因子收益率¶
符号 |
中文名称 |
英文名称 |
计算说明 |
超参数 |
进度 |
|---|---|---|---|---|---|
market_premium_returns |
市场资产组合收益率 |
Return of the market portfolio |
见原始paper和我们的专题计算说明 |
N/A |
√ |
SMB_3 |
(FF3因子模型)市值因子收益率 |
SMB stands for returns from “Small [market capitalization] Minus Big” |
见原始paper和我们的专题计算说明 |
N/A |
√ |
HML_3 |
(FF3因子模型)账面市值比因子收益率 |
HML for returns from “High [book-to-market ratio] Minus Low” |
见原始paper和我们的专题计算说明 |
N/A |
√ |
SMB_5 |
(FF3因子模型)市值因子收益率 |
Same as above |
见原始paper和我们的专题计算说明 |
N/A |
√ |
HML_5 |
(FF5因子模型)账面市值比因子收益率 |
Same as above |
见原始paper和我们的专题计算说明 |
N/A |
√ |
SMB_book_to_market |
(FF5因子模型)市值因子收益率(账面市值比) |
Same as above |
见原始paper和我们的专题计算说明 |
N/A |
√ |
SMB_operating_profit_ratio |
(FF5因子模型)市值因子收益率(营业利润率) |
Same as above |
见原始paper和我们的专题计算说明 |
N/A |
√ |
SMB_investment_ratio |
(FF5因子模型)市值因子收益率(总资产) |
Same as above |
见原始paper和我们的专题计算说明 |
N/A |
√ |
CMA_5 |
(FF5因子模型)投资因子收益率 |
CMA_5 stands for returns from “Conservative [invesetment ratio] Minus Aggressive” |
见原始paper和我们的专题计算说明 |
N/A |
√ |
RMW_5 |
(FF5因子模型)盈利因子收益率 |
RMW_5 stands for returns from “Robust [operating profit retio] Minus weak” |
见原始paper和我们的专题计算说明 |
N/A |
√ |
SIZE |
(BARRA因子模型)市值因子收益率 |
Size factor returns |
Natural log of market cap |
N/A |
√ |
BETA |
(BARRA因子模型)贝塔因子收益率 |
Beta factor returns |
The time-series regression of excess stock returns against the cap-weighted estimation universe |
N/A |
√ |
MOMENTUM |
(BARRA因子模型)动量因子收益率 |
Momentum factor returns |
The sum of excess log returns over the trailling 504 trading days with a lag of 21 trading days |
N/A |
√ |
RESVOL |
(BARRA因子模型)残差波动因子收益率 |
Residual volatility factor returns |
0.74(Daily standard deviation) + 0.16(Cumulative range) + 0.10*(Historical sigma) |
N/A |
√ |
EARNYILD |
(BARRA因子模型)盈利预期因子收益率 |
Earning yield factor returns |
0.68(Analyst predicted earnings-to-price)+0.11(Trailing earnings-to-price ratio)+0.21(Cash earnings-to-price ratio) |
N/A |
√ |
GROWTH |
(BARRA因子模型)成长因子收益率 |
Growth factor returns |
0.47(Sales growth trailing five years)+0.24(Earnings growth trailing five years)+0.18(Long-term predicted earnings growth)+0.11(Short-term predicted earnings growth) |
N/A |
√ |
BTOP |
(BARRA因子模型)账面市值比因子收益率 |
Book-to-Price factor returns |
Last reported book value of common equity divided by current market capitalization |
N/A |
√ |
LEVERAGE |
(BARRA因子模型)杠杆因子收益率 |
Leverage factor returns |
0.38(Market leverage)+0.35(Debt-to-assets)+0.27(Book leverage) |
N/A |
√ |
LIQUIDTY |
(BARRA因子模型)流动性因子收益率 |
Liquidity factor returns |
0.35(Share turnover one month)+0.35(Average share turnover trailing 3 months)+0.3(Average share turnover trailing 12 months |
N/A |
√ |
SIZENL |
(BARRA因子模型)非线性市值因子收益率 |
Non-linear size factor returns |
The standardized Size exposure is cubed. The resulting factor is then orthogonalized to the Size factor on a regression-weighted basis. The factor is winsorized and standardized |
N/A |
√ |
ENERGY |
(BARRA因子模型)能源行业因子收益率 |
Energy industry factor returns |
N/A |
√ |
|
CHEM |
(BARRA因子模型)化学制品行业因子收益率 |
Chemicals industry factor returns |
N/A |
√ |
|
CONMAT |
(BARRA因子模型)建筑材料行业因子收益率 |
Construction materials industry factor returns |
N/A |
√ |
|
MTLMIN |
(BARRA因子模型)金属与采矿行业因子收益率 |
Diversified metals industry factor returns |
N/A |
√ |
|
MATERIAL |
(BARRA因子模型)容器与包装、纸产品与林产品 |
Materials industry factor returns |
N/A |
√ |
|
AERODEF |
(BARRA因子模型)航空航天与国防行业因子收益率 |
Aerospace and defense industry factor returns |
N/A |
√ |
|
BLDPROD |
(BARRA因子模型)建筑产品行业因子收益率 |
Building products industry factor returns |
N/A |
√ |
|
CNSTENG |
(BARRA因子模型)建筑与工程行业因子收益率 |
Construction and engineering industry factor returns |
N/A |
√ |
|
ELECEQP |
(BARRA因子模型)电气设备行业因子收益率 |
Electrical equipment industry factor returns |
N/A |
√ |
|
INDCONG |
(BARRA因子模型)工业集团企业行业因子收益率 |
Industrial conglomerates industry factor returns |
N/A |
√ |
|
MACH |
(BARRA因子模型)机器制造行业因子收益率 |
Industrial machinerys industry factor returns |
N/A |
√ |
|
TRDDIST |
(BARRA因子模型)贸易公司与经销商行业因子收益率 |
Trading companies and distributors industry factor returns |
N/A |
√ |
|
COMSERV |
(BARRA因子模型)商品服务与供应品行业因子收益率 |
Commercial and professional services industry factor returns |
N/A |
√ |
|
AIRLINE |
(BARRA因子模型)航空货运与物流、航空公司行业因子收益率 |
Airlines industry factor returns |
N/A |
√ |
|
MARINE |
(BARRA因子模型)海运行业因子收益率 |
Marine industry factor returns |
N/A |
√ |
|
RDRLTRAN |
(BARRA因子模型)公路与铁路、交通基本设施行业因子收益率 |
Road rail and transportation infrastructure industry factor returns |
N/A |
√ |
|
AUTO |
(BARRA因子模型)汽车与零部件行业因子收益率 |
Automobiles and components industry factor returns |
N/A |
√ |
|
HOUSEDUR |
(BARRA因子模型)家庭耐用消费品行业因子收益率 |
Household durables (non-Homebuilding) industry factor returns |
N/A |
√ |
|
LEISLUX |
(BARRA因子模型)休闲设备与用品、纺织品、服装与奢侈品行业因子收益率 |
Leisure products textiles apparel and luxury industry factor returns |
N/A |
√ |
|
CONSSERV |
(BARRA因子模型)消费者服务行业因子收益率 |
Hotels restaurants and leisure industry factor returns |
N/A |
√ |
|
MEDIA |
(BARRA因子模型)媒体行业因子收益率 |
Media industry factor returns |
N/A |
√ |
|
RETAIL |
(BARRA因子模型)零售业行业因子收益率 |
Retail industry factor returns |
N/A |
√ |
|
PERSPRD |
(BARRA因子模型)食品与主要用品零售、家庭与个人用品行业因子收益率 |
Food staples retail household personal prod industry factor returns |
N/A |
√ |
|
BEV |
(BARRA因子模型)饮料行业因子收益率 |
Beverages industry factor returns |
N/A |
√ |
|
FOODPROD |
(BARRA因子模型)食品行业因子收益率 |
Food products industry factor returns |
N/A |
√ |
|
HEALTH |
(BARRA因子模型)医疗保健行业因子收益率 |
Health industry factor returns |
N/A |
√ |
|
BANKS |
(BARRA因子模型)银行行业因子收益率 |
Banks industry factor returns |
N/A |
√ |
|
DVFININS |
(BARRA因子模型)综合金融、保险行业因子收益率 |
Diversified financial services industry factor returns |
N/A |
√ |
|
REALEST |
(BARRA因子模型)房地产行业因子收益率 |
Real estate industry factor returns |
N/A |
√ |
|
SOFTWARE |
(BARRA因子模型)软件与服务行业因子收益率 |
Software industry factor returns |
N/A |
√ |
|
HDWRSEMI |
(BARRA因子模型)技术硬件与设备、扁导体与扁导体生产设备、电信业务行业因子收益率 |
Hardware and semiconductors industry factor returns |
N/A |
√ |
|
UTILITIE |
(BARRA因子模型)公用事业行业因子收益率 |
Utilities industry factor returns |
N/A |
√ |
|
COUNTRY |
(BARRA因子模型)国家因子收益率 |
Country factor returns |
N/A |
√ |