Quantitative Factors and Construction Methods Factor Name: Small Market Capitalization - **Factor Construction Idea**: This factor captures the size effect, where smaller market capitalization stocks tend to outperform larger ones over time [8][10] - **Factor Construction Process**: The factor is calculated as the logarithm of the market capitalization of a stock [15] - **Factor Evaluation**: This factor performed well in the recent week, month, and year, indicating its robustness in capturing the size premium [8][10] Factor Name: 90-Day Analyst Coverage - **Factor Construction Idea**: Measures the level of analyst attention a stock receives, with higher coverage potentially indicating better information availability [8][14] - **Factor Construction Process**: The factor is calculated as the number of analysts covering the stock over the past 90 days [14] - **Factor Evaluation**: This factor showed strong performance in the recent week and month, though its annual performance was weaker [8][10] Factor Name: Turnover Rate Volatility (1-Month) - **Factor Construction Idea**: Captures the stability of trading activity, with higher volatility potentially indicating speculative behavior [8][10] - **Factor Construction Process**: The factor is calculated as the standard deviation of daily turnover rates over the past 20 trading days [14] - **Factor Evaluation**: This factor performed poorly in the recent week and month but showed strong performance over the past year [8][10] Factor Name: Fama-French 3-Factor 1-Month Residual Volatility - **Factor Construction Idea**: Measures the idiosyncratic risk of a stock after accounting for market, size, and value factors [8][14] - **Factor Construction Process**: The factor is calculated as the standard deviation of residuals from a regression of daily returns on the Fama-French 3 factors over the past 20 trading days [14] - **Factor Evaluation**: This factor exhibited weak performance in the recent week and month but performed well over the past year [8][10] Factor Name: 1-Month Reversal - **Factor Construction Idea**: Captures the short-term mean-reversion effect, where stocks with recent underperformance tend to rebound [8][14] - **Factor Construction Process**: The factor is calculated as the cumulative return over the past 20 trading days [14] - **Factor Evaluation**: This factor performed well in the recent month but showed weaker performance in the recent week and year [8][10] Factor Name: Quarterly Asset Turnover - **Factor Construction Idea**: Measures the efficiency of a company in utilizing its assets to generate revenue [10][14] - **Factor Construction Process**: The factor is calculated as quarterly revenue divided by total assets [14] - **Factor Evaluation**: This factor showed strong performance in the recent week, month, and year, indicating its effectiveness in capturing operational efficiency [10][14] Factor Name: Quarterly ROE YoY Growth - **Factor Construction Idea**: Captures the growth in return on equity (ROE) compared to the same quarter in the previous year, reflecting profitability improvement [10][14] - **Factor Construction Process**: The factor is calculated as the year-over-year growth rate of quarterly ROE [14] - **Factor Evaluation**: This factor performed well across all time horizons, showcasing its robustness in identifying growth opportunities [10][14] --- Factor Backtesting Results Small Market Capitalization - Weekly Excess Return: 1.03% - Monthly Excess Return: 3.94% - Annual Excess Return: 13.73% [11] 90-Day Analyst Coverage - Weekly Excess Return: 0.19% - Monthly Excess Return: -0.01% - Annual Excess Return: -3.00% [11] Turnover Rate Volatility (1-Month) - Weekly Excess Return: -0.51% - Monthly Excess Return: 1.19% - Annual Excess Return: 10.21% [11] Fama-French 3-Factor 1-Month Residual Volatility - Weekly Excess Return: -0.27% - Monthly Excess Return: 0.59% - Annual Excess Return: 7.33% [11] 1-Month Reversal - Weekly Excess Return: -0.28% - Monthly Excess Return: 1.90% - Annual Excess Return: 1.41% [11] Quarterly Asset Turnover - Weekly Excess Return: 0.55% - Monthly Excess Return: 1.39% - Annual Excess Return: 2.78% [11] Quarterly ROE YoY Growth - Weekly Excess Return: 0.36% - Monthly Excess Return: 0.95% - Annual Excess Return: 3.98% [11]