Quantitative Models and Construction PB-ROE-50 Model - **Model Name**: PB-ROE-50 - **Model Construction Idea**: The model combines Price-to-Book (PB) and Return on Equity (ROE) metrics to identify stocks with strong profitability and reasonable valuation[24] - **Model Construction Process**: The PB-ROE-50 portfolio is constructed by selecting 50 stocks based on a combination of PB and ROE metrics. The portfolio is rebalanced periodically to maintain the desired exposure to these factors[24] - **Model Evaluation**: The model demonstrates consistent positive excess returns across different stock pools, indicating its effectiveness in capturing value and profitability signals[24] --- Quantitative Factors and Construction Standardized Unexpected Earnings (SUE) - **Factor Name**: Standardized Unexpected Earnings (SUE) - **Factor Construction Idea**: Measures the deviation of actual earnings from expected earnings, standardized by historical earnings volatility[12] - **Factor Construction Process**: $ SUE = \frac{E_{actual} - E_{expected}}{\sigma_{earnings}} $ Where: $E_{actual}$ = Actual earnings $E_{expected}$ = Expected earnings $\sigma_{earnings}$ = Standard deviation of historical earnings[12] - **Factor Evaluation**: Demonstrates strong positive returns in the CSI 300 stock pool, indicating its ability to capture earnings surprises effectively[12] Single-Quarter ROE YoY Growth - **Factor Name**: Single-Quarter ROE YoY Growth - **Factor Construction Idea**: Measures the year-over-year growth in Return on Equity (ROE) for a single quarter[14] - **Factor Construction Process**: $ ROE_{YoY} = \frac{ROE_{current\_quarter} - ROE_{same\_quarter\_last\_year}}{ROE_{same\_quarter\_last\_year}} $ Where: $ROE_{current\_quarter}$ = ROE for the current quarter $ROE_{same\_quarter\_last\_year}$ = ROE for the same quarter in the previous year[14] - **Factor Evaluation**: Shows strong positive returns in the CSI 500 stock pool, highlighting its effectiveness in identifying growth trends[14] Total Asset Growth Rate - **Factor Name**: Total Asset Growth Rate - **Factor Construction Idea**: Measures the growth rate of total assets over a specific period[16] - **Factor Construction Process**: $ Growth_{assets} = \frac{Assets_{current} - Assets_{previous}}{Assets_{previous}} $ Where: $Assets_{current}$ = Total assets in the current period $Assets_{previous}$ = Total assets in the previous period[16] - **Factor Evaluation**: Demonstrates strong positive returns across multiple stock pools, indicating its robustness in capturing growth signals[16] --- Backtesting Results of Models PB-ROE-50 Model - **Excess Return (Weekly)**: - CSI 500: 0.47% - CSI 800: 0.25% - All Market: 1.02%[25] - **Excess Return (YTD)**: - CSI 500: 3.22% - CSI 800: 11.76% - All Market: 14.28%[25] --- Backtesting Results of Factors Standardized Unexpected Earnings (SUE) - **Excess Return (Weekly)**: - CSI 300: 4.12% - CSI 500: 0.34% - Liquidity 1500: 1.16%[12][15][17] Single-Quarter ROE YoY Growth - **Excess Return (Weekly)**: - CSI 300: 0.84% - CSI 500: 2.28% - Liquidity 1500: 1.27%[12][15][17] Total Asset Growth Rate - **Excess Return (Weekly)**: - CSI 300: 2.39% - CSI 500: 0.50% - Liquidity 1500: 2.12%[12][15][17]