- The report tracks the performance of Guosen JinGong's index enhancement portfolios and public fund index enhancement products, as well as monitors the performance of common stock selection factors across different sample spaces[11][12][15] - Guosen JinGong's index enhancement portfolios are constructed based on three main components: return prediction, risk control, and portfolio optimization. These portfolios are benchmarked against indices such as CSI 300, CSI 500, CSI 1000, and CSI A500[12][14] - The report introduces the concept of Maximized Factor Exposure (MFE) portfolios to test the effectiveness of single factors under real-world constraints. The optimization model maximizes single-factor exposure while controlling for style, industry, stock weight deviations, and other constraints[41][42][43] - The optimization model for MFE portfolios is expressed as: $\begin{array}{ll}max&f^{T}\ w\\ s.t.&s_{l}\leq X(w-w_{b})\leq s_{h}\\ &h_{l}\leq H(w-w_{b})\leq h_{h}\\ &w_{l}\leq w-w_{b}\leq w_{h}\\ &b_{l}\leq B_{b}w\leq b_{h}\\ &\mathbf{0}\leq w\leq l\\ &\mathbf{1}^{T}\ w=1\end{array}$ where `f` represents factor values, `w` is the stock weight vector, and constraints include style exposure, industry exposure, stock weight deviations, and component stock weight limits[41][42] - The report tracks the performance of single-factor MFE portfolios across different sample spaces, including CSI 300, CSI 500, CSI 1000, CSI A500, and public fund heavy positions index. Factors are evaluated based on their excess returns relative to benchmarks[15][18][26] - Common stock selection factors are categorized into valuation, reversal, growth, profitability, liquidity, company governance, and analyst dimensions. Examples include BP (Book-to-Price), ROA (Return on Assets), and one-year momentum[16][17] - In the CSI 300 sample space, factors such as single-season ROA, standardized unexpected income, and standardized unexpected earnings performed well recently, while factors like one-month volatility and three-month volatility performed poorly[19] - In the CSI 500 sample space, factors such as one-year momentum and standardized unexpected earnings showed strong performance recently, while factors like one-month turnover and three-month volatility underperformed[21] - In the CSI 1000 sample space, factors such as one-year momentum and standardized unexpected earnings performed well recently, while factors like BP and single-season SP (Sales-to-Price) performed poorly[23] - In the CSI A500 sample space, factors such as DELTAROA (Change in ROA) and standardized unexpected income performed well recently, while factors like three-month volatility and one-month turnover performed poorly[25] - In the public fund heavy positions index sample space, factors such as one-year momentum and DELTAROA performed well recently, while factors like one-month turnover and three-month turnover underperformed[27] - Public fund index enhancement products are tracked for their excess returns relative to benchmarks. For CSI 300 products, recent weekly excess returns ranged from -1.41% to 1.91%, with a median of -0.09%[32] - For CSI 500 products, recent weekly excess returns ranged from -2.05% to 0.52%, with a median of -0.51%[34] - For CSI 1000 products, recent weekly excess returns ranged from -1.70% to 0.94%, with a median of -0.53%[37] - For CSI A500 products, recent weekly excess returns ranged from -1.10% to 0.71%, with a median of -0.25%[40]

Quantitative Factors and Construction Methods 1. Factor Name: BP (Book-to-Price Ratio) - **Factor Construction Idea**: Measures the valuation of a stock by comparing its book value to its market value [13] - **Factor Construction Process**: - Formula: $ BP = \frac{\text{Current Net Asset}}{\text{Current Total Market Value}} $ [13] 2. Factor Name: BP Three-Year Percentile - **Factor Construction Idea**: Evaluates the relative valuation of a stock over the past three years [13] - **Factor Construction Process**: - Formula: $ \text{BP Three-Year Percentile} = \text{Percentile of Current BP in the Last Three Years} $ [13] 3. Factor Name: Quarterly EP (Earnings-to-Price Ratio) - **Factor Construction Idea**: Measures profitability relative to market value on a quarterly basis [13] - **Factor Construction Process**: - Formula: $ \text{Quarterly EP} = \frac{\text{Quarterly Net Profit}}{\text{Net Asset}} $ [13] 4. Factor Name: Quarterly EP One-Year Percentile - **Factor Construction Idea**: Tracks the relative profitability of a stock over the past year [13] - **Factor Construction Process**: - Formula: $ \text{Quarterly EP One-Year Percentile} = \text{Percentile of Current Quarterly EP in the Last Year} $ [13] 5. Factor Name: Quarterly SP (Sales-to-Price Ratio) - **Factor Construction Idea**: Measures revenue generation relative to market value on a quarterly basis [13] - **Factor Construction Process**: - Formula: $ \text{Quarterly SP} = \frac{\text{Quarterly Operating Revenue}}{\text{Net Asset}} $ [13] 6. Factor Name: Quarterly SP One-Year Percentile - **Factor Construction Idea**: Tracks the relative revenue generation of a stock over the past year [13] - **Factor Construction Process**: - Formula: $ \text{Quarterly SP One-Year Percentile} = \text{Percentile of Current Quarterly SP in the Last Year} $ [13] 7. Factor Name: Quarterly Gross Margin - **Factor Construction Idea**: Measures profitability efficiency by comparing gross profit to sales revenue [13] - **Factor Construction Process**: - Formula: $ \text{Quarterly Gross Margin} = \frac{\text{Quarterly Gross Profit}}{\text{Quarterly Sales Revenue}} $ [13] 8. Factor Name: Standardized Unexpected Earnings (SUE) - **Factor Construction Idea**: Quantifies earnings surprises relative to historical growth trends [13] - **Factor Construction Process**: - Formula: $ \text{SUE} = \frac{\text{Current Quarterly Net Profit} - (\text{Last Year Same Quarter Net Profit} + \text{Average Growth of Last 8 Quarters})}{\text{Standard Deviation of Growth in Last 8 Quarters}} $ [13] 9. Factor Name: Standardized Unexpected Revenue (SUR) - **Factor Construction Idea**: Quantifies revenue surprises relative to historical growth trends [13] - **Factor Construction Process**: - Formula: $ \text{SUR} = \frac{\text{Current Quarterly Revenue} - (\text{Last Year Same Quarter Revenue} + \text{Average Growth of Last 8 Quarters})}{\text{Standard Deviation of Growth in Last 8 Quarters}} $ [13] 10. Factor Name: 1-Month Turnover Rate and Price Correlation - **Factor Construction Idea**: Measures the relationship between turnover rate and price over the past month [13] - **Factor Construction Process**: - Formula: $ \text{Correlation} = \text{Correlation Coefficient of Turnover Rate and Price over the Last 20 Trading Days} $ [13] --- Factor Backtesting Results IC Performance - **BP**: Weekly IC: -7.07%, Monthly IC: 0.84%, Yearly IC: 1.37%, Historical IC: 2.35% [9] - **BP Three-Year Percentile**: Weekly IC: -4.35%, Monthly IC: -0.95%, Yearly IC: 2.26%, Historical IC: 1.73% [9] - **Quarterly EP**: Weekly IC: 4.35%, Monthly IC: 0.50%, Yearly IC: -0.03%, Historical IC: 1.07% [9] - **Quarterly EP One-Year Percentile**: Weekly IC: -0.91%, Monthly IC: 2.98%, Yearly IC: 1.21%, Historical IC: 1.72% [9] - **Quarterly SP**: Weekly IC: -1.33%, Monthly IC: 0.50%, Yearly IC: 0.45%, Historical IC: 0.70% [9] - **Quarterly SP One-Year Percentile**: Weekly IC: 1.57%, Monthly IC: 1.02%, Yearly IC: 2.99%, Historical IC: 1.87% [9] - **Quarterly Gross Margin**: Weekly IC: 7.04%, Monthly IC: 0.06%, Yearly IC: 0.49%, Historical IC: 0.50% [9] - **SUE**: Weekly IC: 4.59%, Monthly IC: 4.44%, Yearly IC: 0.87%, Historical IC: 0.97% [9] - **SUR**: Weekly IC: 3.53%, Monthly IC: 2.05%, Yearly IC: 0.98%, Historical IC: 0.86% [9] - **1-Month Turnover Rate and Price Correlation**: Weekly IC: 10.17%, Monthly IC: 2.65%, Yearly IC: 2.75%, Historical IC: 1.69% [9] Excess Return of Long-Only Portfolios - **BP**: Weekly: -0.90%, Monthly: 0.06%, Yearly: -0.30%, Historical: 33.52% [11] - **BP Three-Year Percentile**: Weekly: -0.60%, Monthly: -2.29%, Yearly: -0.76%, Historical: -1.67% [11] - **Quarterly EP**: Weekly: -0.16%, Monthly: 0.58%, Yearly: 2.84%, Historical: 29.38% [11] - **Quarterly EP One-Year Percentile**: Weekly: -0.61%, Monthly: 0.55%, Yearly: 3.45%, Historical: 31.87% [11] - **Quarterly SP**: Weekly: -0.39%, Monthly: 0.15%, Yearly: 0.93%, Historical: -3.80% [11] - **Quarterly SP One-Year Percentile**: Weekly: -0.30%, Monthly: -0.19%, Yearly: 10.46%, Historical: -0.86% [11] - **Quarterly Gross Margin**: Weekly: -0.09%, Monthly: -0.15%, Yearly: 5.26%, Historical: 15.26% [11] - **SUE**: Weekly: 0.92%, Monthly: 2.09%, Yearly: -0.37%, Historical: 6.59% [11] - **SUR**: Weekly: 0.83%, Monthly: 1.29%, Yearly: 1.23%, Historical: 13.76% [11] - **1-Month Turnover Rate and Price Correlation**: Weekly: 0.13%, Monthly: 1.11%, Yearly: 7.31%, Historical: 20.14% [11]

Quantitative Factors and Construction Methods Factor Name: bp - **Construction Idea**: Represents the valuation level of a stock by comparing its book value to its market value [13] - **Construction Process**: Calculated as: $ bp = \frac{\text{Current Net Asset}}{\text{Current Total Market Value}} $ [13] Factor Name: bp three-year percentile - **Construction Idea**: Measures the relative valuation of a stock over the past three years [13] - **Construction Process**: Represents the percentile rank of the current bp value within the last three years [13] Factor Name: Quarterly ep - **Construction Idea**: Evaluates profitability by comparing quarterly net profit to net assets [13] - **Construction Process**: Calculated as: $ \text{Quarterly ep} = \frac{\text{Quarterly Net Profit}}{\text{Net Assets}} $ [13] Factor Name: Quarterly ep one-year percentile - **Construction Idea**: Tracks the relative profitability of a stock over the past year [13] - **Construction Process**: Represents the percentile rank of the current quarterly ep value within the last year [13] Factor Name: Quarterly sp - **Construction Idea**: Measures operational efficiency by comparing quarterly revenue to net assets [13] - **Construction Process**: Calculated as: $ \text{Quarterly sp} = \frac{\text{Quarterly Revenue}}{\text{Net Assets}} $ [13] Factor Name: Quarterly sp one-year percentile - **Construction Idea**: Tracks the relative operational efficiency of a stock over the past year [13] - **Construction Process**: Represents the percentile rank of the current quarterly sp value within the last year [13] Factor Name: Quarterly net profit YoY growth - **Construction Idea**: Measures the growth rate of quarterly net profit compared to the same period last year [13] - **Construction Process**: Calculated as: $ \text{Quarterly Net Profit YoY Growth} = \frac{\text{Current Quarter Net Profit} - \text{Last Year Same Quarter Net Profit}}{\text{Last Year Same Quarter Net Profit}} $ [13] Factor Name: Standardized unexpected earnings - **Construction Idea**: Quantifies the deviation of current earnings from expected levels based on historical trends [13] - **Construction Process**: Calculated as: $ \text{Standardized Unexpected Earnings} = \frac{\text{Current Quarter Net Profit} - (\text{Last Year Same Quarter Net Profit} + \text{Average YoY Growth of Last 8 Quarters})}{\text{Standard Deviation of YoY Growth of Last 8 Quarters}} $ [13] Factor Name: Dividend yield - **Construction Idea**: Measures the return to shareholders through dividends relative to the stock's market value [13] - **Construction Process**: Calculated as: $ \text{Dividend Yield} = \frac{\text{Last Year Dividend}}{\text{Current Market Value}} $ [13] --- Factor Backtesting Results IC Performance - **bp**: Weekly IC = 7.22%, Monthly IC = 3.46%, Yearly IC = 1.87%, Historical IC = 2.34% [9] - **bp three-year percentile**: Weekly IC = -1.28%, Monthly IC = 1.67%, Yearly IC = 2.48%, Historical IC = 1.68% [9] - **Quarterly ep**: Weekly IC = 6.27%, Monthly IC = 0.71%, Yearly IC = -0.44%, Historical IC = 1.09% [9] - **Quarterly ep one-year percentile**: Weekly IC = 7.04%, Monthly IC = 2.84%, Yearly IC = 0.95%, Historical IC = 1.72% [9] - **Quarterly sp**: Weekly IC = 2.97%, Monthly IC = 0.68%, Yearly IC = 0.50%, Historical IC = 0.72% [9] - **Quarterly sp one-year percentile**: Weekly IC = -1.88%, Monthly IC = 2.56%, Yearly IC = 2.85%, Historical IC = 1.83% [9] - **Quarterly net profit YoY growth**: Weekly IC = 7.35%, Monthly IC = 2.60%, Yearly IC = 0.60%, Historical IC = 1.28% [9] - **Standardized unexpected earnings**: Weekly IC = 7.52%, Monthly IC = 3.04%, Yearly IC = 0.60%, Historical IC = 0.97% [9] - **Dividend yield**: Weekly IC = 3.43%, Monthly IC = 0.78%, Yearly IC = -0.36%, Historical IC = 0.61% [9] Long-only Portfolio Performance - **bp**: Weekly Excess Return = 0.39%, Monthly Excess Return = 0.53%, Yearly Excess Return = 1.50%, Historical Cumulative Excess Return = 31.88% [11] - **bp three-year percentile**: Weekly Excess Return = -0.16%, Monthly Excess Return = -1.08%, Yearly Excess Return = 0.42%, Historical Cumulative Excess Return = -2.91% [11] - **Quarterly ep**: Weekly Excess Return = 0.56%, Monthly Excess Return = 1.22%, Yearly Excess Return = 3.02%, Historical Cumulative Excess Return = 30.83% [11] - **Quarterly ep one-year percentile**: Weekly Excess Return = 0.24%, Monthly Excess Return = 0.71%, Yearly Excess Return = 3.76%, Historical Cumulative Excess Return = 32.90% [11] - **Quarterly sp**: Weekly Excess Return = -0.25%, Monthly Excess Return = 0.10%, Yearly Excess Return = 1.18%, Historical Cumulative Excess Return = -2.98% [11] - **Quarterly sp one-year percentile**: Weekly Excess Return = -0.43%, Monthly Excess Return = 0.20%, Yearly Excess Return = 8.26%, Historical Cumulative Excess Return = -0.57% [11] - **Quarterly net profit YoY growth**: Weekly Excess Return = 0.47%, Monthly Excess Return = 1.56%, Yearly Excess Return = 9.60%, Historical Cumulative Excess Return = 36.36% [11] - **Standardized unexpected earnings**: Weekly Excess Return = 0.57%, Monthly Excess Return = 0.97%, Yearly Excess Return = -3.21%, Historical Cumulative Excess Return = 7.84% [11] - **Dividend yield**: Weekly Excess Return = 0.63%, Monthly Excess Return = 1.27%, Yearly Excess Return = -4.27%, Historical Cumulative Excess Return = 12.82% [11]