关注基本面支撑，高波风格占优

• The report tracks style factors including profitability, volatility, and momentum, which showed strong long positions, while nonlinear market capitalization, valuation, and leverage factors demonstrated strong short positions[3][16] - Barra style factors include Beta (historical beta), market capitalization (logarithm of total market capitalization), momentum (mean of historical excess return series), volatility (weighted combination of historical excess return volatility, cumulative excess return deviation, and residual return volatility), nonlinear market capitalization (third power of market capitalization style), valuation (inverse of price-to-book ratio), liquidity (weighted turnover rates across monthly, quarterly, and yearly periods), profitability (weighted combination of analyst forecast earnings-price ratio, inverse cash flow ratio, and inverse trailing twelve-month PE ratio), growth (weighted combination of earnings growth rate and revenue growth rate), and leverage (weighted combination of market leverage, book leverage, and debt-to-asset ratio)[15] - GRU factors demonstrated strong multi-directional performance across various stock pools, with models like barra5d showing particularly strong positive returns[4][5][7] - GRU long-only portfolio outperformed the CSI 1000 index with excess returns ranging from 0.06% to 0.95% this week, while the barra5d model achieved a year-to-date excess return of 7.75%[8][30][31]