- Factor Name: EPD (Valuation Deviation Factor) - Construction Idea: Combining the Bollinger Bands mean reversion strategy commonly used in the CTA field with the logic of fundamental valuation repair, utilizing the mean reversion characteristic of the PE valuation indicator[7] - Construction Process: The EPD factor is constructed by using the mean reversion characteristic of the PE valuation indicator[7] - Evaluation: The EPD factor aims to capture valuation deviations and mean reversion in stock prices[7] - Factor Name: EPDS (Slow Deviation Factor) - Construction Idea: To eliminate the impact of changes in individual stock valuation logic, the EPD factor is used to remove the probability of individual stock valuation logic being altered (represented by the individual stock information ratio)[7] - Construction Process: The EPDS factor is constructed by using the EPD factor to remove the probability of individual stock valuation logic being altered[7] - Evaluation: The EPDS factor aims to provide a more stable measure of valuation deviations by accounting for changes in individual stock valuation logic[7] - Factor Name: EPA (Valuation Anomaly Factor) - Construction Idea: Removing the influence of Beta, growth, and value styles that affect the "valuation anomaly" logic[7] - Construction Process: The EPA factor is constructed by removing the influence of Beta, growth, and value styles from the EPD factor[7] - Evaluation: The EPA factor aims to capture valuation anomalies by eliminating the influence of common market factors[7] Factor Backtesting Results - EPD Factor - Annualized Return: 17.46%[2][8][12] - Annualized Volatility: 9.92%[2][8][12] - Information Ratio (IR): 1.76[2][8][12] - Monthly Win Rate: 70.37%[2][8][12] - Maximum Drawdown: 8.93%[2][8][12] - EPDS Factor - Annualized Return: 16.03%[2][8][12] - Annualized Volatility: 5.74%[2][8][12] - Information Ratio (IR): 2.79[2][8][12] - Monthly Win Rate: 78.31%[2][8][12] - Maximum Drawdown: 3.10%[2][8][12] - EPA Factor - Annualized Return: 17.15%[2][8][12] - Annualized Volatility: 5.16%[2][8][12] - Information Ratio (IR): 3.33[2][8][12] - Monthly Win Rate: 80.42%[2][8][12] - Maximum Drawdown: 3.12%[2][8][12]

Quantitative Factors and Construction Methods 1. Factor Name: Valuation Deviation (EPD) Factor - **Construction Idea**: Combines the mean-reversion strategy commonly used in CTA with the valuation repair logic of fundamentals, leveraging the mean-reversion characteristics of the PE valuation metric[7][2] - **Construction Process**: - Utilize the mean-reversion property of the PE ratio to construct the EPD factor[7] - The factor captures valuation deviations based on historical PE levels[7] - **Evaluation**: Reflects the valuation deviation of stocks, providing a basis for mean-reversion strategies[7] 2. Factor Name: Slow Deviation (EPDS) Factor - **Construction Idea**: Removes the impact of changes in individual stock valuation logic by using the EPD factor to exclude stocks with altered valuation logic, represented by the stock's information ratio[7][2] - **Construction Process**: - Use the EPD factor as a base - Exclude stocks with high probabilities of valuation logic changes, as proxied by their information ratios[7] - **Evaluation**: Focuses on stocks with stable valuation logic, enhancing the robustness of the factor[7] 3. Factor Name: Valuation Anomaly (EPA) Factor - **Construction Idea**: Further removes the influence of beta, growth, and value styles from the EPDS factor to isolate the "valuation anomaly" logic[7][2] - **Construction Process**: - Start with the EPDS factor - Adjust for beta, growth, and value style influences to refine the factor[7] - **Evaluation**: Provides a purer measure of valuation anomalies, making it more effective for stock selection[7] --- Factor Backtesting Results 1. Valuation Deviation (EPD) Factor - Annualized Return: 17.47%[2][8][12] - Annualized Volatility: 9.94%[2][8][12] - IR: 1.76[2][8][12] - Monthly Win Rate: 70.59%[2][8][12] - Maximum Drawdown: 8.93%[2][8][12] 2. Slow Deviation (EPDS) Factor - Annualized Return: 16.12%[2][8][12] - Annualized Volatility: 5.74%[2][8][12] - IR: 2.81[2][8][12] - Monthly Win Rate: 78.61%[2][8][12] - Maximum Drawdown: 3.10%[2][8][12] 3. Valuation Anomaly (EPA) Factor - Annualized Return: 17.29%[2][8][12] - Annualized Volatility: 5.14%[2][8][12] - IR: 3.37[2][8][12] - Monthly Win Rate: 80.75%[2][8][12] - Maximum Drawdown: 3.12%[2][8][12]

证券研究报告·金融工程·金工定期报告 金工定期报告 20250507 估值异常因子绩效月报 20250430 2025 年 05 月 07 日 [Table_Tag] [Table_Summary] 报告要点 ◼ 估值偏离 EPD 因子多空对冲绩效（全市场）：2010 年 2 月至 2025 年 4 月，估值偏离 EPD 因子在全体 A 股（剔除北交所股票）中，5 分组多 空对冲的年化收益为 17.65%，年化波动为 10.02%，信息比率为 1.76， 月度胜率为 71.04%，月度最大回撤为 8.93%。 ◼ 缓慢偏离 EPDS 因子多空对冲绩效（全市场）：2010 年 2 月至 2025 年 4 月，缓慢偏离 EPDS 因子在全体 A 股（剔除北交所股票）中，5 分组 多空对冲的年化收益为 16.31%，年化波动为 5.73%，信息比率为 2.85， 月度胜率为 79.23%，月度最大回撤为 3.10%。 ◼ 估值异常 EPA 因子多空对冲绩效（全市场）：2010 年 2 月至 2025 年 4 月，估值异常 EPA 因子在全体 A 股（剔除北交所股票）中，5 分组多空 对冲的年化收益为 17.30%， ...