金融工程周报告：红利和小盘主题共振，开始步入政策博弈期

• The report mentions the construction of two quantitative factors: "Earnings Expectation Factor" and "Whale Tracking Composite Fund Flow Factor" [33] - Earnings Expectation Factor: This factor represents changes in investor expectations based on financial report forecasts. It is used to capture shifts in market sentiment when fundamental logic within an industry changes [33] - Whale Tracking Composite Fund Flow Factor: This factor tracks the trading behavior of "smart money" or influential investors. It is designed to identify industries or stocks that are receiving significant inflows from these investors, reflecting their confidence in the underlying assets [33] - The factors are applied in an industry rotation strategy and compared against the CSI 300 benchmark. The "Whale Tracking" portfolio achieved an absolute return of 1.00% and a relative return of 0.41% over the past week [33]