金融工程周报：跟踪周报：风格切换，效应收缩

| 2022-12-05 TTM long_term_relative_strength TTM 021-80401733 zhoutong@citicsf.com F3078183Z0018055 .....................................................................................1 ..................................................................3 ...................................................................3 Barra.............................................................3 /......................................................4 ..............................................................4 ...................................................................4 Barra.............................................................5 /..................................................6 ..............................................................7 .................................................................8 .................................................................9 1Barra...........................................10 2/..........................................11 3/..........................................12 4....................................................................13 ..................................................................................14 1RankIC-...................................................3 2BarraRankIC-.............................................3 3/RankIC.....................................4 4...................................................4 5Barra.............................................6 6/..................................7 7RankIC8 8RankIC8 9RankIC9 10RankIC9 11Barra..............................................10 12/.............................................11 14 13/.........................................12 2/ TTM 1 0 -0.01 -0.02 -0.03 -0.04 -0.05 -0.06 -0.07 long_term_relative_strength 2 0.04 0.02 0 -0.02 -0.04 -0.06 -0.08 3 0.12 0.1 0.08 0.06 0.04 0.02 0 -0.02 -0.04 -0.06 -0.08 RankIC RankIC_IR RankIC_IR 4 RankIC CI005001 48 TTM -0.076 TTM -0.479 CI005002 36 -0.176 -0.943 CI005003 116 0.075 1.297 CI005004 195 0.087 0.400 CI005005 55 0.117 0.923 CI005006 428 -0.047 -0.610 CI005007 155 -0.072 -0.718 CI005008 86 -0.067 -0.598 CI005009 146 -0.066 -1.086 CI005010 511 -0.039 1.517 CI005011 292 0.046 0.469 CI005012 102 TTM -0.068 TTM -0.501 CI005013 201 0.035 -0.201 CI005014 114 -0.093 -0.967 CI005015 54 TTM -0.176 -0.992 CI005016 81 -0.082 EPS(%) -0.810 EPS(%) CI005017 104 -0.065 -1.526 CI005018 426 0.080 BPS -0.651 CI005019 127 -0.058 -0.524 CI005020 93 0.107 EPS(%) 2.472 EPS(%) CI005021 42 -0.146 -0.557 CI005022 71 0.085 0.954 CI005023 128 TTM -0.123 TTM -1.334 CI005024 120 TTM -0.174 -0.877 CI005025 365 TTM -0.026 0.323 CI005026 127 TTM -0.079 EPS(%) -0.987 CI005027 295 0.028 0.497 CI005028 154 TTM -0.129 BPS -5.258 CI00502955 EPS(%) 0.0981.047 CI005030 16 0.162 0.841 5 RankIC RankIC RankIC_IR RankIC_IR CI005001 47 long_term_relative_strength 0.123 quarterly_share_turnover 0.696 CI005002 36 long_historical_alpha 0.174 long_term_historical_alpha 1.125 CI005003 111 size_lncap 0.098 relative_strength 0.580 CI005004 170 long_term_relative_strength 0.134 long_term_relative_strength 0.546 CI005005 52 cumulative_range 0.089 cumulative_range 0.498 CI005006 360 hist_alpha 0.083 hist_alpha 0.495 CI005007 132 long_term_historical_alpha 0.060 relative_strength 0.424 CI005008 81 long_term_historical_alpha 0.090 long_term_historical_alpha 0.748 CI005009 128 monthly_share_turnover 0.089 quarterly_share_turnover 0.677 CI005010 405 long_term_relative_strength 0.063 long_term_historical_alpha 0.677 CI005011 257 relative_strength 0.070 annualized_traded_value_ratio 0.521 CI005012 86 annual_share_turnover 0.108 annual_share_turnover 0.810 CI005013 172 relative_strength 0.103 relative_strength 0.540 CI005014 112 midcap 0.095 hist_sigma 1.451 CI005015 50 hist_beta 0.135 midcap 0.838 CI005016 75 monthly_share_turnover 0.130 monthly_share_turnover 0.729 CI005017 89 long_term_relative_strength 0.091 long_term_relative_strength 1.129 CI005018 352 long_term_relative_strength 0.074 long_term_relative_strength 0.567 CI005019 112 relative_strength 0.128 relative_strength 0.733 CI005020 88 annual_share_turnover 0.183 annual_share_turnover 1.814 CI005021 37 long_term_relative_strength 0.237 long_term_relative_strength 0.875 CI005022 69 daily_std 0.051 monthly_share_turnover 0.402 CI005023 127 long_relative_strength 0.084 long_term_relative_strength 0.421 CI005024 116 hist_alpha 0.126 hist_alpha 1.429 CI005025 287 monthly_share_turnover 0.035 annual_share_turnover 0.449 CI005026 120 long_term_historical_alpha 0.085 midcap 1.085 CI005027 261 annual_share_turnover 0.066 annual_share_turnover 0.783 CI005028 149 hist_beta 0.147 long_term_relative_strength 0.707 CI005029 57 long_term_historical_alpha 0.100 long_term_historical_alpha 0.913 CI005030 17 long_term_relative_strength 0.178 long_term_relative_strength 1.185 6 RankIC RankIC RankIC_IR CI005001 47 alpha