Quantitative Models and Construction Methods Model Name: MFE (Maximized Factor Exposure) Portfolio - **Model Construction Idea**: The MFE portfolio aims to maximize the exposure to a single factor while controlling for various constraints such as industry exposure, style exposure, and stock weight limits[75][76]. - **Model Construction Process**: - The optimization model is formulated as follows: $$ \begin{array}{ll} \text{max} & f^{T}w \\ \text{s.t.} & s_{l} \leq X(w-w_{b}) \leq s_{h} \\ & h_{l} \leq H(w-w_{b}) \leq h_{h} \\ & w_{l} \leq w-w_{b} \leq w_{h} \\ & b_{l} \leq B_{b}w \leq b_{h} \\ & 0 \leq w \leq l \\ & 1^{T}w = 1 \\ & \Sigma|w-w_{0}| \leq to_{h} \end{array} $$ - **Explanation**: - \( f \): Factor values - \( w \): Stock weight vector to be solved - Constraints include style exposure, industry exposure, stock weight deviation, component stock weight limits, and turnover rate[75][76][77]. - The model is solved using linear programming to efficiently determine the optimal weights[76]. - **Model Evaluation**: The MFE portfolio is evaluated based on its historical performance relative to the benchmark index, considering constraints such as industry and style exposures[78][79]. Quantitative Factors and Construction Methods Factor Name: Trend - **Factor Construction Idea**: The Trend factor captures the momentum of stock prices over different time horizons[12][17]. - **Factor Construction Process**: - **Trend_120**: $$ \text{EWMA}(\text{halflife}=20) / \text{EWMA}(\text{halflife}=120) $$ - **Trend_240**: $$ \text{EWMA}(\text{halflife}=20) / \text{EWMA}(\text{halflife}=240) $$ - **Factor Evaluation**: The Trend factor showed a positive return of 2.15% this week, indicating a strong market preference for trend-following strategies[12]. Factor Name: Single Quarter Net Profit YoY Growth - **Factor Construction Idea**: This factor measures the year-over-year growth in net profit for a single quarter[2][8]. - **Factor Construction Process**: - Calculation: $$ \text{Single Quarter Net Profit YoY Growth} = \frac{\text{Current Quarter Net Profit} - \text{Previous Year Same Quarter Net Profit}}{\text{Previous Year Same Quarter Net Profit}} $$ - **Factor Evaluation**: This factor performed the best among the CSI All Share Index components this week[2][8]. Factor Backtesting Results Trend Factor - **Recent Week**: 2.15%[12] - **Recent Month**: 5.62%[14] - **Year-to-Date**: -1.74%[14] - **Last Year**: 26.90%[14] - **Historical Annualized**: 14.22%[14] Single Quarter Net Profit YoY Growth Factor - **Recent Week**: 1.69%[57] - **Recent Month**: 3.19%[57] - **Year-to-Date**: 8.08%[57] - **Last Year**: 3.65%[57] - **Historical Annualized**: 3.20%[57]