多因子选股周报：中证 1000 增强组合本周超额 0.91%，年内超额 17.72%-20250927

• The report tracks the performance of Guosen Financial Engineering's index enhancement portfolios, which are constructed based on benchmarks such as CSI 300, CSI 500, CSI 1000, and CSI A500 indices. The construction process includes three main components: return prediction, risk control, and portfolio optimization[12][14][42] - The MFE (Maximized Factor Exposure) portfolio is used to test the effectiveness of single factors under real-world constraints. The optimization model maximizes single-factor exposure while controlling for industry exposure, style exposure, stock weight deviation, and turnover rate. The objective function is defined as: $\begin{array}{ll}max&f^{T}\ w\ s.t.&s_{l}\leq X(w-w_{b})\leq s_{h}\ &h_{l}\leq H(w-w_{b})\leq h_{h}\ &w_{l}\leq w-w_{b}\leq w_{h}\ &b_{l}\leq B_{b}w\leq b_{h}\ &\mathbf{0}\leq w\leq l\ &\mathbf{1}^{T}\ w=1\end{array}$ Here, f represents factor values, w is the stock weight vector, and constraints include style factor exposure (X), industry exposure (H), stock weight deviation (w), and component stock weight control (B_b). The weights are normalized to sum to 1[42][43][44] - The MFE portfolio construction process involves setting constraints, optimizing the portfolio at the end of each month, and calculating historical returns during the backtesting period. Transaction costs of 0.3% are deducted on both sides to compute risk-return statistics relative to the benchmark[46] - The report monitors the performance of 30+ factors across different sample spaces, including CSI 300, CSI 500, CSI 1000, CSI A500, and public fund heavy-holding indices. Factors are categorized into valuation, reversal, growth, profitability, liquidity, governance, and analyst-related dimensions. Examples include BP (Book-to-Price), ROE (Return on Equity), and momentum factors[15][16][17] - Factor performance varies across sample spaces. For example, in the CSI 300 space, factors such as single-quarter ROE, single-quarter revenue growth, and single-quarter surprise magnitude performed well recently, while factors like BP and expected net profit growth performed poorly[18][19] - In the CSI 500 space, factors such as three-month turnover, single-quarter revenue growth, and EPTTM percentile performed well recently, while factors like one-year momentum and standardized unexpected income performed poorly[20][21] - In the CSI 1000 space, factors such as three-month institutional coverage, single-quarter ROE, and executive compensation performed well recently, while factors like one-year momentum and DELTAROA performed poorly[22][23] - In the CSI A500 space, factors such as single-quarter revenue growth, EPTTM percentile, and single-quarter ROE performed well recently, while factors like one-year momentum and DELTAROE performed poorly[24][25] - In the public fund heavy-holding index space, factors such as executive compensation, single-quarter ROE, and three-month institutional coverage performed well recently, while factors like one-year momentum and expected EPTTM performed poorly[26][27] - The report tracks the performance of public fund index enhancement products for CSI 300, CSI 500, CSI 1000, and CSI A500 indices. For example, CSI 300 index enhancement products had a maximum excess return of 0.91% and a minimum of -1.54% in the past week, with a median of -0.17%[28][32] - CSI 500 index enhancement products had a maximum excess return of 1.63% and a minimum of -1.35% in the past week, with a median of -0.01%[35] - CSI 1000 index enhancement products had a maximum excess return of 1.66% and a minimum of -0.37% in the past week, with a median of 0.44%[38] - CSI A500 index enhancement products had a maximum excess return of 0.53% and a minimum of -0.76% in the past week, with a median of -0.11%[41]