Quantitative market tracking
Performance of major factors: in the stock pool of the whole market this week. The leverage factor achieved an obvious positive return of 0.71%. The logarithmic market value factor obtains a positive return of 0.57%, and the nonlinear market value factor obtains a negative return of – 0.60%. The market tends to be large market value style. The return of BP factor is 0.36%, and the market value effect is obvious. The return of liquidity factor is – 0.83%, and the return of residual volatility factor is – 0.64%. The performance of other style factors is general.
Single factor performance: in the CSI 300 stock pool. The factors with better performance this week include the 5-day moving average of trading volume index (0.43%) and the 20-day moving average of trading volume index (0.39%). Factors with poor performance include single quarter ROA (- 4.23%), epttm quantile (- 4.21%) and standardized unexpected income (- 4.06%).
CSI 500 stock pool. The factors that performed well this week were price to book ratio (1.13%), year-on-year growth rate of operating revenue in a single quarter (0.88%), and reciprocal price earnings ratio TTM (0.64%). The factors with poor performance include net profit margin TTM (- 2.08%), EPS (- 1.96%) in a single quarter, and the ratio of 5-day average turnover rate to 120 day average turnover rate (- 1.79%).
Liquidity 1500 shares in the pool. The factors that performed well this week were the 60 day average turnover rate (3.42%), the price to book rate factor (2.92%) and the 20 day average turnover rate (2.88%). The factors with poor performance include the year-on-year growth rate of operating profit in a single quarter (- 1.24%), the year-on-year growth rate of net profit in a single quarter (- 1.10%), and the net profit rate TTM (- 0.87%).
Factor performance in the industry: this week, the overall performance of fundamental factors in various industries was differentiated. The factor of net asset growth rate performs well in food and beverage, building materials, banking, real estate and other industries; The net profit growth rate factor performs well in household appliances, food and beverage, beauty care, banking, commercial trade and other industries. Momentum factors have obvious reversal effect in most industries, and significant momentum effect in computer, coal, banking, commercial trade and other industries. Among the valuation factors, public utilities, non-ferrous metals, coal, environmental protection, building materials, real estate, building decoration, steel and other industries performed better. In terms of market value style, the large market value effect of various industries is obvious, and the small market value effect of industries such as national defense and military industry, media and leisure services is obvious. Residual volatility and liquidity factors are also differentiated in various industries, and positive returns are obvious in coal, banking and other industries.
Pb-roe-50 portfolio tracking: pb-roe-50 portfolio retreated in each stock pool this week. The excess return in the CSI 500 stock pool was – 0.11%, the excess return in the CSI 800 stock pool was – 1.94%, and the excess return in the whole market stock pool was – 2.37%.
Risk analysis: the report results are based on historical data, which may not be verified repeatedly.
