Quantitative Models and Construction Methods Model: PB-ROE-50 Combination - **Construction Idea**: The PB-ROE-50 combination aims to capture excess returns by selecting stocks with favorable Price-to-Book (PB) and Return on Equity (ROE) metrics. - **Construction Process**: The combination is constructed by selecting the top 50 stocks based on their PB and ROE metrics from the entire market stock pool, the CSI 500 stock pool, and the CSI 800 stock pool. The selection is updated periodically to maintain the combination's effectiveness.[23][24] - **Evaluation**: The PB-ROE-50 combination has shown the ability to generate positive excess returns in the overall market stock pool, although it has underperformed in the CSI 500 and CSI 800 stock pools this week.[23][24] Model: Institutional Research Combination - **Construction Idea**: This model leverages the insights from public and private institutional research to select stocks that are expected to outperform. - **Construction Process**: The combination is constructed by tracking the stocks that have been researched by public and private institutions. The performance of these stocks is then compared to the CSI 800 index to measure excess returns.[25][26] - **Evaluation**: Both the public and private institutional research strategies have generated positive excess returns this week, indicating the effectiveness of institutional insights in stock selection.[25][26] Model: Block Trade Combination - **Construction Idea**: This model aims to capture the information embedded in block trades, which are large transactions that can indicate significant investor interest. - **Construction Process**: The combination is constructed by selecting stocks with high block trade transaction amounts and low 6-day transaction amount volatility. The combination is rebalanced monthly to maintain its effectiveness.[29][30] - **Evaluation**: The block trade combination has generated positive excess returns this week, suggesting that the "high transaction, low volatility" principle is effective in identifying outperforming stocks.[29][30] Model: Private Placement Combination - **Construction Idea**: This model focuses on the event-driven opportunities presented by private placements, which can indicate significant corporate actions and investor interest. - **Construction Process**: The combination is constructed by selecting stocks involved in private placements, considering factors such as market capitalization, rebalancing cycle, and position control. The combination is updated based on the announcement date of the shareholders' meeting.[35][36] - **Evaluation**: The private placement combination has underperformed this week, generating negative excess returns, which raises questions about the current effectiveness of private placement event-driven strategies.[35][36] Model Backtesting Results PB-ROE-50 Combination - **CSI 500**: Excess return this week: -0.57%, Year-to-date excess return: 2.97%, Absolute return this week: 2.69%, Year-to-date absolute return: 13.29%[24] - **CSI 800**: Excess return this week: -0.45%, Year-to-date excess return: 7.47%, Absolute return this week: 1.64%, Year-to-date absolute return: 14.12%[24] - **Overall Market**: Excess return this week: 0.06%, Year-to-date excess return: 9.34%, Absolute return this week: 2.22%, Year-to-date absolute return: 20.17%[24] Institutional Research Combination - **Public Research**: Excess return this week: 1.02%, Year-to-date excess return: 7.37%, Absolute return this week: 3.15%, Year-to-date absolute return: 14.02%[26] - **Private Research**: Excess return this week: 2.72%, Year-to-date excess return: 18.45%, Absolute return this week: 4.88%, Year-to-date absolute return: 25.78%[26] Block Trade Combination - **Excess return this week**: 0.83%, Year-to-date excess return: 27.95%, Absolute return this week: 3.01%, Year-to-date absolute return: 40.62%[30] Private Placement Combination - **Excess return this week**: -0.46%, Year-to-date excess return: 7.55%, Absolute return this week: 1.69%, Year-to-date absolute return: 18.19%[36] Quantitative Factors and Construction Methods Single Factors - **Top Performing Factors in CSI 300**: Single-quarter operating profit YoY growth rate (2.40%), Price-to-Book ratio (2.30%), Turnover rate relative volatility (2.19%)[12][13] - **Top Performing Factors in CSI 500**: Downside volatility proportion (3.85%), Intraday volatility and transaction amount correlation (3.44%), Price-to-Earnings TTM inverse (2.31%)[14][15] - **Top Performing Factors in Liquidity 1500**: Price-to-Book ratio (1.67%), Price-to-Earnings TTM inverse (1.20%), Price-to-Earnings ratio (0.97%)[16][17] Factor Backtesting Results CSI 300 - **Single-quarter operating profit YoY growth rate**: 2.40%[12][13] - **Price-to-Book ratio**: 2.30%[12][13] - **Turnover rate relative volatility**: 2.19%[12][13] CSI 500 - **Downside volatility proportion**: 3.85%[14][15] - **Intraday volatility and transaction amount correlation**: 3.44%[14][15] - **Price-to-Earnings TTM inverse**: 2.31%[14][15] Liquidity 1500 - **Price-to-Book ratio**: 1.67%[16][17] - **Price-to-Earnings TTM inverse**: 1.20%[16][17] - **Price-to-Earnings ratio**: 0.97%[16][17]

Quantitative Models and Construction Methods 1. Model Name: PB-ROE-50 - **Model Construction Idea**: The PB-ROE-50 model selects stocks based on a combination of Price-to-Book (PB) ratio and Return on Equity (ROE), aiming to capture value and profitability factors[23] - **Model Construction Process**: - Stocks are ranked based on their PB and ROE metrics - A portfolio is constructed by selecting the top 50 stocks with the best combined PB and ROE scores - The portfolio is rebalanced periodically to maintain the factor exposure[23] - **Model Evaluation**: The model demonstrates the ability to generate excess returns in certain market conditions, particularly in capturing value and profitability factors[23] 2. Model Name: Block Trade Portfolio - **Model Construction Idea**: This model leverages the information embedded in block trades, focusing on stocks with high block trade transaction amounts and low volatility in transaction amounts[29] - **Model Construction Process**: - Identify stocks with high "block trade transaction amount ratio" and low "6-day transaction amount volatility" - Construct a portfolio based on these criteria and rebalance monthly[29] - **Model Evaluation**: The model effectively captures the excess return potential of block trade-related stocks, particularly those with high transaction amounts and low volatility[29] 3. Model Name: Private Placement Portfolio - **Model Construction Idea**: This model focuses on stocks involved in private placements, aiming to capture the event-driven effects of private placements on stock performance[35] - **Model Construction Process**: - Use the shareholder meeting announcement date as the event trigger - Incorporate market capitalization, rebalancing frequency, and position control into the portfolio construction process - Construct a portfolio based on these parameters[35] - **Model Evaluation**: The model captures the investment opportunities arising from private placement events, though its effectiveness may vary depending on market conditions[35] --- Model Backtesting Results 1. PB-ROE-50 Model - **Excess Return (This Week)**: - CSI 500: -0.56% - CSI 800: -0.38% - All Market: 0.92%[24] - **Year-to-Date Excess Return**: - CSI 500: 2.99% - CSI 800: 6.41% - All Market: 9.28%[24] - **Absolute Return (This Week)**: - CSI 500: 1.39% - CSI 800: 0.73% - All Market: 2.47%[24] - **Year-to-Date Absolute Return**: - CSI 500: 8.41% - CSI 800: 9.44% - All Market: 16.07%[24] 2. Block Trade Portfolio - **Excess Return (This Week)**: 1.22% - **Year-to-Date Excess Return**: 25.89% - **Absolute Return (This Week)**: 2.78% - **Year-to-Date Absolute Return**: 33.71%[30] 3. Private Placement Portfolio - **Excess Return (This Week)**: 0.05% - **Year-to-Date Excess Return**: 8.72% - **Absolute Return (This Week)**: 1.59% - **Year-to-Date Absolute Return**: 15.48%[36] --- Quantitative Factors and Construction Methods 1. Factor Name: Beta Factor - **Factor Construction Idea**: Measures the sensitivity of a stock's returns to market returns, capturing systematic risk[18] - **Factor Construction Process**: - Calculate the covariance between the stock's returns and market returns - Divide by the variance of market returns to derive the beta coefficient - $ \beta = \frac{\text{Cov}(R_i, R_m)}{\text{Var}(R_m)} $ - Where $R_i$ is the stock return, and $R_m$ is the market return[18] - **Factor Evaluation**: The factor captures systematic risk effectively and is widely used in portfolio construction and risk management[18] 2. Factor Name: Momentum Factor - **Factor Construction Idea**: Measures the tendency of stocks with high past returns to continue performing well in the future[18] - **Factor Construction Process**: - Calculate the cumulative return of a stock over a specific look-back period (e.g., 6 months or 12 months) - Rank stocks based on their cumulative returns and construct a portfolio of top-ranked stocks[18] - **Factor Evaluation**: The factor is effective in capturing trends in stock performance but may underperform in reversal markets[18] 3. Factor Name: Valuation Factor (e.g., PB, PE, PS) - **Factor Construction Idea**: Measures the relative valuation of stocks based on financial metrics like Price-to-Book (PB), Price-to-Earnings (PE), and Price-to-Sales (PS)[18] - **Factor Construction Process**: - Calculate the PB, PE, or PS ratio for each stock - Rank stocks based on these ratios and construct a portfolio of low-ratio stocks (value stocks)[18] - **Factor Evaluation**: Valuation factors are effective in identifying undervalued stocks but may underperform during growth-driven market phases[18] --- Factor Backtesting Results 1. Beta Factor - **Weekly Return**: 0.48%[18] 2. Momentum Factor - **Weekly Return**: -0.44%[18] 3. Valuation Factor - **Weekly Return**: - PB: 2.57% (CSI 500)[14] - PE: 0.37% (CSI 300)[13] - PS: 1.26% (CSI 300)[13]

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]

- The report tracks the performance of various factors in different stock pools, including the CSI 300, CSI 500, and Liquidity 1500 stock pools[1][2][3] - In the CSI 300 stock pool, the best-performing factors this week were single-quarter net profit year-on-year growth rate (1.02%), single-quarter EPS (1.00%), and PE ratio factor (0.89%)[12][13] - In the CSI 500 stock pool, the best-performing factors this week were EPTTM percentile (1.30%), PB ratio factor (1.07%), and operating cash flow ratio (0.97%)[14][15] - In the Liquidity 1500 stock pool, the best-performing factors this week were post-morning return factor (2.27%), momentum spring factor (1.43%), and PE TTM reciprocal (1.33%)[16][17] - The PB-ROE-50 portfolio achieved positive excess returns in the CSI 500 and CSI 800 stock pools this week, with excess returns of 0.88% and 0.43% respectively[24][25] - The institutional research portfolio tracking strategy achieved positive excess returns this week, with the private equity research tracking strategy achieving an excess return of 0.22% relative to the CSI 800[26][27] - The block trading portfolio achieved a positive excess return of 0.36% relative to the CSI All Share Index this week[30][31] - The directed issuance portfolio achieved a positive excess return of 0.48% relative to the CSI All Share Index this week[35][36]

Quantitative Models and Construction Methods - **Model Name**: PB-ROE-50 **Model Construction Idea**: The model selects stocks based on a combination of Price-to-Book (PB) ratio and Return on Equity (ROE), aiming to capture value and profitability factors[23] **Model Construction Process**: The portfolio is constructed by ranking stocks based on PB and ROE metrics, selecting the top 50 stocks, and rebalancing periodically. Details of the construction process are referenced in earlier reports[23] **Model Evaluation**: The model underperformed this week, delivering negative excess returns across all stock pools, indicating potential challenges in the current market environment[23] - **Model Name**: Public and Private Institution Research Portfolios **Model Construction Idea**: These portfolios are based on stocks that receive significant attention from public and private institutional research, leveraging the informational advantage of institutional focus[25] **Model Construction Process**: Stocks are selected based on the frequency and intensity of institutional research coverage. The portfolios are rebalanced periodically to reflect updated research trends[25] **Model Evaluation**: The public research portfolio achieved positive excess returns this week, while the private research portfolio remained flat, suggesting varying effectiveness of institutional research strategies[25] - **Model Name**: Block Trade Portfolio **Model Construction Idea**: This model identifies stocks with high block trade activity and low volatility, hypothesizing that such stocks exhibit superior subsequent performance[29] **Model Construction Process**: Stocks are ranked based on "block trade transaction ratio" and "6-day transaction volatility." A portfolio is constructed by selecting stocks with high transaction ratios and low volatility, rebalanced monthly[29] **Model Evaluation**: The portfolio delivered strong positive excess returns this week, highlighting the effectiveness of the "high transaction, low volatility" principle[29] - **Model Name**: Private Placement Portfolio **Model Construction Idea**: This model focuses on stocks involved in private placement events, aiming to capture event-driven investment opportunities[34] **Model Construction Process**: Stocks are selected based on private placement announcements, considering factors such as market capitalization, rebalancing frequency, and position control. The portfolio is rebalanced periodically[34] **Model Evaluation**: The portfolio achieved modest positive excess returns this week, indicating the continued relevance of private placement events in generating alpha[34] Model Backtesting Results - **PB-ROE-50 Model**: - Excess return (CSI 500): -0.26% - Excess return (CSI 800): -0.83% - Excess return (All Market): -1.00%[24] - **Public Research Portfolio**: - Excess return (CSI 800): 0.81%[26] - **Private Research Portfolio**: - Excess return (CSI 800): 0.00%[26] - **Block Trade Portfolio**: - Excess return (CSI All Share): 1.55%[30] - **Private Placement Portfolio**: - Excess return (CSI All Share): 0.19%[35] Quantitative Factors and Construction Methods - **Factor Name**: Momentum Factor **Factor Construction Idea**: Captures the momentum effect by identifying stocks with strong recent performance[18] **Factor Construction Process**: Stocks are ranked based on their recent price performance, and the factor is constructed by taking long positions in high-momentum stocks and short positions in low-momentum stocks[18] **Factor Evaluation**: The factor delivered positive returns this week, indicating the presence of momentum effects in the market[18] - **Factor Name**: Nonlinear Market Cap Factor **Factor Construction Idea**: Measures the nonlinear relationship between market capitalization and stock returns[18] **Factor Construction Process**: The factor is derived by fitting a nonlinear regression model to market cap and return data, isolating the nonlinear component[18] **Factor Evaluation**: The factor underperformed this week, reflecting the dominance of small-cap stocks in the market[18] - **Factor Name**: Residual Volatility Factor **Factor Construction Idea**: Identifies stocks with low residual volatility, hypothesizing that such stocks exhibit superior risk-adjusted returns[18] **Factor Construction Process**: Residual volatility is calculated by regressing stock returns on market returns and measuring the standard deviation of residuals. Stocks with low residual volatility are favored[18] **Factor Evaluation**: The factor delivered negative returns this week, suggesting a challenging environment for low-volatility strategies[18] Factor Backtesting Results - **Momentum Factor**: Weekly return: 0.69%[18] - **Nonlinear Market Cap Factor**: Weekly return: -0.58%[18] - **Residual Volatility Factor**: Weekly return: -0.64%[18]