Quantitative Models and Construction 1. Model Name: GRU (Gated Recurrent Unit) Models - **Model Construction Idea**: GRU models are used to capture sequential patterns in stock price movements and combine fundamental and technical features for prediction[3][4] - **Model Construction Process**: - The GRU models are trained on historical stock data, incorporating both fundamental and technical indicators as input features - Different variations of GRU models are used, such as `open1d`, `close1d`, and `barra1d`, which focus on specific aspects of stock price movements (e.g., open prices, close prices, or Barra-style factor adjustments)[4][5][6] - **Model Evaluation**: GRU models show mixed performance, with some models like `barra1d` performing well, while others like `close1d` exhibit significant drawdowns[5][6][8] --- Backtesting Results of Models GRU Models - **open1d**: Weekly excess return: -0.23%, Monthly: 2.34%, YTD: 6.70%[31][32] - **close1d**: Weekly excess return: 0.06%, Monthly: 3.83%, YTD: 5.55%[31][32] - **barra1d**: Weekly excess return: 0.00%, Monthly: 0.34%, YTD: 3.33%[31][32] - **barra5d**: Weekly excess return: 0.10%, Monthly: 2.88%, YTD: 7.01%[31][32] --- Quantitative Factors and Construction 1. Factor Name: Beta - **Factor Construction Idea**: Measures the historical sensitivity of a stock's returns to market returns[15] - **Factor Construction Process**: Calculated as the historical beta of the stock relative to the market[15] 2. Factor Name: Momentum - **Factor Construction Idea**: Captures the average historical excess returns of a stock over a specific period[15] - **Factor Construction Process**: - Momentum = Mean of historical excess return series[15] 3. Factor Name: Volatility - **Factor Construction Idea**: Measures the variability of a stock's excess returns over time[15] - **Factor Construction Process**: - Volatility = 0.74 * Historical excess return volatility + 0.16 * Cumulative excess return deviation + 0.10 * Residual return volatility[15] 4. Factor Name: Valuation - **Factor Construction Idea**: Represents the inverse of the price-to-book ratio, indicating undervaluation[15] - **Factor Construction Process**: - Valuation = 1 / Price-to-Book Ratio[15] 5. Factor Name: Growth - **Factor Construction Idea**: Measures the growth potential of a stock based on earnings and revenue growth[15] - **Factor Construction Process**: - Growth = 0.24 * Earnings Growth Rate + 0.47 * Revenue Growth Rate[15] 6. Factor Name: Profitability - **Factor Construction Idea**: Combines various profitability metrics to assess a stock's financial health[15] - **Factor Construction Process**: - Profitability = 0.68 * Analyst Forecast Earnings Yield + 0.21 * Inverse of Price-to-Cash Flow Ratio + 0.11 * Inverse of Price-to-Earnings Ratio (TTM) + 0.18 * Analyst Forecast Long-Term Growth Rate + 0.11 * Analyst Forecast Short-Term Growth Rate[15] --- Backtesting Results of Factors Fundamental Factors - **Static Financial Factors**: Weekly excess return: Negative[4][6] - **Growth Factors**: Weekly excess return: Positive[4][6] - **Surprise Growth Factors**: Weekly excess return: Positive[4][6] Technical Factors - **Short-Term Momentum**: Weekly excess return: Negative[4][6] - **Long-Term Momentum**: Weekly excess return: Positive[4][6] - **Volatility**: Weekly excess return: Positive[4][6] GRU Factors - **open1d**: Weekly excess return: Positive[4][6] - **close1d**: Weekly excess return: Negative[5][6] - **barra1d**: Weekly excess return: Positive[5][6]