Quantitative Factors and Construction Methods 1. Factor Name: Valuation Deviation (EPD) Factor - **Construction Idea**: Combines the mean-reversion strategy commonly used in CTA with the valuation repair logic of fundamentals, leveraging the mean-reversion characteristics of the PE valuation metric[7][2] - **Construction Process**: - Utilize the mean-reversion property of the PE ratio to construct the EPD factor[7] - The factor captures valuation deviations based on historical PE levels[7] - **Evaluation**: Reflects the valuation deviation of stocks, providing a basis for mean-reversion strategies[7] 2. Factor Name: Slow Deviation (EPDS) Factor - **Construction Idea**: Removes the impact of changes in individual stock valuation logic by using the EPD factor to exclude stocks with altered valuation logic, represented by the stock's information ratio[7][2] - **Construction Process**: - Use the EPD factor as a base - Exclude stocks with high probabilities of valuation logic changes, as proxied by their information ratios[7] - **Evaluation**: Focuses on stocks with stable valuation logic, enhancing the robustness of the factor[7] 3. Factor Name: Valuation Anomaly (EPA) Factor - **Construction Idea**: Further removes the influence of beta, growth, and value styles from the EPDS factor to isolate the "valuation anomaly" logic[7][2] - **Construction Process**: - Start with the EPDS factor - Adjust for beta, growth, and value style influences to refine the factor[7] - **Evaluation**: Provides a purer measure of valuation anomalies, making it more effective for stock selection[7] --- Factor Backtesting Results 1. Valuation Deviation (EPD) Factor - Annualized Return: 17.47%[2][8][12] - Annualized Volatility: 9.94%[2][8][12] - IR: 1.76[2][8][12] - Monthly Win Rate: 70.59%[2][8][12] - Maximum Drawdown: 8.93%[2][8][12] 2. Slow Deviation (EPDS) Factor - Annualized Return: 16.12%[2][8][12] - Annualized Volatility: 5.74%[2][8][12] - IR: 2.81[2][8][12] - Monthly Win Rate: 78.61%[2][8][12] - Maximum Drawdown: 3.10%[2][8][12] 3. Valuation Anomaly (EPA) Factor - Annualized Return: 17.29%[2][8][12] - Annualized Volatility: 5.14%[2][8][12] - IR: 3.37[2][8][12] - Monthly Win Rate: 80.75%[2][8][12] - Maximum Drawdown: 3.12%[2][8][12]

Quantitative Models and Construction Methods Model Name: EPD (Valuation Deviation Factor) - **Construction Idea**: Combining the Bollinger Bands mean reversion strategy commonly used in the CTA field with the logic of fundamental valuation repair, utilizing the mean reversion characteristic of the PE valuation indicator[7] - **Construction Process**: - Calculate the PE ratio for each stock - Apply the Bollinger Bands mean reversion strategy to identify valuation deviations - Construct the EPD factor based on these deviations[7] - **Evaluation**: The EPD factor aims to capture valuation deviations and mean reversion opportunities in the market[7] Model Name: EPDS (Slow Deviation Factor) - **Construction Idea**: To eliminate the impact of changes in individual stock valuation logic, use the EPD factor to exclude the probability of individual stock valuation logic changes (represented by the stock's information ratio)[7] - **Construction Process**: - Start with the EPD factor - Adjust the EPD factor by excluding stocks with high probabilities of valuation logic changes, as indicated by their information ratios[7] - **Evaluation**: The EPDS factor refines the EPD factor by focusing on stocks with stable valuation logic, reducing noise from valuation changes[7] Model Name: EPA (Valuation Anomaly Factor) - **Construction Idea**: Further exclude the influence of Beta, growth, and value styles on the "valuation anomaly" logic to construct the EPA factor[7] - **Construction Process**: - Begin with the EPDS factor - Adjust for Beta, growth, and value style influences to isolate the valuation anomaly component[7] - **Evaluation**: The EPA factor aims to capture pure valuation anomalies by removing style influences, providing a clearer signal[7] Model Backtesting Results EPD Factor - **Annualized Return**: 17.61%[2][8][13] - **Annualized Volatility**: 9.98%[2][8][13] - **Information Ratio (IR)**: 1.76[2][8][13] - **Monthly Win Rate**: 70.81%[2][8][13] - **Maximum Drawdown**: 8.93%[2][8][13] EPDS Factor - **Annualized Return**: 16.27%[2][8][13] - **Annualized Volatility**: 5.70%[2][8][13] - **Information Ratio (IR)**: 2.85[2][8][13] - **Monthly Win Rate**: 78.92%[2][8][13] - **Maximum Drawdown**: 3.10%[2][8][13] EPA Factor - **Annualized Return**: 17.25%[2][8][13] - **Annualized Volatility**: 5.10%[2][8][13] - **Information Ratio (IR)**: 3.38[2][8][13] - **Monthly Win Rate**: 81.08%[2][8][13] - **Maximum Drawdown**: 3.12%[2][8][13] Factor Performance in June - **EPA Factor Long Portfolio Return**: 7.40%[2][15] - **EPA Factor Short Portfolio Return**: 5.61%[2][15] - **EPA Factor Long-Short Portfolio Return**: 1.78%[2][15]

证券研究报告·金融工程·金工定期报告 金工定期报告 20250507 估值异常因子绩效月报 20250430 2025 年 05 月 07 日 [Table_Tag] [Table_Summary] 报告要点 ◼ 估值偏离 EPD 因子多空对冲绩效（全市场）：2010 年 2 月至 2025 年 4 月，估值偏离 EPD 因子在全体 A 股（剔除北交所股票）中，5 分组多 空对冲的年化收益为 17.65%，年化波动为 10.02%，信息比率为 1.76， 月度胜率为 71.04%，月度最大回撤为 8.93%。 ◼ 缓慢偏离 EPDS 因子多空对冲绩效（全市场）：2010 年 2 月至 2025 年 4 月，缓慢偏离 EPDS 因子在全体 A 股（剔除北交所股票）中，5 分组 多空对冲的年化收益为 16.31%，年化波动为 5.73%，信息比率为 2.85， 月度胜率为 79.23%，月度最大回撤为 3.10%。 ◼ 估值异常 EPA 因子多空对冲绩效（全市场）：2010 年 2 月至 2025 年 4 月，估值异常 EPA 因子在全体 A 股（剔除北交所股票）中，5 分组多空 对冲的年化收益为 17.30%， ...