++

prepare_prompt/alpha_prompt.txt

@@ -1,8 +1,11 @@
-Tail Liquidity Premium Factor
-Hypothesis
-During periods of market stress, small-cap or low-liquidity stocks often experience excessive discounting due to concentrated selling by investors, yet they tend to exhibit stronger subsequent rebounds compared to large-cap stocks—manifesting a "tail liquidity premium." This phenomenon stems from institutional aversion to liquidity risk and retail-driven irrational trading under extreme sentiment, creating short-term mispricing that offers opportunities for contrarian strategies.
-Implementation
-Using daily trading data from the past 20 days, select the bottom 10% of stocks by turnover ratio across the market. Compute the volatility of their excess returns relative to industry averages. The final factor score is the product of this volatility and the magnitude of recent price drawdown, designed to identify oversold tail assets with rebound potential.
+研究因子名称
+基金季报超预期一致动量
+
+假设
+基金经理的管理能力不仅体现在其历史业绩的持续性上，更反映在对上市公司未来盈利的预判和先导性布局上。当一只基金在季度报告中，其重仓股组合的整体未来盈利预期（如下季度一致预期EPS的调整幅度）显著优于市场平均水平时，这表明该基金经理的选股能力获得了专业卖方分析师的即时验证，其持仓组合蕴含着未被市场完全定价的积极信息。这种基于机构专业判断形成的“超预期共识”将产生持续的动量效应，因为信息的消化和资金的跟进需要时间，使得具备该特征的基金在未来一段时间内有望继续跑赢。
+
+实施方案
+在每季度基金报告（季报/年报）披露后，提取其公布的前十大重仓股及其持仓权重。对于每只重仓股，计算其在基金报告截止日之后（如下一月）的卖方一致预期EPS（未来12个月）的月度环比调整百分比。然后，以持仓市值为权重，加权计算该基金重仓股组合的整体预期调整幅度。将此加权调整幅度与全市场所有股票的平均预期调整幅度（或基准指数成分股的平均值）进行比较，得到“超预期幅度”因子值。最终，根据该因子值对所有基金进行排序，构建多空组合或用于截面收益预测。
 
 
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prepare_prompt/keys_text.txt

@@ -1,5 +1,7 @@
-Tail Liquidity Premium Factor
+['fund', 'holding', 'portfolio', 'consensus', 'eps', 'earnings', 'estimate', 'revision', 'change', 'expectation', 'momentum', 'institutional', 'analyst', 'weight', 'quarterly', 'report', 'outperformance', 'forecast']
+
+Research Factor Name
+Fund Quarterly Consensus Surprise Momentum
+
 Hypothesis
-During periods of market stress, small-cap or low-liquidity stocks often experience excessive discounting due to concentrated selling by investors, yet they tend to exhibit stronger subsequent rebounds compared to large-cap stocks—manifesting a "tail liquidity premium." This phenomenon stems from institutional aversion to liquidity risk and retail-driven irrational trading under extreme sentiment, creating short-term mispricing that offers opportunities for contrarian strategies.
-Implementation
-Using daily trading data from the past 20 days, select the bottom 10% of stocks by turnover ratio across the market. Compute the volatility of their excess returns relative to industry averages. The final factor score is the product of this volatility and the magnitude of recent price drawdown, designed to identify oversold tail assets with rebound potential.
+A fund manager's skill is reflected not only in the persistence of past performance but, more importantly, in the ability to anticipate and position ahead of changes in corporate earnings. When a fund's portfolio of top holdings exhibits a collective upward revision in future earnings estimates (e.g., next-quarter consensus EPS) that is significantly stronger than the market average following the quarterly report disclosure, it signals that the manager's stock selection is receiving immediate validation from professional sell-side analysts. This "consensus surprise," derived from institutional judgment, contains positive information not yet fully priced by the market. The gradual digestion of this information and subsequent capital inflows create a momentum effect, allowing funds with this characteristic to continue outperforming in the subsequent period.