Quantitative Factors and Models Summary Quantitative Factors and Construction Process - **Factor Name**: Value **Construction Idea**: Captures the market's preference for value investing strategies **Construction Process**: Includes metrics like Book-to-Price (BP) and Earnings Yield (EP) **Evaluation**: Demonstrated significant positive returns in the recent week, indicating increased market recognition of value strategies [10][12][13] - **Factor Name**: SOE (State-Owned Enterprise) **Construction Idea**: Measures the proportion of state ownership in a company **Construction Process**: Calculated as the percentage of shares held by state-owned entities **Evaluation**: Showed slight improvement in returns, reflecting increased market attention to state-owned enterprises [10][13] - **Factor Name**: Growth **Construction Idea**: Tracks growth potential through metrics like ROE changes and sales growth **Construction Process**: Includes metrics such as Delta ROE (average ROE change over 3 years) and Sales Growth (3-year compound growth rate of revenue) **Evaluation**: Stable performance, though slightly weaker compared to the previous week [11][13] - **Factor Name**: Volatility **Construction Idea**: Measures the market's preference for high or low volatility stocks **Construction Process**: Includes metrics like standard deviation of returns over 243 days and maximum/minimum returns over the same period **Evaluation**: Negative returns, indicating reduced demand for high-volatility assets [11][13] - **Factor Name**: Trend **Construction Idea**: Captures momentum through exponential weighted moving averages (EWMA) **Construction Process**: Metrics include Trend_120 (EWMA with half-life of 20 days divided by EWMA with half-life of 120 days) **Evaluation**: Significant decline in returns, reflecting reduced market preference for trend-following strategies [11][13] - **Factor Name**: Certainty **Construction Idea**: Measures market confidence in predictable investments **Construction Process**: Includes metrics like institutional holding percentage and analyst coverage **Evaluation**: Weak performance, indicating low market confidence in certainty-based strategies [11][13] - **Factor Name**: Liquidity **Construction Idea**: Tracks market preference for liquid assets **Construction Process**: Includes metrics like average turnover rate over 243 days and liquidity beta **Evaluation**: Declined further, showing reduced demand for high-liquidity stocks [11][13] - **Factor Name**: Beta **Construction Idea**: Measures sensitivity to market movements **Construction Process**: Bayesian compressed market beta **Evaluation**: Significant negative returns, indicating reduced preference for high-beta stocks [11][13] Factor Backtesting Results - **Value Factor**: Weekly return of 0.38%, monthly return of -4.25%, annualized return of -24.01% over the past year [12] - **SOE Factor**: Weekly return of 0.16%, monthly return of 0.71%, annualized return of 19.07% over the past year [12] - **Growth Factor**: Weekly return of -0.19%, monthly return of 2.21%, annualized return of 15.05% over the past year [12] - **Volatility Factor**: Weekly return of -0.28%, monthly return of -1.38%, annualized return of 24.81% over the past year [12] - **Trend Factor**: Weekly return of -0.41%, monthly return of 3.86%, annualized return of 16.35% over the past year [12] - **Certainty Factor**: Weekly return of -0.66%, monthly return of -3.15%, annualized return of -20.57% over the past year [12] - **Liquidity Factor**: Weekly return of -1.06%, monthly return of -2.38%, annualized return of 30.40% over the past year [12] - **Beta Factor**: Weekly return of -1.30%, monthly return of -0.80%, annualized return of 29.44% over the past year [12] MFE Portfolio Construction - **Model Name**: Maximized Factor Exposure (MFE) Portfolio **Construction Idea**: Maximizes single-factor exposure while controlling for constraints like industry and style deviations **Construction Process**: - Objective function: Maximize factor exposure - Constraints: - Style and industry exposure limits - Stock weight deviation limits - Turnover rate constraints - Formula: $ \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} \\ & 0\leq w\leq l \\ & 1^{T}w=1 \\ & \Sigma|w-w_{0}|\leq to_{h} \end{array} $ - $f$: Factor values - $w$: Stock weight vector - $X$: Style exposure matrix - $H$: Industry exposure matrix - $B_b$: Benchmark component weights - $to_h$: Turnover rate upper limit **Evaluation**: Effective in isolating factor performance under controlled conditions [59][60][63] MFE Portfolio Backtesting Results - **HS300 Index**: Weekly excess return range: -0.41% to 0.72%, median: 0.21% [52] - **CSI500 Index**: Weekly excess return range: -0.55% to 1.25%, median: 0.28% [56] - **CSI1000 Index**: Weekly excess return range: -0.64% to 1.05%, median: 0.22% [58]

金融工程 | 动态跟踪 报告发布日期 2025 年 03 月 16 日 杨怡玲 yangyiling@orientsec.com.cn 执业证书编号：S0860523040002 研究结论 风格表现监控 ——东方因子周报 ⚫ 以沪深 300 指数为选股空间，最近一周，单季 ROE、一个月反转等因子表现较好， 而非流动性冲击、三个月换手等因子表现较差。最近一月，一个月反转、单季 ROA 等因子表现较好，而 BP、非流动性冲击等因子表现较差。 ⚫ 以中证 500 指数为选股空间，最近一周，预期 EPTTM、一个月反转等因子表现较 好，而单季营收同比增速、分析师认可度等因子表现较差。最近一月，高管薪酬、 一年动量等因子表现较好，而六个月 UMR、三个月换手等因子表现较差。 ⚫ 以中证 800 指数为选股空间，最近一周，一个月反转、预期 EPTTM 等因子表现较 好，而非流动性冲击、一个月换手等因子表现较差。最近一月，一个月反转、 PB_ROE_排序差等因子表现较好，而 BP、六个月 UMR 等因子表现较差。 ⚫ 以中证 1000 指数为选股空间，最近一周，一个月反转、预期 EPTTM 等因子表现较 好，而标准化预期 ...