因子跟踪周报：Beta、反转因子表现较好

Investment Rating - The industry investment rating is "Strongly Outperform the Market," indicating an expected industry index increase of over 5% within the next six months [20]. Core Insights - Recent performance of factors such as Beta, 1-month reversal, and 1-month specificity has been strong, while factors like the combined shareholding ratio of the top five shareholders and dividend yield have underperformed [1][2][10]. - Over the past year, factors like 1-month specificity and Fama-French three-factor 1-month residual volatility have shown good performance, whereas the combined shareholding ratio of the top five shareholders and accuracy of earnings forecasts have lagged [1][7]. Summary by Sections Factor IC Performance - In the last week, factors such as Beta, 1-month reversal, and 1-month specificity performed well, while quarterly EP, ROE, and ROA showed poor performance [1][7]. - Over the last month, Beta and 1-month reversal continued to perform well, but the combined shareholding ratio of the top five shareholders and dividend yield were weak [1][7]. - For the past year, 1-month specificity and Fama-French three-factor 1-month residual volatility performed well, while the combined shareholding ratio of the top five shareholders and accuracy of earnings forecasts were poor [1][7]. Factor Long-Only Portfolio Performance - The long-only portfolio, constructed from the top 10% of factors, showed good performance from Beta and 1-month reversal in the last week, while the combined shareholding ratio of the top five shareholders and earnings forecast accuracy were weak [10][11]. - Over the past month, Beta and 1-month reversal continued to show strong performance, while the combined shareholding ratio of the top five shareholders and earnings forecast accuracy lagged [10][11]. - In the last year, small-cap stocks and quarterly net profit growth performed well, while the one-year momentum and combined shareholding ratio of the top five shareholders were weak [10][11]. Factor Introduction - The factors used in the analysis are categorized into valuation, profitability, growth, dividends, reversal, turnover rate, volatility, and analyst factors, with specific calculations provided for each category [13][14].