量化组合跟踪周报：市场小市值风格显著，大宗交易组合再创新高-20250517

• The report tracks the performance of various factors in different stock pools, including the CSI 300, CSI 500, and Liquidity 1500 stock pools[1][2][3] - In the CSI 300 stock pool, the best-performing factors this week were single-quarter net profit year-on-year growth rate (1.02%), single-quarter EPS (1.00%), and PE ratio factor (0.89%)[12][13] - In the CSI 500 stock pool, the best-performing factors this week were EPTTM percentile (1.30%), PB ratio factor (1.07%), and operating cash flow ratio (0.97%)[14][15] - In the Liquidity 1500 stock pool, the best-performing factors this week were post-morning return factor (2.27%), momentum spring factor (1.43%), and PE TTM reciprocal (1.33%)[16][17] - The PB-ROE-50 portfolio achieved positive excess returns in the CSI 500 and CSI 800 stock pools this week, with excess returns of 0.88% and 0.43% respectively[24][25] - The institutional research portfolio tracking strategy achieved positive excess returns this week, with the private equity research tracking strategy achieving an excess return of 0.22% relative to the CSI 800[26][27] - The block trading portfolio achieved a positive excess return of 0.36% relative to the CSI All Share Index this week[30][31] - The directed issuance portfolio achieved a positive excess return of 0.48% relative to the CSI All Share Index this week[35][36]