✦Research Report Catalog✦
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Huafu Securities
Valuation series topic (2): How does the market look like? Review from the perspective of valuation quantiles
Release date: 2022-10-09 Keywords: stock, index, valuation
Main content: The article finds that the market bottom of the broad-based index is consistent. Using the 8 market bottoms of Wind Quan A and China Securities Index as representatives, the review is carried out in reverse order: the market bottom often corresponds to the valuation At the low level of the quantile, the 4-year rolling valuation of the main broad-based index PE is basically within the 20% quantile, and most of them are within 10%.
Kaiyuan Securities
Combing the research framework of Beijing Capital
Release Date: 2022-10-13 Keywords: Stocks, Northbound Capital
Main content: The article divides the funds in the north from the institutional division (Chinese capital vs. foreign capital, bank vs. brokerage), timing (daytime net inflow vs. time-sharing net inflow, allocation vs. transaction) and factor stock selection (stock vs. incremental, weighted vs. Equal weight) and other perspectives for systematic analysis.
Soochow Securities
"Technical Analysis Embracing Stock Selection Factors" Series Research (11): New Price Volume Correlation RPV Stock Selection Factor——Correlation is the best yardstick for price-volume coordination
Release date: 2022-10-12 Keywords: stock, technology, factor
Main content: By dividing the four quadrants of price and volume, the article uses the average monthly IC to effectively identify the reversal effect and momentum effect of the correlation factor of bid volume. ” information to find the best representative for intraday and overnight price-volume correlation, and complete information superposition to obtain a novel and “capable” RPV factor.
Huaxin Securities
Construct industry rotation with market analyst expectations and financial report data
Release date: 2022-10-14 Keywords: industry, analyst expectations, financial report data
Main content: The article combines analysts' expected data with static financial report data, constructs a composite indicator based on financial report expectations and creates an industry rotation strategy. The annualized excess return reaches 11.37%, and the largest long-short drawdown in the past five years is only 7%. Sharp The ratio reaches 1 or more.
Bank of China Securities
Bank of China Quantitative Industry Rotation Series (VIII): "Valuation Bubble Protection" High-Prosperity Industry Rotation Strategy
Release Date: 2022-10-18 Keywords: Stocks, Industry Rotation, Consensus Expectations
Main content: Use the industry consensus forecast data constructed by the equal weight overall method to replace the summary of individual stocks, and add the "extreme valuation protection" mechanism, and innovatively use the hierarchical clustering method to group the "analyst consensus forecast factors" Preferably, a set of high-boom industry rotation strategies based on "valuation bubble protection" is constructed. The final annualized excess return of this strategy is 15.6%, and the maximum drawdown is -11%.
Guolian Securities
Fund position calculation based on Barra
Release date: 2022-10-19 Keywords: fund, Barra model
Main content: The article draws on the detailed position data of the previous period to calculate the change of the fund's stock position ratio through secondary programming, and calculates the industry adjustment of the fund based on the Barra model.
Sinolink Securities
Brokerage Gold Stock Portfolio Enhancement Strategies: Evaluation of Multi-Dimensional Sell-side Analysts’ Forecasting Ability
Release date: 2022-10-21 Keywords: stocks, analysts' forecasts, brokerage gold stocks
Main content: The article builds the analyst evaluation system through the four dimensions of Alpha mining ability, forecast winning rate, report diligence and platform advantages, and constructs analyst evaluation factors. The average IC of the factors reaches 3.54%, and the long-short combination The rate of return reached 14.52%; the "Golden Selected" enhanced strategy achieved an annualized rate of return of 25.65% and a Sharpe ratio of 0.93.
CICC
How to Quantify the Allocation Value of the Neutral Strategy in the Stock Market
Release date: 2022-10-21 Keywords: stock, neutral strategy
Main content: This report analyzes the income sources of the neutral strategy in the stock market, and builds a timing model for the neutral strategy in the stock market based on this. The timing model can effectively avoid the retracement period of the neutral strategy in the domestic and foreign stock markets. and achieve overall revenue enhancement. At the same time, the study found that the stock market neutral strategy has high value in improving the portfolio Sharpe ratio and smoothing the portfolio fluctuation and retracement.
Everbright Securities
Institutional research is hot, how to extract excess returns? ——Quantitative stock selection series report eighth
Release date: 2022-10-23 Keywords: stock, institutional research
Main content: The article research found that institutions prefer to investigate stocks with higher gains, and avoiding stocks with higher gains is a better choice in terms of allocation; the more times they are investigated, the greater the possibility that stocks will obtain more excess returns; public offering research and well-known The stock performance of private equity research is better; the stock selection strategy of public equity research and the tracking strategy of private equity research perform well.
Sealand Securities
Analysis Report on the Certainty Improvement Path of Growth Stock Investment in Prosperity
Release date: 2022-10-24 Keywords: stocks, brokerage gold stocks, growth stocks
Main content: The article takes the first coverage of the brokerage gold stock pool as the carrier, selects individual stocks with a prosperity index higher than 30%, lags behind two trading days for swap positions, and neutralizes the industry. The annualized rate of return of the strategy is as high as 39.03%, and the information ratio is 1.58.
Founder Securities
Multi-factor stock selection series research VII: Enhanced stock selection strategy based on Wind partial stock hybrid fund index
Release date: 2022-10-24 Keywords: stocks, funds, enhanced stock selection
Main content: The article selects funds through factors such as fund alpha factor, information ratio factor, and fund size factor, and builds a stock selection portfolio based on nine major factors such as market value, valuation, and profit based on the heavy holdings of these funds. The annualized rate of return of this enhanced combination is 19.07%.
Guosheng Securities
"Volume Price Gold Rush" Stock Selection Factor Series Research (2) Momentum and Reversal under Different Trader Structures
Release Date: 2022-10-25 Keywords: Stocks, Momentum, Reversal
Main content: The article uses trader structure data to extract the most informative part of traditional factors, and constructs a new inversion factor based on trader structure. The average monthly IC of the factor is -0.057, and the annualized ICIR is -2.60; the annualized return of 5-group long-short hedging is 19.64%, the information ratio is 2.46, the monthly winning rate is 76.92%, and the maximum retracement is 6.76%. The effect of stock selection is remarkable superior to traditional factors.
Orient Securities
Eighty-five of the factor stock selection series: Performance exceeding expectations based on financial reports
Release Date: 2022-10-27 Keywords: Stocks, Exceeding Expectations, Earnings Forecast
Main content: Based on the financial information announced by the company, this article attempts to measure performance exceeding expectations from multiple perspectives. The selected angles are the traditional depiction of performance exceeding expectations, the supplementary application of performance forecasts, the market reaction before and after the announcement, and the use of time-series networks. . The RankICs of the factors after equal-weight synthesis in the article are 6.69% and 7.81% in CSI 300 and CSI All-Indices respectively, and the annualized excess return of long positions on CSI All-Indices is 18.53%.
Southwest Securities
Special Report on Financial Engineering: Analysis and Discussion of Fund Performance Attribution Model
Release date: 2022-10-31 Keywords: funds, performance attribution
Main content: This article sorts out and discusses fund performance attribution models from the aspects of theoretical models and empirical examples, including the regression method based on net worth income sequence and the cross-sectional analysis method based on position data; 7 performance attribution models: single Period Brinson model, single-period BF model, multi-period BF model, multi-factor model based on stock holdings, stock selection timing model, style configuration model, factor model, these models mainly focus on asset allocation, industry allocation, stock selection, style, etc. Different modules decompose the combined income.
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