 3.57%, Yearly IC = 0.94%, Historical IC = 1.73% [9] - **Quarterly SP**: Weekly IC = -0.92%, Monthly IC = 0.38%, Yearly IC = 0.23%, Historical IC = 0.71% [9] - **Quarterly SP One-Year Percentile**: Weekly IC = 11.79%, Monthly IC = 4.40%, Yearly IC = 3.08%, Historical IC = 1.86% [9] - **Fama-French Three-Factor One-Month Residual Volatility**: Weekly IC = 14.50%, Monthly IC = 5.11%, Yearly IC = 3.29%, Historical IC = 2.54% [9] - **One-Month Excess Return Volatility**: Weekly IC = 14.87%, Monthly IC = 5.14%, Yearly IC = 3.26%, Historical IC = 2.22% [9] Long-Only Portfolio Excess Returns - **bp**: Weekly Excess Return = 0.52%, Monthly Excess Return = -0.36%, Yearly Excess Return = 1.57%, Historical Cumulative Excess Return = 30.39% [11] - **bp Three-Year Percentile**: Weekly Excess Return = 0.75%, Monthly Excess Return = -0.59%, Yearly Excess Return = 3.19%, Historical Cumulative Excess Return = -1.63% [11] - **Quarterly EP**: Weekly Excess Return = 0.13%, Monthly Excess Return = 1.56%, Yearly Excess Return = 1.05%, Historical Cumulative Excess Return = 30.66% [11] - **Quarterly EP One-Year Percentile**: Weekly Excess Return = 0.81%, Monthly Excess Return = 0.32%, Yearly Excess Return = 3.53%, Historical Cumulative Excess Return = 33.78% [11] - **Quarterly SP**: Weekly Excess Return = -0.30%, Monthly Excess Return = 0.33%, Yearly Excess Return = 0.34%, Historical Cumulative Excess Return = -2.98% [11] - **Quarterly SP One-Year Percentile**: Weekly Excess Return = 0.56%, Monthly Excess Return = 1.09%, Yearly Excess Return = 9.91%, Historical Cumulative Excess Return = 1.99% [11] - **Fama-French Three-Factor One-Month Residual Volatility**: Weekly Excess Return = 1.33%, Monthly Excess Return = 1.68%, Yearly Excess Return = 8.97%, Historical Cumulative Excess Return = 19.84% [11] - **One-Month Excess Return Volatility**: Weekly Excess Return = 1.34%, Monthly Excess Return = 1.55%, Yearly Excess Return = 10.29%, Historical Cumulative Excess Return = 11.42% [11]

Quantitative Factors and Construction Methods Factor Name: Beta - Construction Idea: Measures the sensitivity of a stock's returns to market returns[14] - Construction Process: Calculated using the weighted regression of individual stock returns against market returns over the last 490 trading days[14] - Evaluation: Beta factor performed well in the recent week[8][10] Factor Name: Turnover Rate and Average Price Correlation (1 Month) - Construction Idea: Measures the correlation between turnover rate and average price over the past month[13] - Construction Process: Calculated as the correlation coefficient between turnover rate and average price over the past 20 trading days[13] - Evaluation: This factor showed good performance in the recent week and month[8][10] Factor Name: Turnover Rate Volatility (1 Month) - Construction Idea: Measures the volatility of turnover rate over the past month[13] - Construction Process: Calculated as the standard deviation of turnover rate over the past 20 trading days[13] - Evaluation: This factor performed well in the recent month and year[8][10] Factor Name: Reversal (1 Month) - Construction Idea: Measures the cumulative returns over the past month[13] - Construction Process: Calculated as the cumulative returns over the past 20 trading days[13] - Evaluation: This factor showed good performance in the recent week and month[8][10] Factor Name: Specificity (1 Month) - Construction Idea: Measures the specificity of stock returns relative to the Fama-French three-factor model[13] - Construction Process: Calculated as 1 minus the R-squared value from the regression of daily returns against the Fama-French three factors over the past 20 trading days[13] - Evaluation: This factor performed well in the recent year[8][10] Factor Name: Residual Volatility (Fama-French Three-Factor Model, 1 Month) - Construction Idea: Measures the residual volatility of stock returns relative to the Fama-French three-factor model[13] - Construction Process: Calculated as the standard deviation of residuals from the regression of daily returns against the Fama-French three factors over the past 20 trading days[13] - Evaluation: This factor showed good performance in the recent year[8][10] Factor Name: Excess Return Volatility (1 Month) - Construction Idea: Measures the volatility of excess returns over the past month[13] - Construction Process: Calculated as the standard deviation of excess returns over the past 20 trading days[13] - Evaluation: This factor performed well in the recent year[8][10] Factor Name: Small Market Capitalization - Construction Idea: Measures the logarithm of market capitalization[13] - Construction Process: Calculated as the logarithm of market capitalization[13] - Evaluation: This factor showed good performance in the recent week and year[8][10] Factor Backtesting Results Information Coefficient (IC) Performance - Beta: Recent week IC: 13.69%, Recent month IC: 0.85%, Recent year IC: 1.73%, Historical IC: 0.44%[9] - Turnover Rate and Average Price Correlation (1 Month): Recent week IC: 11.30%, Recent month IC: 7.07%, Recent year IC: 2.49%, Historical IC: 1.70%[9] - Turnover Rate Volatility (1 Month): Recent week IC: 6.15%, Recent month IC: 5.29%, Recent year IC: 2.99%, Historical IC: 2.51%[9] - Reversal (1 Month): Recent week IC: 11.08%, Recent month IC: 4.52%, Recent year IC: 2.87%, Historical IC: 2.15%[9] - Specificity (1 Month): Recent week IC: 11.05%, Recent month IC: 3.76%, Recent year IC: 3.63%, Historical IC: 2.41%[9] - Residual Volatility (Fama-French Three-Factor Model, 1 Month): Recent week IC: 5.42%, Recent month IC: 3.27%, Recent year IC: 3.62%, Historical IC: 2.48%[9] - Excess Return Volatility (1 Month): Recent week IC: -0.20%, Recent month IC: 1.88%, Recent year IC: 3.29%, Historical IC: 2.18%[9] - Small Market Capitalization: Recent week IC: 7.12%, Recent month IC: 2.70%, Recent year IC: 2.03%, Historical IC: 1.89%[9] Long Portfolio Performance - Beta: Recent week excess return: 1.08%, Recent month excess return: -0.75%, Recent year excess return: 6.46%, Historical cumulative excess return: -5.34%[11] - Turnover Rate and Average Price Correlation (1 Month): Recent week excess return: 1.08%, Recent month excess return: 2.92%, Recent year excess return: 2.72%, Historical cumulative excess return: 16.63%[11] - Turnover Rate Volatility (1 Month): Recent week excess return: 0.93%, Recent month excess return: 1.96%, Recent year excess return: 10.68%, Historical cumulative excess return: 32.01%[11] - Reversal (1 Month): Recent week excess return: 0.37%, Recent month excess return: 0.22%, Recent year excess return: 0.75%, Historical cumulative excess return: -1.18%[11] - Specificity (1 Month): Recent week excess return: 0.67%, Recent month excess return: 0.67%, Recent year excess return: 10.17%, Historical cumulative excess return: 16.91%[11] - Residual Volatility (Fama-French Three-Factor Model, 1 Month): Recent week excess return: 0.34%, Recent month excess return: 0.82%, Recent year excess return: 8.10%, Historical cumulative excess return: 18.57%[11] - Excess Return Volatility (1 Month): Recent week excess return: 0.02%, Recent month excess return: 0.09%, Recent year excess return: 7.20%, Historical cumulative excess return: 10.83%[11] - Small Market Capitalization: Recent week excess return: 0.95%, Recent month excess return: 0.12%, Recent year excess return: 10.84%, Historical cumulative excess return: 59.20%[11]

Quantitative Factors and Construction Methods - **Factor Name**: bp **Construction Idea**: Measures valuation by comparing net assets to market value **Construction Process**: Calculated as: $ bp = \frac{\text{Current Net Assets}}{\text{Current Total Market Value}} $ [13] **Evaluation**: Commonly used valuation factor, straightforward and widely applicable [13] - **Factor Name**: bp three-year percentile **Construction Idea**: Tracks the relative valuation of a stock over the past three years **Construction Process**: Represents the percentile rank of the current bp value within the last three years [13] **Evaluation**: Useful for identifying stocks with consistent valuation trends [13] - **Factor Name**: Quarterly ep **Construction Idea**: Measures profitability relative to net assets **Construction Process**: Calculated as: $ \text{Quarterly ep} = \frac{\text{Quarterly Net Profit}}{\text{Net Assets}} $ [13] **Evaluation**: Reflects short-term profitability, sensitive to quarterly fluctuations [13] - **Factor Name**: Quarterly ep one-year percentile **Construction Idea**: Tracks the relative profitability of a stock over the past year **Construction Process**: Represents the percentile rank of the current quarterly ep value within the last year [13] **Evaluation**: Helps identify stocks with improving or declining profitability trends [13] - **Factor Name**: Quarterly sp **Construction Idea**: Measures revenue generation relative to net assets **Construction Process**: Calculated as: $ \text{Quarterly sp} = \frac{\text{Quarterly Revenue}}{\text{Net Assets}} $ [13] **Evaluation**: Indicates operational efficiency, useful for growth-oriented analysis [13] - **Factor Name**: Quarterly sp one-year percentile **Construction Idea**: Tracks the relative operational efficiency of a stock over the past year **Construction Process**: Represents the percentile rank of the current quarterly sp value within the last year [13] **Evaluation**: Highlights trends in revenue generation efficiency [13] - **Factor Name**: Quarterly asset turnover **Construction Idea**: Measures revenue generation relative to total assets **Construction Process**: Calculated as: $ \text{Quarterly Asset Turnover} = \frac{\text{Quarterly Revenue}}{\text{Total Assets}} $ [13] **Evaluation**: Reflects operational efficiency, sensitive to asset-heavy industries [13] - **Factor Name**: Quarterly gross margin **Construction Idea**: Measures profitability relative to sales revenue **Construction Process**: Calculated as: $ \text{Quarterly Gross Margin} = \frac{\text{Quarterly Gross Profit}}{\text{Quarterly Sales Revenue}} $ [13] **Evaluation**: Indicates pricing power and cost control [13] - **Factor Name**: Quarterly roa **Construction Idea**: Measures profitability relative to total assets **Construction Process**: Calculated as: $ \text{Quarterly ROA} = \frac{\text{Quarterly Net Profit}}{\text{Total Assets}} $ [13] **Evaluation**: Reflects overall asset efficiency [13] - **Factor Name**: Quarterly roe **Construction Idea**: Measures profitability relative to net assets **Construction Process**: Calculated as: $ \text{Quarterly ROE} = \frac{\text{Quarterly Net Profit}}{\text{Net Assets}} $ [13] **Evaluation**: Commonly used profitability metric, sensitive to leverage [13] - **Factor Name**: Standardized unexpected earnings **Construction Idea**: Measures deviation of current earnings from historical growth trends **Construction Process**: Calculated as: $ \text{Standardized Unexpected Earnings} = \frac{\text{Current Quarterly Net Profit} - (\text{Last Year Same Quarter Net Profit} + \text{Average Growth of Last 8 Quarters})}{\text{Standard Deviation of Growth in Last 8 Quarters}} $ [13] **Evaluation**: Useful for identifying earnings surprises [13] - **Factor Name**: Standardized unexpected revenue **Construction Idea**: Measures deviation of current revenue from historical growth trends **Construction Process**: Calculated as: $ \text{Standardized Unexpected Revenue} = \frac{\text{Current Quarterly Revenue} - (\text{Last Year Same Quarter Revenue} + \text{Average Growth of Last 8 Quarters})}{\text{Standard Deviation of Growth in Last 8 Quarters}} $ [13] **Evaluation**: Highlights revenue surprises [13] - **Factor Name**: Dividend yield **Construction Idea**: Measures dividend payout relative to market value **Construction Process**: Calculated as: $ \text{Dividend Yield} = \frac{\text{Annual Dividend}}{\text{Current Market Value}} $ [13] **Evaluation**: Commonly used for income-focused strategies [13] - **Factor Name**: 1-month turnover rate volatility **Construction Idea**: Measures the variability of turnover rates over the past month **Construction Process**: Calculated as the standard deviation of daily turnover rates over the past 20 trading days [13] **Evaluation**: Reflects liquidity and trading activity [13] - **Factor Name**: Fama-French three-factor residual volatility **Construction Idea**: Measures the volatility of residuals from a Fama-French three-factor model regression **Construction Process**: Calculated as the standard deviation of residuals from daily returns regressed on the Fama-French three factors over the past 20 trading days [13] **Evaluation**: Indicates idiosyncratic risk [13] Factor Backtesting Results - **Factor Name**: bp **IC Values**: Weekly: -8.41%, Monthly: 3.48%, Yearly: 1.72% [8] **Excess Return**: Weekly: -0.18%, Monthly: 1.03%, Yearly: 3.10% [11] - **Factor Name**: bp three-year percentile **IC Values**: Weekly: 2.04%, Monthly: 7.90%, Yearly: 2.82% [8] **Excess Return**: Weekly: 0.67%, Monthly: 0.82%, Yearly: 2.55% [11] - **Factor Name**: Quarterly ep **IC Values**: Weekly: -5.19%, Monthly: 3.65%, Yearly: 0.24% [8] **Excess Return**: Weekly: -1.30%, Monthly: -0.08%, Yearly: 1.51% [11] - **Factor Name**: Quarterly ep one-year percentile **IC Values**: Weekly: 1.73%, Monthly: 4.68%, Yearly: 1.02% [8] **Excess Return**: Weekly: -0.35%, Monthly: 0.93%, Yearly: 4.35% [11] - **Factor Name**: Quarterly sp **IC Values**: Weekly: -5.87%, Monthly: -1.49%, Yearly: 0.18% [8] **Excess Return**: Weekly: -0.28%, Monthly: -1.23%, Yearly: 0.24% [11] - **Factor Name**: Quarterly sp one-year percentile **IC Values**: Weekly: 1.93%, Monthly: 7.04%, Yearly: 2.70% [8] **Excess Return**: Weekly: -0.66%, Monthly: 0.55%, Yearly: 3.80% [11] - **Factor Name**: Standardized unexpected earnings **IC Values**: Weekly: 0.24%, Monthly: 2.19%, Yearly: 0.64% [8] **Excess Return**: Weekly: -0.60%, Monthly: -0.75%, Yearly: 3.99% [11] - **Factor Name**: Standardized unexpected revenue **IC Values**: Weekly: -1.03%, Monthly: 0.72%, Yearly: 0.61% [8] **Excess Return**: Weekly: -0.41%, Monthly: -0.72%, Yearly: 1.55% [11] - **Factor Name**: Dividend yield **IC Values**: Weekly: -2.91%, Monthly: 1.85%, Yearly: -0.07% [8] **Excess Return**: Weekly: -0.37%, Monthly: 1.27%, Yearly: -4.85% [11]

Investment Rating - The industry investment rating is "Outperform the Market," indicating an expected industry index increase of over 5% in the next six months [18]. Core Insights - Recent factor performance shows that the average turnover rate, non-liquid shock, and quarterly gross margin factors have performed well, while factors like Beta and one-year momentum have underperformed [2][9]. - Over the past year, small-cap stocks, earnings forecast accuracy, and one-month turnover rate volatility have shown strong performance, while one-year momentum and expected adjustment averages have lagged [2][9]. Factor Tracking Summary Factor IC Performance - In the last week, the one-month average turnover rate, non-liquid shock, and turnover rate volatility factors performed well, while one-year momentum and quarterly asset turnover rate showed poor performance [7]. - Over the last month, the one-month average turnover rate and Fama-French three-factor one-month residual volatility factors performed well, while Beta and one-year momentum lagged [7]. - In the past year, the one-month specificity and Fama-French three-factor one-month residual volatility factors performed well, while one-year momentum and dividend yield factors underperformed [7][8]. Factor Long-Only Portfolio Performance - The long-only portfolio, constructed from the top 10% of factors, has shown cumulative excess returns, with quarterly gross margin and one-month average turnover rate factors performing well recently [9][10]. - Over the last year, small-cap stocks and earnings forecast accuracy have shown strong performance, while one-year momentum and expected adjustment averages have underperformed [9][10]. Factor Introduction - The factors used in the analysis are categorized into valuation, profitability, growth, dividends, reversal, turnover, volatility, and analyst factors, each with specific calculation methods [11][12].

Quantitative Factors and Construction Methods - **Factor Name**: bp **Construction Idea**: Measures valuation by comparing net assets to market capitalization **Construction Process**: Calculated as: $ bp = \frac{\text{Net Assets}}{\text{Market Capitalization}} $ **Evaluation**: Provides a direct valuation metric for stocks[13] - **Factor Name**: bp three-year percentile **Construction Idea**: Evaluates the relative valuation of a stock over the past three years **Construction Process**: Represents the current bp value's percentile rank within the last three years[13] **Evaluation**: Useful for identifying stocks with consistent valuation trends[13] - **Factor Name**: Quarterly ep **Construction Idea**: Measures profitability relative to net assets **Construction Process**: Calculated as: $ \text{Quarterly ep} = \frac{\text{Quarterly Net Profit}}{\text{Net Assets}} $ **Evaluation**: Indicates profitability efficiency[13] - **Factor Name**: Quarterly ep one-year percentile **Construction Idea**: Tracks the relative profitability of a stock over the past year **Construction Process**: Represents the current quarterly ep value's percentile rank within the last year[13] **Evaluation**: Highlights short-term profitability trends[13] - **Factor Name**: Quarterly sp **Construction Idea**: Measures revenue generation relative to net assets **Construction Process**: Calculated as: $ \text{Quarterly sp} = \frac{\text{Quarterly Revenue}}{\text{Net Assets}} $ **Evaluation**: Reflects operational efficiency[13] - **Factor Name**: Quarterly sp one-year percentile **Construction Idea**: Tracks the relative revenue generation of a stock over the past year **Construction Process**: Represents the current quarterly sp value's percentile rank within the last year[13] **Evaluation**: Useful for identifying short-term revenue trends[13] - **Factor Name**: Quarterly ROA **Construction Idea**: Measures profitability relative to total assets **Construction Process**: Calculated as: $ \text{Quarterly ROA} = \frac{\text{Quarterly Net Profit}}{\text{Total Assets}} $ **Evaluation**: Indicates asset utilization efficiency[13] - **Factor Name**: Quarterly ROE **Construction Idea**: Measures profitability relative to shareholders' equity **Construction Process**: Calculated as: $ \text{Quarterly ROE} = \frac{\text{Quarterly Net Profit}}{\text{Net Assets}} $ **Evaluation**: Reflects return on equity for shareholders[13] - **Factor Name**: Quarterly net profit YoY growth **Construction Idea**: Tracks year-over-year growth in net profit **Construction Process**: Calculated as: $ \text{Net Profit YoY Growth} = \frac{\text{Current Net Profit} - \text{Previous Year Net Profit}}{\text{Previous Year Net Profit}} $ **Evaluation**: Highlights growth trends in profitability[13] - **Factor Name**: Quarterly revenue YoY growth **Construction Idea**: Tracks year-over-year growth in revenue **Construction Process**: Calculated as: $ \text{Revenue YoY Growth} = \frac{\text{Current Revenue} - \text{Previous Year Revenue}}{\text{Previous Year Revenue}} $ **Evaluation**: Reflects growth trends in operational performance[13] - **Factor Name**: Quarterly ROE YoY growth **Construction Idea**: Tracks year-over-year growth in ROE **Construction Process**: Calculated as: $ \text{ROE YoY Growth} = \frac{\text{Current ROE} - \text{Previous Year ROE}}{\text{Previous Year ROE}} $ **Evaluation**: Indicates improvement in equity returns[13] - **Factor Name**: Standardized unexpected earnings **Construction Idea**: Measures deviation of current earnings from historical growth trends **Construction Process**: $ \text{Standardized Unexpected Earnings} = \frac{\text{Current Earnings} - (\text{Last Year Earnings} + \text{8-Quarter Average Growth})}{\text{Standard Deviation of 8-Quarter Growth}} $ **Evaluation**: Useful for identifying earnings surprises[13] - **Factor Name**: Standardized unexpected revenue **Construction Idea**: Measures deviation of current revenue from historical growth trends **Construction Process**: $ \text{Standardized Unexpected Revenue} = \frac{\text{Current Revenue} - (\text{Last Year Revenue} + \text{8-Quarter Average Growth})}{\text{Standard Deviation of 8-Quarter Growth}} $ **Evaluation**: Highlights revenue surprises[13] - **Factor Name**: Dividend yield **Construction Idea**: Measures dividend payout relative to market capitalization **Construction Process**: Calculated as: $ \text{Dividend Yield} = \frac{\text{Annual Dividend}}{\text{Market Capitalization}} $ **Evaluation**: Indicates shareholder returns through dividends[13] - **Factor Name**: 1-month turnover rate volatility **Construction Idea**: Tracks the standard deviation of turnover rates over the past month **Construction Process**: $ \text{Turnover Rate Volatility} = \text{Standard Deviation of Daily Turnover Rates (Last 20 Days)} $ **Evaluation**: Reflects liquidity stability[13] Factor Backtesting Results - **bp**: Weekly IC 5.34%, Monthly IC 5.55%, Annual IC 1.76%, Historical IC 1.95%[8] Weekly excess return 0.20%, Monthly excess return 0.46%, Annual excess return 3.36%, Historical cumulative excess return 24.65%[10] - **bp three-year percentile**: Weekly IC 16.49%, Monthly IC 7.73%, Annual IC 2.81%, Historical IC 1.43%[8] Weekly excess return 1.02%, Monthly excess return 1.44%, Annual excess return 4.22%, Historical cumulative excess return -4.34%[10] - **Quarterly ep**: Weekly IC 14.19%, Monthly IC 7.50%, Annual IC 0.63%, Historical IC 1.32%[8] Weekly excess return 0.45%, Monthly excess return 2.65%, Annual excess return 3.46%, Historical cumulative excess return 30.85%[10] - **Quarterly ep one-year percentile**: Weekly IC 6.12%, Monthly IC 2.81%, Annual IC 1.13%, Historical IC 1.69%[8] Weekly excess return 0.40%, Monthly excess return 0.23%, Annual excess return 7.17%, Historical cumulative excess return 34.94%[10] - **Quarterly sp**: Weekly IC 4.90%, Monthly IC 1.26%, Annual IC 0.33%, Historical IC 0.74%[8] Weekly excess return 0.00%, Monthly excess return -0.55%, Annual excess return 1.08%, Historical cumulative excess return -2.52%[10] - **Quarterly sp one-year percentile**: Weekly IC 9.34%, Monthly IC 4.43%, Annual IC 2.73%, Historical IC 1.72%[8] Weekly excess return 0.27%, Monthly excess return 0.69%, Annual excess return 6.53%, Historical cumulative excess return 1.81%[10] - **Quarterly ROA**: Weekly IC 13.83%, Monthly IC 6.81%, Annual IC 0.59%, Historical IC 1.24%[8] Weekly excess return 0.38%, Monthly excess return 2.52%, Annual excess return 4.27%, Historical cumulative excess return 25.60%[10] - **Quarterly ROE**: Weekly IC 13.62%, Monthly IC 6.93%, Annual IC 0.58%, Historical IC 1.39%[8] Weekly excess return 0.24%, Monthly excess return 1.81%, Annual excess return 2.47%, Historical cumulative excess return 31.72%[10]