因子跟踪周报：小市值、成长因子表现较好

Investment Rating - The industry investment rating is "Outperform the Market," indicating an expected industry index increase of over 5% within six months [19]. Core Insights - Recent performance of factors shows that small-cap, book-to-price (bp), and one-month illiquidity shock factors performed well in the last week, while Beta, consensus expected net profit compound growth rate, and average executive compensation factors performed poorly [8][10]. - Over the past month, factors such as one-month average turnover rate and quarterly net profit year-on-year growth have shown strong performance, while Beta and small-cap factors lagged [10]. - In the past year, factors like Fama-French three-factor one-month residual volatility and one-month excess return volatility have performed well, while one-year momentum and consensus expected net profit compound growth rate have underperformed [8][10]. Factor Tracking Summary Factor IC Performance - In the last week, small-cap, bp, and one-month illiquidity shock factors showed positive IC performance, while Beta and consensus expected net profit growth were negative [8][9]. - Over the last month, the one-month average turnover rate and one-month illiquidity shock factors performed well, while Beta and small-cap factors were negative [8][9]. - For the past year, Fama-French three-factor one-month residual volatility and one-month excess return volatility were strong, while one-year momentum and consensus expected net profit growth were weak [8][9]. Long Position Factor Performance - In the last week, factors such as the combined shareholding ratio of the top five shareholders and quarterly asset turnover rate performed well, while one-month reversal and Beta factors were weak [10][11]. - Over the last month, standardized unexpected earnings based on consensus expectations and the combined shareholding ratio of the top five shareholders showed strong performance, while Beta and small-cap factors lagged [10][11]. - In the past year, small-cap and quarterly net profit year-on-year growth factors performed well, while one-year momentum and 90-day net upward revision ratio 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 [12][13].