Quantitative Factors and Models Summary Quantitative Factors and Construction - **Factor Name**: Beta Factor **Construction Idea**: Measures the sensitivity of a stock's returns to market returns **Performance**: Achieved a positive return of 0.73% in the full market stock pool during the week of 2025.07.28-2025.08.01[20] - **Factor Name**: Residual Volatility Factor **Construction Idea**: Captures the idiosyncratic risk of a stock **Performance**: Delivered a positive return of 0.60% in the full market stock pool during the same period[20] - **Factor Name**: Scale Factor **Construction Idea**: Represents the size effect, where smaller-cap stocks tend to outperform **Performance**: Recorded a negative return of -0.51% in the full market stock pool[20] - **Factor Name**: Nonlinear Market Cap Factor **Construction Idea**: A nonlinear transformation of market capitalization to capture size-related anomalies **Performance**: Yielded a negative return of -0.40% in the full market stock pool[20] - **Factor Name**: Total Asset Gross Profit Margin (TTM) **Construction Idea**: Measures profitability relative to total assets over the trailing twelve months **Performance**: - 2.64% in the CSI 300 stock pool[12] - 1.39% in the CSI 500 stock pool[14] - 1.35% in the Liquidity 1500 stock pool[18] - **Factor Name**: Single-Quarter Total Asset Gross Profit Margin **Construction Idea**: Measures profitability relative to total assets for a single quarter **Performance**: - 2.37% in the CSI 300 stock pool[12] - 1.27% in the Liquidity 1500 stock pool[18] - 1.39% in the CSI 500 stock pool[14] - **Factor Name**: Single-Quarter ROA **Construction Idea**: Measures return on assets for a single quarter **Performance**: - 2.28% in the CSI 300 stock pool[12] - 0.42% in the CSI 500 stock pool[15] - 0.20% in the Liquidity 1500 stock pool[19] Quantitative Models and Construction - **Model Name**: PB-ROE-50 Combination **Construction Idea**: Combines Price-to-Book (PB) and Return on Equity (ROE) metrics to select stocks with high profitability and reasonable valuation **Construction Process**: - Stocks are ranked based on PB and ROE metrics - Top 50 stocks are selected to form the portfolio **Performance**: - 0.62% excess return in the CSI 500 stock pool[25][26] - 2.14% excess return in the CSI 800 stock pool[25][26] - 0.76% excess return in the full market stock pool[25][26] - **Model Name**: Block Trade Combination **Construction Idea**: Utilizes "high transaction volume, low volatility" principles to identify stocks with favorable post-trade performance **Construction Process**: - Stocks are filtered based on block trade transaction volume and 6-day transaction volatility - Monthly rebalancing is applied **Performance**: - 0.75% excess return relative to the CSI All Share Index[32][33] - **Model Name**: Private Placement Combination **Construction Idea**: Focuses on stocks involved in private placements, considering market cap, rebalancing cycles, and position control **Construction Process**: - Stocks are selected based on private placement event announcements - Portfolio is adjusted periodically **Performance**: - 1.55% excess return relative to the CSI All Share Index[38][39] Factor Backtest Results - **Beta Factor**: Weekly return of 0.73%[20] - **Residual Volatility Factor**: Weekly return of 0.60%[20] - **Scale Factor**: Weekly return of -0.51%[20] - **Nonlinear Market Cap Factor**: Weekly return of -0.40%[20] - **Total Asset Gross Profit Margin (TTM)**: - CSI 300: 2.64%[12] - CSI 500: 1.39%[14] - Liquidity 1500: 1.35%[18] - **Single-Quarter Total Asset Gross Profit Margin**: - CSI 300: 2.37%[12] - CSI 500: 1.39%[14] - Liquidity 1500: 1.27%[18] - **Single-Quarter ROA**: - CSI 300: 2.28%[12] - CSI 500: 0.42%[15] - Liquidity 1500: 0.20%[19] Model Backtest Results - **PB-ROE-50 Combination**: - CSI 500: 0.62% weekly excess return[25][26] - CSI 800: 2.14% weekly excess return[25][26] - Full Market: 0.76% weekly excess return[25][26] - **Block Trade Combination**: 0.75% weekly excess return relative to CSI All Share Index[32][33] - **Private Placement Combination**: 1.55% weekly excess return relative to CSI All Share Index[38][39]

Core Viewpoint - The report highlights the performance of various investment factors and strategies over the week, indicating a mixed market environment with specific factors yielding positive and negative returns [3][4][5]. Factor Performance - BP factor and profit factor achieved positive returns of 0.30% and 0.27% respectively, while non-linear market capitalization factor and size factor showed significant negative returns of -0.31% and -0.29%, indicating a clear small-cap market style [3]. - In the CSI 300 stock pool, the best-performing factors included TTM P/E ratio (0.70%), TTM P/S ratio (0.59%), and 5-minute return skewness (0.57%), while the worst performers were 6-day trading volume moving average (-1.24%), 5-day average turnover rate (-1.44%), and TTM gross profit margin (-1.62%) [4]. - In the CSI 500 stock pool, the top factors were quarterly ROE (1.70%), TTM gross profit margin (1.54%), and 5-day trading volume standard deviation (1.36%), with poor performers including early trading return factor (-0.39%), 5-minute return skewness (-0.44%), and log market capitalization factor (-0.73%) [4]. - In the liquidity 1500 stock pool, the best factors were 5-day reversal (1.62%), quarterly ROE (1.53%), and P/E factor (1.41%), while the worst were 6-day trading volume moving average (-0.61%), early trading return factor (-0.70%), and 5-day index moving average of trading volume (-0.72%) [4]. Industry Factor Performance - The net asset growth rate factor showed significant positive returns in the comprehensive industry, while the net profit growth rate factor performed well across the same sector [5]. - The 5-day momentum factor exhibited strong momentum effects in the comprehensive, steel, and public utility industries, while reversal effects were notable in non-bank financials, non-ferrous metals, and telecommunications [5]. - Valuation factors like BP factor performed well in the comprehensive, steel, and banking industries, while EP factor excelled in the comprehensive, media, and non-bank financial sectors [5]. Strategy Performance - The PB-ROE-50 combination achieved excess returns across various stock pools, with excess returns of 1.17% in the CSI 500 pool, 1.21% in the CSI 800 pool, and 1.36% in the overall market stock pool [6]. - Public fund research selection strategy and private fund research tracking strategy both gained positive excess returns, with public fund strategy achieving 0.02% excess return relative to CSI 800 and private fund strategy achieving 0.25% [7]. - The block trading combination experienced a relative excess return drawdown of -0.24% compared to the CSI All Index [8]. - The directed issuance combination also faced a relative excess return drawdown of -0.69% compared to the CSI All Index [9].

Quantitative Models and Construction Methods - **Model Name**: PB-ROE-50 **Model Construction Idea**: The model combines Price-to-Book ratio (PB) and Return on Equity (ROE) to select stocks with high profitability and reasonable valuation[3][25] **Model Construction Process**: The PB-ROE-50 portfolio is constructed by selecting 50 stocks with the highest combined scores of PB and ROE within specific stock pools (e.g., CSI 500, CSI 800, and the entire market). The portfolio is rebalanced periodically to maintain its composition[25][26] **Model Evaluation**: The model demonstrates consistent excess returns across different stock pools, indicating its effectiveness in capturing profitable investment opportunities[25][26] - **Model Name**: Institutional Research Portfolio **Model Construction Idea**: The model leverages public and private institutional research data to identify stocks with potential excess returns[28] **Model Construction Process**: The portfolio is constructed based on institutional research data, with public research focusing on CSI 800 stocks and private research tracking broader market stocks. Stocks are selected based on research frequency and sentiment, and the portfolio is rebalanced monthly[28][29] **Model Evaluation**: The model shows positive excess returns, particularly for private research tracking strategies, suggesting its ability to capture valuable insights from institutional activities[28][29] - **Model Name**: Block Trade Portfolio **Model Construction Idea**: The model identifies stocks with high block trade activity and low volatility to capture potential excess returns[31] **Model Construction Process**: Stocks are selected based on "block trade transaction ratio" and "6-day transaction volatility." The portfolio is rebalanced monthly to maintain its focus on high-transaction, low-volatility stocks[31][32] **Model Evaluation**: The model's performance varies, with occasional excess return drawdowns, highlighting the need for careful monitoring and adjustment[31][32] - **Model Name**: Directed Issuance Portfolio **Model Construction Idea**: The model focuses on stocks involved in directed issuance events to capture event-driven investment opportunities[37] **Model Construction Process**: Stocks are selected based on directed issuance announcements, considering factors like market capitalization, rebalancing frequency, and position control. The portfolio is rebalanced periodically to align with event-driven dynamics[37][38] **Model Evaluation**: The model shows mixed results, with occasional excess return drawdowns, indicating the need for further refinement in capturing event-driven effects[37][38] --- Model Backtesting Results - **PB-ROE-50 Model** - CSI 500: Weekly excess return 1.17%, absolute return 1.99%[25][26] - CSI 800: Weekly excess return 1.21%, absolute return 2.58%[25][26] - Entire Market: Weekly excess return 1.36%, absolute return 2.51%[25][26] - **Institutional Research Portfolio** - Public Research: Weekly excess return 0.02%, absolute return 1.37%[28][29] - Private Research: Weekly excess return 0.25%, absolute return 1.61%[28][29] - **Block Trade Portfolio** - Weekly excess return -0.24%, absolute return 0.88%[31][32] - **Directed Issuance Portfolio** - Weekly excess return -0.69%, absolute return 0.43%[37][38] --- Quantitative Factors and Construction Methods - **Factor Name**: BP Factor **Factor Construction Idea**: The factor uses the Book-to-Price ratio to identify undervalued stocks[20] **Factor Construction Process**: BP is calculated as the inverse of the Price-to-Book ratio. Stocks with higher BP values are considered undervalued and selected for portfolios[20] **Factor Evaluation**: BP demonstrates positive returns in multiple industries, indicating its effectiveness in identifying undervalued stocks[23][24] - **Factor Name**: ROE Factor **Factor Construction Idea**: The factor measures profitability using Return on Equity[20] **Factor Construction Process**: ROE is calculated as net income divided by shareholder equity. Stocks with higher ROE values are considered more profitable and selected for portfolios[20] **Factor Evaluation**: ROE shows positive returns across various industries, highlighting its ability to capture profitable investment opportunities[23][24] - **Factor Name**: Nonlinear Market Cap Factor **Factor Construction Idea**: The factor captures the impact of market capitalization on stock returns using a nonlinear approach[20] **Factor Construction Process**: Nonlinear transformations of market capitalization are applied to identify stocks with specific size-related characteristics[20] **Factor Evaluation**: The factor shows negative returns, indicating challenges in capturing size-related effects[20] --- Factor Backtesting Results - **BP Factor** - Weekly return 0.30%[20] - **ROE Factor** - Weekly return 0.27%[20] - **Nonlinear Market Cap Factor** - Weekly return -0.31%[20] - **Scale Factor** - Weekly return -0.29%[20]

Core Viewpoint - The article provides a comprehensive analysis of market performance, highlighting the positive returns of certain factors while noting the underperformance of others, indicating a mixed market sentiment and potential investment opportunities in specific sectors [3][4][5]. Factor Performance Summary - In the week of June 3 to June 6, 2025, the beta factor and momentum factor achieved positive returns of 0.58% and 0.31% respectively, while the size factor and liquidity factor recorded negative returns of -0.66% and -0.37% [3]. - In the CSI 300 stock pool, the best-performing factors included total asset growth rate (2.23%), quarterly revenue growth rate (1.78%), and quarterly ROA (1.58%), while the worst-performing factors were net profit gap (-0.36%), 5-day average turnover rate (-0.51%), and price-to-book ratio factor (-0.64%) [4]. - In the CSI 500 stock pool, the top factors were quarterly net profit growth rate (1.54%), quarterly operating profit growth rate (1.29%), and quarterly ROE (1.28%), with the weakest factors being 6-day transaction amount standard deviation (-0.95%), TTM price-to-earnings ratio reciprocal (-0.95%), and 6-day transaction amount moving average (-0.97%) [4]. - In the liquidity 1500 stock pool, the leading factors were total asset growth rate (2.67%), quarterly ROA growth (2.15%), and quarterly revenue growth (2.13%), while the lagging factors included TTM price-to-earnings ratio reciprocal (-0.65%), price-to-book ratio factor (-0.80%), and price-to-earnings ratio factor (-0.81%) [4]. Industry-Specific Factor Performance - The net asset growth rate factor performed well in the telecommunications industry, while the net profit growth rate factor excelled in the commercial trade sector [5]. - The earnings per share factor showed strong performance in the telecommunications industry, and the TTM operating profit per share factor was notable in both telecommunications and commercial trade sectors [5]. - The 5-day momentum factor exhibited significant momentum effects in the light manufacturing industry, while reversal effects were prominent in the defense, coal, and comprehensive industries [5]. Combination Tracking - The PB-ROE-50 combination achieved significant excess returns across various stock pools, with excess returns of 0.45% in the CSI 500 pool, 1.87% in the CSI 800 pool, and 3.35% in the overall market pool [7]. - The public fund research selection strategy and private fund research tracking strategy both yielded positive excess returns, with the public fund strategy outperforming the CSI 800 by 3.37% and the private fund strategy by 1.31% [8]. - The block trading combination also achieved excess returns relative to the CSI All Index, with an excess return of 0.41% [9]. - The targeted issuance combination outperformed the CSI All Index with an excess return of 1.97% [10].

Quantitative Models and Construction Methods 1. Model Name: PB-ROE-50 Combination - **Model Construction Idea**: This model combines Price-to-Book (PB) and Return on Equity (ROE) metrics to identify stocks with strong valuation and profitability characteristics[25] - **Model Construction Process**: - The PB-ROE-50 combination is constructed by selecting stocks based on their PB and ROE metrics, emphasizing stocks with favorable valuation and profitability profiles - The portfolio is rebalanced periodically to maintain the desired exposure to these factors[25] - **Model Evaluation**: The model demonstrates significant excess returns across multiple stock pools, indicating its effectiveness in capturing valuation and profitability signals[25] 2. Model Name: Block Trade Combination - **Model Construction Idea**: This model leverages the "high transaction, low volatility" principle to identify stocks with favorable post-trade performance based on block trade characteristics[31] - **Model Construction Process**: - Stocks are selected based on two key metrics: "block trade transaction amount ratio" and "6-day transaction amount volatility" - Stocks with higher transaction ratios and lower volatility are included in the portfolio - The portfolio is rebalanced monthly to capture updated signals[31] - **Model Evaluation**: The model effectively extracts excess information from block trades, yielding consistent positive returns relative to the benchmark[31] 3. Model Name: Private Placement Combination - **Model Construction Idea**: This model focuses on the event-driven effects of private placements, considering factors such as market value and timing of announcements[37] - **Model Construction Process**: - Stocks involved in private placements are selected based on the announcement date of shareholder meetings - Adjustments are made for market value factors, rebalancing cycles, and position control to optimize the portfolio[37] - **Model Evaluation**: The model captures the investment opportunities associated with private placements, delivering notable excess returns over the benchmark[37] --- Model Backtesting Results 1. PB-ROE-50 Combination - **Excess Return**: - CSI 500: 0.45% (weekly), 2.64% (YTD)[26] - CSI 800: 1.87% (weekly), 3.86% (YTD)[26] - All Market: 3.35% (weekly), 5.86% (YTD)[26] - **Absolute Return**: - CSI 500: 2.38% (weekly), 3.30% (YTD)[26] - CSI 800: 2.20% (weekly), 2.83% (YTD)[26] - All Market: 4.72% (weekly), 7.74% (YTD)[26] 2. Block Trade Combination - **Excess Return**: 0.41% (weekly), 23.89% (YTD)[32] - **Absolute Return**: 1.89% (weekly), 26.09% (YTD)[32] 3. Private Placement Combination - **Excess Return**: 1.97% (weekly), 6.08% (YTD)[38] - **Absolute Return**: 3.48% (YTD)[38] --- Quantitative Factors and Construction Methods 1. Factor Name: Total Asset Growth Rate - **Factor Construction Idea**: Measures the growth in total assets to capture expansion potential[12] - **Factor Construction Process**: - Calculated as the percentage change in total assets over a specified period - Adjusted for industry and market capitalization effects to isolate the factor signal[12] - **Factor Evaluation**: Demonstrates strong positive returns across multiple stock pools, indicating its effectiveness in identifying growth opportunities[12][18] 2. Factor Name: Single-Quarter ROA - **Factor Construction Idea**: Reflects the profitability of assets on a quarterly basis[12] - **Factor Construction Process**: - Calculated as net income divided by total assets for a single quarter - Adjusted for industry and market capitalization effects to enhance signal clarity[12] - **Factor Evaluation**: Consistently positive performance across stock pools, highlighting its robustness in capturing profitability signals[12][18] 3. Factor Name: Single-Quarter Revenue Growth Rate - **Factor Construction Idea**: Tracks the growth in revenue on a quarterly basis to identify companies with improving top-line performance[12] - **Factor Construction Process**: - Calculated as the percentage change in revenue compared to the same quarter in the previous year - Adjusted for industry and market capitalization effects to ensure comparability[12] - **Factor Evaluation**: Strong positive returns in multiple stock pools, validating its ability to capture growth momentum[12][18] --- Factor Backtesting Results 1. Total Asset Growth Rate - **Excess Return**: - CSI 300: 2.23% (weekly)[12] - CSI 500: 1.26% (weekly)[14] - Liquidity 1500: 2.67% (weekly)[18] 2. Single-Quarter ROA - **Excess Return**: - CSI 300: 1.58% (weekly)[12] - CSI 500: -0.44% (weekly)[15] - Liquidity 1500: 0.88% (weekly)[19] 3. Single-Quarter Revenue Growth Rate - **Excess Return**: - CSI 300: 1.78% (weekly)[12] - CSI 500: 0.58% (weekly)[15] - Liquidity 1500: 2.13% (weekly)[19]