Quantitative Models and Construction Methods 1. Model Name: FuGuo ETF Rotation Strategy - **Model Construction Idea**: The strategy is based on the FuGuo ETF rotation factor, which evaluates ETFs' investment value from four dimensions: profitability, operational quality, valuation momentum, and analyst expectations. These dimensions are combined into a composite rotation factor through standardization and equal weighting[26][30]. - **Model Construction Process**: 1. **Profitability Factors**: - **Excluding Non-recurring Profit Growth (QoQ)**: Measures the quarterly change in net profit after excluding non-recurring items, aggregated using the median method[30][31]. - **Net Profit Growth (YoY)**: Measures the year-over-year change in net profit, aggregated using the median method[30][31]. 2. **Operational Quality Factors**: - **Operating Capital Turnover**: Ratio of operating capital to operating revenue, calculated semi-annually using the "leading stock" method[30][31]. - **Operating Capital Proportion**: Ratio of operating capital to total assets, calculated year-over-year using the "leading stock" method[30][31]. 3. **Valuation Momentum Factor**: - **Inverse Price-to-Earnings Ratio**: Measures the semi-annual change in the inverse P/E ratio, reflecting market sentiment[30][31]. 4. **Analyst Expectation Factor**: - **Analyst Forecast Change**: Tracks the 3-month change in analysts' consensus EPS forecasts, aggregated using the "leading stock" method[30][31]. 5. The above six factors are standardized and equally weighted to form the FuGuo ETF rotation factor[26][30]. - **Model Evaluation**: The FuGuo ETF rotation factor demonstrates strong predictive power for ETF performance, with stable IC values and effective multi-dimensional evaluation of ETF investment value[26][30]. --- Model Backtesting Results 1. FuGuo ETF Rotation Strategy - **Annualized Return**: 7.26%[19] - **Annualized Volatility**: 21.92%[19] - **Sharpe Ratio**: 0.33[19] - **Maximum Drawdown**: 42.20%[19] - **Turnover Rate (Monthly)**: 53.21%[19] - **Annualized Excess Return**: 5.49%[19] - **Tracking Error**: 9.27%[19] - **Information Ratio (IR)**: 0.59[19] - **Excess Maximum Drawdown**: 15.23%[19] - **May 2025 Return**: -2.03%[19] - **May 2025 Excess Return**: -3.46%[19] --- Quantitative Factors and Construction Methods 1. Factor Name: FuGuo ETF Rotation Factor - **Factor Construction Idea**: The factor evaluates ETFs' investment value by integrating profitability, operational quality, valuation momentum, and analyst expectations into a composite score[26][30]. - **Factor Construction Process**: 1. **Profitability Factors**: - **Excluding Non-recurring Profit Growth (QoQ)**: Measures the quarterly change in net profit after excluding non-recurring items, aggregated using the median method[30][31]. - **Net Profit Growth (YoY)**: Measures the year-over-year change in net profit, aggregated using the median method[30][31]. 2. **Operational Quality Factors**: - **Operating Capital Turnover**: Ratio of operating capital to operating revenue, calculated semi-annually using the "leading stock" method[30][31]. - **Operating Capital Proportion**: Ratio of operating capital to total assets, calculated year-over-year using the "leading stock" method[30][31]. 3. **Valuation Momentum Factor**: - **Inverse Price-to-Earnings Ratio**: Measures the semi-annual change in the inverse P/E ratio, reflecting market sentiment[30][31]. 4. **Analyst Expectation Factor**: - **Analyst Forecast Change**: Tracks the 3-month change in analysts' consensus EPS forecasts, aggregated using the "leading stock" method[30][31]. 5. The above six factors are standardized and equally weighted to form the FuGuo ETF rotation factor[26][30]. - **Factor Evaluation**: The factor demonstrates stable performance with an average IC of 6.80% and a risk-adjusted IC of 0.22, indicating its effectiveness in predicting ETF performance[12][14]. --- Factor Backtesting Results 1. FuGuo ETF Rotation Factor - **Average IC**: 6.80%[12] - **Standard Deviation of IC**: 31.51%[12] - **Minimum IC**: -59.85%[12] - **Maximum IC**: 78.19%[12] - **Risk-adjusted IC**: 0.22[12] - **T-statistic**: 2.24[12] - **May 2025 IC**: -30.91%[14] - **May 2025 Long-Short Portfolio Return**: -6.96%[14]