RIYGR10 選股模型介紹

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當前版本:202212

本模型使用Bloomberg數據終端EQS功能,選股條件如下:

  • 選股範圍:羅素1000指數中正常交易的股票;
  • 如果存在多種類型的股票同時在市場交易,選取其最主要的類型(比如A類股);
  • 剔除金融股
  • 最近一年(Trailing12 Month)收入規模在10億美元以上
  • 連續12個季度的收入同比增長率大於10%
  • 近三個月日均交易額大於2億美元
  • EMA60日均線高於EMA120日均線
  • 最近一個交易日收盤價高於60天前的收盤價
  • 最近一個交易日收盤價高於20週前的收盤價
  • 滿足上述條件的股票中選取市值最小的10支股票

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Current version: 202212

This model uses the EQS function of the Bloomberg Terminal, and the stock selection criteria are as follows:

  • Trading Status: Active
  • Indices: Russell 1000
  • Primary Security of company only
  • GICS Financial sector excluded
  • Trailing 12 month Revenue (USD) > 1000M
  • Period over Period Growth of Revenue from 4 quarters ago to latest quarter > 10
  • Period over Period Growth of Revenue from 5 quarters ago to 1 quarter(s) ago > 10
  • Period over Period Growth of Revenue from 6 quarters ago to 2 quarter(s) ago > 10
  • Period over Period Growth of Revenue from 7 quarters ago to 3 quarter(s) ago > 10
  • Period over Period Growth of Revenue from 8 quarters ago to 4 quarter(s) ago > 10
  • Period over Period Growth of Revenue from 9 quarters ago to 5 quarter(s) ago > 10
  • Period over Period Growth of Revenue from 10 quarters ago to 6 quarter(s) ago > 10
  • Period over Period Growth of Revenue from 11 quarters ago to 7 quarter(s) ago > 10
  • Period over Period Growth of Revenue from 12 quarters ago to 8 quarter(s) ago > 10
  • Period over Period Growth of Revenue from 13 quarters ago to 9 quarter(s) ago > 10
  • Period over Period Growth of Revenue from 14 quarters ago to 10 quarter(s) ago > 10
  • Period over Period Growth of Revenue from 15 quarters ago to 11 quarter(s) ago > 10
  • Average of Daily Turnover / Trade Value over 3 Months(USD) >200000000
  • Moving Average – Exponential with Period 60 > Moving Average – Exponential with Period 120
  • Price 1 Day ago > Price 60 Days ago
  • Price 1 Day ago > Price 20 Weeks ago
  • Top 10 Sequential Rank – Lower is Better (Market Cap)

模型分析與回測條件

  • 調倉日期:每月第三個星期五,滿足條件選入,不滿足者剔除。
  • 回測時長:2000年1月21日~2022年12月16日,共276次調倉。
  • 持倉條件:等權重(Equally Weighted)。

Model analysis and backtesting conditions:

  • Rebalancing date: The third Friday of every month, stocks that meet the criteria are selected, and those that do not meet the criteria are removed.
  • Backtesting duration: January 21, 2000 to December 16, 2022, a total of 276 rebalances.
  • Portfolio Weighting: Equal weight.

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截止2022年12月16日最後一次調倉之後的回測結果如下:

The backtesting results after the final rebalance on December 16, 2022 are as follows:

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模型風險回報統計數據:過去5年(截止2022年12月27日收盤)如下:

Model risk and return 5-year statistical data (as of the close on December 27, 2022):

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模型風險回報統計數據:過去10年(截止2022年12月27日收盤)如下:

Model risk and return 10-year statistical data (as of the close on December 27, 2022):

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模型近五年的回報曲線(對比標普500指數)如下:2018年1月19日第一次調倉至2022年12月27日收盤

Total return for the past five years (compared to the S&P 500 index): from the first rebalance on January 19, 2018 to the close on December 27, 2022.

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模型最近一年的回報曲線(對比標普500指數)如下:2022年1月21日第一次調倉至2022年12月27日

Total return for the past year (compared to the S&P 500 index): from the first rebalance on January 21, 2022 to the close on December 27, 2022.

以上測試數據僅做研究之用,不可視為投資建議。請閱讀免責聲明

Test results above are for research purposes only and should not be considered as investment advice. Please read our Disclaimer.

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LEI

2022-12-30

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