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[10]. - **Model Construction Process**: - **Return Prediction**: Predicting the returns of stocks within the benchmark index. - **Risk Control**: Implementing risk control measures to manage the portfolio's risk exposure. - **Portfolio Optimization**: Optimizing the portfolio to maximize returns while adhering to the risk constraints[11]. - **Model Evaluation**: The model is designed to consistently outperform its benchmarks by leveraging multiple factors and optimizing the portfolio accordingly[10][11]. Model Backtesting Results - **Guosen JinGong Index Enhanced Portfolio**: - **CSI 300 Index Enhanced Portfolio**: Weekly excess return 0.51%, annual excess return 21.85%[4][13]. - **CSI 500 Index Enhanced Portfolio**: Weekly excess return -0.73%, annual excess return 6.17%[4][13]. - **CSI 1000 Index Enhanced Portfolio**: Weekly excess return -1.12%, annual excess return 15.93%[4][13]. - **CSI A500 Index Enhanced Portfolio**: Weekly excess return -0.28%, annual excess return 10.62%[4][13]. Quantitative Factors and Construction Methods Factor Name: Momentum - **Factor Construction Idea**: The momentum factor captures the tendency of stocks that have performed well in the past to continue performing well in the future[15]. - **Factor Construction Process**: - **One-Year Momentum**: Calculated as the return of a stock over the past year, excluding the most recent month[15]. - **Formula**: $ \text{One-Year Momentum} = \text{Return}_{t-12} - \text{Return}_{t-1} $[15]. - **Factor Evaluation**: The momentum factor is effective in identifying stocks with strong past performance that are likely to continue performing well[15]. Factor Name: Standardized Unexpected Earnings (SUE) - **Factor Construction Idea**: The SUE factor measures the difference between actual and expected earnings, standardized by the standard deviation of expected earnings[15]. - **Factor Construction Process**: - **SUE Calculation**: $ \text{SUE} = \frac{\text{Actual Earnings} - \text{Expected Earnings}}{\text{Standard Deviation of Expected Earnings}} $[15]. - **Factor Evaluation**: The SUE factor is useful in identifying stocks with earnings surprises, which can lead to significant price movements[15]. Factor Name: Expected Net Profit QoQ - **Factor Construction Idea**: This factor measures the quarter-over-quarter change in expected net profit[15]. - **Factor Construction Process**: - **Calculation**: $ \text{Expected Net Profit QoQ} = \frac{\text{Expected Net Profit}_{t} - \text{Expected Net Profit}_{t-1}}{\text{Expected Net Profit}_{t-1}} $[15]. - **Factor Evaluation**: The factor is effective in identifying stocks with improving earnings expectations, which can lead to positive price movements[15]. Factor Backtesting Results - **CSI 300 Index**: - **One-Year Momentum**: Weekly excess return 1.09%, monthly excess return 2.08%, annual excess return 3.27%, historical annualized return 2.75%[18]. - **Standardized Unexpected Earnings**: Weekly excess return 0.87%, monthly excess return 2.24%, annual excess return 12.16%, historical annualized return 4.18%[18]. - **Expected Net Profit QoQ**: Weekly excess return 0.86%, monthly excess return 1.50%, annual excess return 6.56%, historical annualized return 1.72%[18]. - **CSI 500 Index**: - **Expected Net Profit QoQ**: Weekly excess return 0.73%, monthly excess return 1.98%, annual excess return 15.82%, historical annualized return 4.80%[20]. - **Standardized Unexpected Earnings**: Weekly excess return 0.72%, monthly excess return 2.48%, annual excess return 18.17%, historical annualized return 4.51%[20]. - **DELTAROE**: Weekly excess return 0.57%, monthly excess return 2.27%, annual excess return 11.09%, historical annualized return 5.36%[20]. - **CSI 1000 Index**: - **One-Month Reversal**: Weekly excess return 1.23%, monthly excess return 0.00%, annual excess return -2.94%, historical annualized return -3.76%[22]. - **Single-Quarter Revenue YoY Growth**: Weekly excess return 1.08%, monthly excess return 3.27%, annual excess return 23.01%, historical annualized return 5.16%[22]. - **Standardized Unexpected Revenue**: Weekly excess return 0.66%, monthly excess return 2.21%, annual excess return 21.47%, historical annualized return 6.55%[22]. - **CSI A500 Index**: - **Expected Net Profit QoQ**: Weekly excess return 1.89%, monthly excess return 1.49%, annual excess return 8.61%, historical annualized return 3.73%[24]. - **One-Year Momentum**: Weekly excess return 1.39%, monthly excess return 2.42%, annual excess return 2.76%, historical annualized return 1.81%[24]. - **Standardized Unexpected Earnings**: Weekly excess return 1.28%, monthly excess return 3.29%, annual excess return 14.02%, historical annualized return 5.92%[24]. - **Public Fund Heavyweight Index**: - **One-Year Momentum**: Weekly excess return 1.61%, monthly excess return 2.90%, annual excess return 4.13%, historical annualized return 15.48%[26]. - **Expected Net Profit QoQ**: Weekly excess return 0.70%, monthly excess return 2.31%, annual excess return 3.36%, historical annualized return 11.90%[26]. - **Single-Quarter Net Profit YoY Growth**: Weekly excess return 0.58%, monthly excess return 2.13%, annual excess return 2.95%, historical annualized return 9.10%[26].