++

prepare_prompt/alpha_prompt.txt

@@ -1,11 +1,13 @@
-研究因子名称
-基金季报超预期一致动量
-
+尾部风险溢价因子
 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。
-
+在市场极端下跌期间，投资者往往因恐慌情绪而过度抛售高尾部风险资产，导致这些资产价格被暂时低估；而在市场恢复平稳后，此类资产会因风险补偿机制获得超额收益。因此，过去经历显著尾部损失的股票在未来短期内可能具备正向预期收益。
 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。
+基于个股日收益率序列，滚动计算其在过去N个交易日（如60日）中低于VaR阈值（如5%分位数）的极端负收益的平均值或条件VaR（Expected Shortfall），构建尾部风险指标；对全市场股票按该指标升序排序，做多尾部风险最高（即历史极端损失最严重）的十分之一组合，做空最低的十分之一组合，形成多空因子收益序列。
+Tail Risk Premium Factor
+Hypothesis
+During periods of extreme market downturns, investors often panic and excessively sell assets with high tail risk, temporarily depressing their prices. As market conditions normalize, these assets tend to earn excess returns as compensation for bearing tail risk. Consequently, stocks that have experienced significant tail losses in the recent past may exhibit positive expected returns over the short term.
+Implementation
+Using daily stock return series, compute a rolling tail risk metric—such as the average of returns below the 5th percentile VaR threshold or the Expected Shortfall—over the past N trading days (e.g., 60 days). Rank all tradable stocks by this metric in ascending order, construct a long-short portfolio by going long the top decile (highest historical tail losses) and short the bottom decile, and record the resulting factor return series.
 
 
 *=========================================================================================*

prepare_prompt/keys_text.txt

@@ -1,7 +1 @@
-['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
-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.
+['tail', 'risk', 'var', 'es', 'shortfall', 'loss', 'extreme', 'downside', 'volatility', 'return', 'drawdown', 'crash']