Quantitative Models and Factor Analysis Quantitative Models and Construction Methods Model: DFQ-FactorGCL - **Construction Idea**: This model is based on hypergraph convolutional neural networks and time residual contrastive learning for stock return prediction[7] - **Construction Process**: The detailed construction process is not provided in the document - **Evaluation**: The model is part of the factor stock selection series, indicating its relevance in stock return prediction[7] Model: Neural ODE - **Construction Idea**: This model reconstructs time-series dynamic systems for deep learning factor mining[7] - **Construction Process**: The detailed construction process is not provided in the document - **Evaluation**: The model is part of the factor stock selection series, indicating its relevance in factor mining[7] Model Backtesting Results DFQ-FactorGCL Model - **IR**: Not provided - **Return**: Not provided - **Volatility**: Not provided Neural ODE Model - **IR**: Not provided - **Return**: Not provided - **Volatility**: Not provided Quantitative Factors and Construction Methods Factor: Beta - **Construction Idea**: Measures the sensitivity of a stock's returns to market returns[11] - **Construction Process**: - Bayesian compressed market Beta[16] - **Evaluation**: Beta factor showed a significant positive return of 3.74% this week, indicating a strong market preference for high Beta stocks[11] Factor: Volatility - **Construction Idea**: Measures the degree of variation in a stock's returns[11] - **Construction Process**: - Stdvol: Standard deviation of returns over the past 243 days - Ivff: FF3 idiosyncratic volatility over the past 243 days - Range: Highest price/lowest price - 1 over the past 243 days - MaxRet_6: Average return of the highest six days over the past 243 days - MinRet_6: Average return of the lowest six days over the past 243 days[16] - **Evaluation**: Volatility factor showed a significant positive return of 3.41% this week, indicating increased demand for high volatility assets[11] Factor: Liquidity - **Construction Idea**: Measures the ease with which a stock can be bought or sold without affecting its price[11] - **Construction Process**: - TO: Average log turnover rate over the past 243 days - Liquidity beta: Regression of individual stock log turnover rate against market log turnover rate over the past 243 days[16] - **Evaluation**: Liquidity factor showed a significant positive return of 3.34% this week, indicating increased demand for high liquidity assets[11] Factor: SOE (State-Owned Enterprise) - **Construction Idea**: Measures the proportion of state ownership in a company[11] - **Construction Process**: - State Owned Enterprise: Proportion of state ownership[16] - **Evaluation**: SOE factor showed a positive return of 0.63% this week, indicating a slight increase in market attention to state-owned enterprise stocks[11] Factor: Growth - **Construction Idea**: Measures the growth potential of a company[12] - **Construction Process**: - Delta ROE: Average change in ROE over the past 3 years - Sales_growth: 3-year compound growth rate of sales revenue - Na_growth: 3-year compound growth rate of net assets[16] - **Evaluation**: Growth factor showed a negative return of -0.33% this week, indicating low market preference for growth stocks[12] Factor: Certainty - **Construction Idea**: Measures the certainty of a company's future performance[12] - **Construction Process**: - Instholder Pct: Proportion of public fund holdings - Cov: Analyst coverage (orthogonalized to market value) - Listdays: Number of days listed[16] - **Evaluation**: Certainty factor showed a significant negative return of -0.83% this week, indicating reduced market confidence in certainty investment strategies[12] Factor: Cubic Size - **Construction Idea**: Measures the size of a company using a power function of market value[12] - **Construction Process**: - Market value power term[16] - **Evaluation**: Cubic Size factor showed a significant negative return of -1.51% this week, indicating reduced market attention to extreme market value-related assets[12] Factor: Trend - **Construction Idea**: Measures the trend-following behavior of a stock[12] - **Construction Process**: - Trend_120: EWMA(halflife=20)/EWMA(halflife=120) - Trend_240: EWMA(halflife=20)/EWMA(halflife=240)[16] - **Evaluation**: Trend factor showed a significant negative return of -1.96% this week, indicating reduced market preference for trend investment strategies[12] Factor: Size - **Construction Idea**: Measures the size of a company using the logarithm of market value[12] - **Construction Process**: - Logarithm of market value[16] - **Evaluation**: Size factor showed a significant negative return of -2.14% this week, indicating reduced market attention to small-cap stocks[12] Factor: Value - **Construction Idea**: Measures the value of a company using various valuation metrics[12] - **Construction Process**: - BP: Book-to-market ratio - EP: Earnings yield[16] - **Evaluation**: Value factor showed a significant negative return of -2.40% this week, indicating reduced market recognition of value investment strategies[12] Factor Backtesting Results Beta Factor - **Recent Week**: 3.74%[13] - **Recent Month**: 10.06%[13] - **Year-to-Date**: 27.17%[13] - **Last Year**: 59.45%[13] - **Historical Annualized**: 1.21%[13] Volatility Factor - **Recent Week**: 3.41%[13] - **Recent Month**: 6.01%[13] - **Year-to-Date**: 9.97%[13] - **Last Year**: 35.11%[13] - **Historical Annualized**: -12.85%[13] Liquidity Factor - **Recent Week**: 3.34%[13] - **Recent Month**: 3.92%[13] - **Year-to-Date**: 20.65%[13] - **Last Year**: 32.29%[13] - **Historical Annualized**: -3.28%[13] SOE Factor - **Recent Week**: 0.63%[13] - **Recent Month**: 1.44%[13] - **Year-to-Date**: 7.38%[13] - **Last Year**: 14.87%[13] - **Historical Annualized**: 7.22%[13] Growth Factor - **Recent Week**: -0.33%[13] - **Recent Month**: -2.55%[13] - **Year-to-Date**: -2.67%[13] - **Last Year**: 0.62%[13] - **Historical Annualized**: 2.63%[13] Certainty Factor - **Recent Week**: -0.83%[13] - **Recent Month**: -3.85%[13] - **Year-to-Date**: -14.30%[13] - **Last Year**: -20.88%[13] - **Historical Annualized**: 2.44%[13] Cubic Size Factor - **Recent Week**: -1.51%[13] - **Recent Month**: 0.59%[13] - **Year-to-Date**: -30.87%[13] - **Last Year**: -50.44%[13] - **Historical Annualized**: -26.52%[13] Trend Factor - **Recent Week**: -1.96%[13] - **Recent Month**: -3.40%[13] - **Year-to-Date**: -4.05%[13] - **Last Year**: 18.60%[13] - **Historical Annualized**: 13.97%[13] Size Factor - **Recent Week**: -2.14%[13] - **Recent Month**: -2.79%[13] - **Year-to-Date**: -38.32%[13] - **Last Year**: -59.18%[13] - **Historical Annualized**: -29.70%[13] Value Factor - **Recent Week**: -2.40%[13] - **Recent Month**: -6.37%[13] - **Year-to-Date**: -15.60%[13] - **Last Year**: -29.84%[13] - **Historical Annualized**: 6.76%[13]