量化组合跟踪周报：市场反转效应占优，公募调研策略超额收益明显-20250621

Group 1: Factor Performance Tracking - The market reversal effect is dominant, with the beta factor and profitability factor yielding positive returns of 0.32% and 0.26% respectively, while the residual volatility factor and momentum factor showed significant negative returns of -0.62% and -0.32% [20][22] - In the CSI 300 stock pool, the best-performing factors include total asset growth rate (0.68%), momentum-adjusted small orders (0.56%), and TTM P/E ratio inverse (0.53%), while the worst-performing factors are quarterly revenue growth rate (-1.30%), total asset gross margin TTM (-1.33%), and quarterly total asset gross margin (-1.70%) [12][13] - In the CSI 500 stock pool, the top factors are quarterly operating profit growth rate (1.20%), momentum spring factor (1.13%), and quarterly net profit growth rate (1.04%), with the weakest factors being 5-day moving average of trading volume (-0.55%), quarterly ROA (-0.69%), and gross margin TTM (-0.74%) [14][15] Group 2: Industry Factor Performance - The net asset growth rate factor shows significant positive returns in the oil and petrochemical industry, while the net profit growth rate factor performs well in both the oil and petrochemical and defense industries [23] - The BP factor performs well in the banking industry, and the EP factor shows strong performance in the communication sector [23] - The liquidity factor shows positive returns in the oil and petrochemical industry, while the residual volatility factor performs well in the comprehensive industry [23] Group 3: Combination Tracking - The PB-ROE-50 combination experienced excess return drawdowns across various stock pools, with excess returns of -0.20% in the CSI 500 stock pool, -0.27% in the CSI 800 stock pool, and -0.41% in the overall market stock pool [25] - The public fund research stock selection strategy achieved positive excess returns, outperforming the CSI 800 by 2.11%, while the private fund research tracking strategy underperformed by -0.31% [3] - The block trading combination achieved excess returns of 0.10% relative to the CSI All Index, and the targeted issuance combination gained excess returns of 0.77% compared to the CSI All Index [3]