Quantitative Models and Factors Summary Quantitative Models and Construction Methods Model Name: Guosen JinGong Index Enhancement Portfolio - **Model Construction Idea**: The model aims to outperform the benchmark indices (CSI 300, CSI 500, and CSI 1000) by using multi-factor stock selection, risk control, and portfolio optimization[11][12] - **Model Construction Process**: - **Return Prediction**: Predicting stock returns using multiple factors - **Risk Control**: Controlling the risk exposure of the portfolio - **Portfolio Optimization**: Optimizing the portfolio to maximize returns while adhering to risk constraints - **Formula**: $$ \begin{array}{ll} \text{max} & f^{T} w \\ \text{s.t.} & s_{l} \leq X(w - w_{b}) \leq s_{h} \\ & h_{l} \leq H(w - w_{b}) \leq h_{h} \\ & w_{l} \leq w - w_{b} \leq w_{h} \\ & b_{l} \leq B_{b} w \leq b_{h} \\ & \mathbf{0} \leq w \leq l \\ & \mathbf{1}^{T} w = 1 \end{array} $$ - **Explanation**: - \( f \): Factor values - \( w \): Stock weight vector - \( X \): Factor exposure matrix - \( w_{b} \): Benchmark index component weights - \( s_{l}, s_{h} \): Lower and upper bounds for style factor exposure - \( H \): Industry exposure matrix - \( h_{l}, h_{h} \): Lower and upper bounds for industry exposure - \( w_{l}, w_{h} \): Lower and upper bounds for individual stock deviation - \( B_{b} \): 0-1 vector indicating whether a stock is a benchmark component - \( b_{l}, b_{h} \): Lower and upper bounds for component stock weight - \( l \): Upper limit for individual stock weight - \( \mathbf{1}^{T} w = 1 \): Full investment constraint[35][36][37] Model Backtest Results - **CSI 300 Index Enhancement Portfolio**: - Weekly excess return: 0.79% - Monthly excess return: 2.38%[5][14] - **CSI 500 Index Enhancement Portfolio**: - Weekly excess return: 0.58% - Monthly excess return: 2.73%[5][14] - **CSI 1000 Index Enhancement Portfolio**: - Weekly excess return: 1.17% - Monthly excess return: 4.33%[5][14] Quantitative Factors and Construction Methods Factor Name: BP (Book-to-Price Ratio) - **Factor Construction Idea**: Measures the valuation of a stock by comparing its book value to its market price[17] - **Factor Construction Process**: - **Formula**: $$ \text{BP} = \frac{\text{Net Assets}}{\text{Total Market Value}} $$ - **Explanation**: - Net Assets: The book value of the company's equity - Total Market Value: The market capitalization of the company[17] Factor Name: Expected BP - **Factor Construction Idea**: Uses consensus estimates to predict the book-to-price ratio[17] - **Factor Construction Process**: - **Formula**: $$ \text{Expected BP} = \frac{\text{Consensus Estimated Net Assets}}{\text{Total Market Value}} $$ - **Explanation**: - Consensus Estimated Net Assets: The average of analysts' estimates for the company's net assets - Total Market Value: The market capitalization of the company[17] Factor Name: Non-Liquidity Shock - **Factor Construction Idea**: Measures the impact of non-liquidity on stock returns[17] - **Factor Construction Process**: - **Formula**: $$ \text{Non-Liquidity Shock} = \frac{\sum_{i=1}^{20} |\text{Daily Return}_i|}{\text{Average Trading Volume}} $$ - **Explanation**: - Daily Return: The daily return of the stock - Average Trading Volume: The average trading volume over the past 20 trading days[17] Factor Backtest Results - **CSI 300 Index**: - **Best Performing Factors (Weekly)**: Expected BP, Expected Net Profit QoQ, BP - **Worst Performing Factors (Weekly)**: Specificity, Standardized Unexpected Revenue, Three-Month Institutional Coverage[1][18] - **CSI 500 Index**: - **Best Performing Factors (Weekly)**: Quarterly Net Profit YoY Growth, Standardized Unexpected Earnings, Quarterly Surprise Magnitude - **Worst Performing Factors (Weekly)**: Three-Month Reversal, One-Month Reversal, One-Year Momentum[1][20] - **CSI 1000 Index**: - **Best Performing Factors (Weekly)**: Expected PEG, Standardized Unexpected Revenue, BP - **Worst Performing Factors (Weekly)**: One-Month Reversal, Executive Compensation, DELTAROA[1][22] - **Public Fund Heavy Index**: - **Best Performing Factors (Weekly)**: Expected Net Profit QoQ, Standardized Unexpected Earnings, Quarterly Operating Profit YoY Growth - **Worst Performing Factors (Weekly)**: Three-Month Reversal, Executive Compensation, One-Month Reversal[2][24]

证券研究报告 | 2025年04月12日 低换手因子表现出色，中证 1000 指增组合年内超额 3.15% 核心观点 金融工程周报 国信金工指数增强组合表现跟踪 因子表现监控 以沪深 300 指数为选股空间。最近一周，非流动性冲击、三个月换手、一个 月换手等因子表现较好，而单季 EP、单季 ROE、预期 EPTTM 等因子表现 较差。最近一月，非流动性冲击、三个月换手、一个月反转等因子表现较好， 而单季 ROA、单季 ROE、单季 EP 等因子表现较差。 以中证 500 指数为选股空间。最近一周，预期净利润环比、非流动性冲击、 3 个月盈利上下调等因子表现较好，而 BP、预期 BP、单季 SP 等因子表现 较差。最近一月，一个月换手、股息率、预期净利润环比等因子表现较好， 而 BP、特异度、预期 BP 等因子表现较差。 以中证 1000 指数为选股空间。最近一周，三个月机构覆盖、三个月换手、 一个月换手等因子表现较好，而特异度、BP、预期 BP 等因子表现较差。最 近一月，一个月波动、一个月换手、三个月换手等因子表现较好，而特异度、 预期 PEG、预期净利润环比等因子表现较差。 以公募重仓指数为选股空间。最近 ...

Quantitative Models and Construction - **Model Name**: Broker Gold Stock Performance Enhanced Portfolio **Model Construction Idea**: The model aims to optimize the broker gold stock pool by leveraging multi-factor selection and portfolio optimization techniques to outperform the benchmark index, specifically the actively managed equity fund index[12][37][41] **Model Construction Process**: 1. Use the broker gold stock pool as the stock selection universe and constraint benchmark[37][41] 2. Apply multi-factor selection to identify stocks with high alpha potential[12][37] 3. Optimize the portfolio to control deviations in individual stocks and style factors relative to the broker gold stock pool[41] 4. Align industry allocation with the overall distribution of public equity funds[41] **Model Evaluation**: The model demonstrates stable performance, consistently outperforming the actively managed equity fund index annually from 2018 to 2022, ranking in the top 30% of active equity funds each year[12][42] Quantitative Factors and Construction - **Factor Name**: Single Quarter ROE **Factor Construction Idea**: Measures profitability and efficiency of equity utilization within a single quarter[3][26] **Factor Construction Process**: 1. Calculate the return on equity (ROE) for the latest quarter using the formula: $ ROE = \frac{Net\ Income}{Shareholders'\ Equity} $ 2. Rank stocks based on ROE values and group them into quintiles for analysis[26] **Factor Evaluation**: Demonstrates strong performance in the most recent month[3][26] - **Factor Name**: Single Quarter Net Profit Growth Rate **Factor Construction Idea**: Captures the growth momentum of companies by analyzing quarterly net profit changes[3][26] **Factor Construction Process**: 1. Compute the growth rate using the formula: $ Growth\ Rate = \frac{Net\ Profit_{Current\ Quarter} - Net\ Profit_{Previous\ Quarter}}{Net\ Profit_{Previous\ Quarter}} $ 2. Rank stocks based on growth rates and group them into quintiles for analysis[26] **Factor Evaluation**: Exhibits strong performance in the most recent month[3][26] - **Factor Name**: Analyst Net Upgrade Magnitude **Factor Construction Idea**: Reflects market sentiment by tracking the magnitude of analyst upgrades[3][26] **Factor Construction Process**: 1. Aggregate analyst upgrades for each stock over a defined period 2. Normalize the upgrade magnitude relative to the total number of analysts covering the stock 3. Rank stocks based on normalized upgrade magnitude and group them into quintiles for analysis[26] **Factor Evaluation**: Performs well in the most recent month[3][26] - **Factor Name**: Total Market Capitalization **Factor Construction Idea**: Represents the size of a company, often used as a proxy for stability and liquidity[3][26] **Factor Construction Process**: 1. Calculate market capitalization using the formula: $ Market\ Cap = Share\ Price \times Outstanding\ Shares $ 2. Rank stocks based on market capitalization and group them into quintiles for analysis[26] **Factor Evaluation**: Shows strong performance year-to-date[3][26] - **Factor Name**: Operating Cash Flow **Factor Construction Idea**: Measures the cash generated from core business operations, indicating financial health[3][26] **Factor Construction Process**: 1. Extract operating cash flow data from financial statements 2. Rank stocks based on operating cash flow and group them into quintiles for analysis[26] **Factor Evaluation**: Performs well year-to-date[3][26] - **Factor Name**: Standardized Unexpected Earnings (SUE) **Factor Construction Idea**: Quantifies earnings surprises relative to market expectations[3][26] **Factor Construction Process**: 1. Calculate SUE using the formula: $ SUE = \frac{Actual\ Earnings - Expected\ Earnings}{Standard\ Deviation\ of\ Earnings\ Forecasts} $ 2. Rank stocks based on SUE values and group them into quintiles for analysis[26] **Factor Evaluation**: Demonstrates strong performance year-to-date[3][26] Backtesting Results Model Backtesting Results - **Broker Gold Stock Performance Enhanced Portfolio**: - Absolute return (March 2025): 3.69%[5][40] - Excess return relative to actively managed equity fund index (March 2025): 3.39%[5][40] - Absolute return (Year-to-date 2025): 7.96%[5][40] - Excess return relative to actively managed equity fund index (Year-to-date 2025): 3.31%[5][40] - Active equity fund ranking (Year-to-date 2025): 21.13% percentile (733/3469)[5][40] Factor Backtesting Results - **Single Quarter ROE**: Positive performance in the most recent month[3][26] - **Single Quarter Net Profit Growth Rate**: Positive performance in the most recent month[3][26] - **Analyst Net Upgrade Magnitude**: Positive performance in the most recent month[3][26] - **Total Market Capitalization**: Positive performance year-to-date[3][26] - **Operating Cash Flow**: Positive performance year-to-date[3][26] - **SUE**: Positive performance year-to-date[3][26]

Group 1 - The core viewpoint of the article is to track the performance of index-enhanced portfolios and stock selection factors across different indices, highlighting their excess returns and factor effectiveness [1][2][3]. Group 2 - The performance of the CSI 300 index-enhanced portfolio showed an excess return of 0.15% for the week and 0.96% for the year [1][2]. - The performance of the CSI 500 index-enhanced portfolio indicated an excess return of -0.12% for the week and 1.77% for the year [1][2]. - The performance of the CSI 1000 index-enhanced portfolio reflected an excess return of -0.62% for the week and -0.14% for the year [1][2]. Group 3 - In the CSI 300 component stocks, factors such as dividend yield, DELTAROA, and three-month institutional coverage performed well [1]. - In the CSI 500 component stocks, factors like one-year momentum, DELTAROA, and standardized expected excess income showed strong performance [1]. - In the CSI 1000 component stocks, factors including quarterly net profit year-on-year growth, DELTAROA, and quarterly revenue year-on-year growth were effective [1]. Group 4 - The public fund index-enhanced products for the CSI 300 had a maximum excess return of 1.34% and a minimum of -0.63% for the week, with a median of 0.12% [1][17]. - The public fund index-enhanced products for the CSI 500 had a maximum excess return of 0.97% and a minimum of -0.82% for the week, with a median of 0.02% [1][19]. - The public fund index-enhanced products for the CSI 1000 had a maximum excess return of 1.24% and a minimum of -1.00% for the week, with a median of -0.01% [1][21].