量化组合跟踪周报 20251018：市场呈现小市值风格，大宗交易组合超额收益显著-20251018

Quantitative Models and Construction Methods Factor Performance Tracking Single Factor Performance - Factors with the best performance in the CSI 300 stock pool this week include the standard deviation of 5-day trading volume (2.12%), the proportion of downside volatility (1.78%), and the 5-day exponential moving average of trading volume (1.35%) [1][12] - Factors with the worst performance in the CSI 300 stock pool this week include the 5-day reversal (-3.60%), single-quarter total asset gross profit margin (-3.43%), and single-quarter ROA (-3.38%) [1][12] - Factors with the best performance in the CSI 500 stock pool this week include the inverse of the P/E ratio TTM (3.99%), the proportion of downside volatility (3.80%), and the P/E ratio factor (3.17%) [14] - Factors with the worst performance in the CSI 500 stock pool this week include the 5-day reversal (-1.95%), 5-day average turnover rate (-1.17%), and the 5-day exponential moving average of trading volume (-1.15%) [14] - Factors with the best performance in the liquidity 1500 stock pool this week include the correlation between intraday volatility and trading volume (2.27%), the proportion of downside volatility (1.80%), and the P/B ratio factor (1.51%) [16] - Factors with the worst performance in the liquidity 1500 stock pool this week include single-quarter EPS (-1.36%), standardized unexpected income (-1.29%), and the 5-day reversal (-1.25%) [16] Major Factor Performance - In the overall market stock pool this week, the momentum factor achieved a positive return of 0.43%, indicating a momentum effect in the market [18] - The Beta factor, market capitalization factor, and non-linear market capitalization factor achieved negative returns of -1.50%, -0.91%, and -0.54%, respectively, indicating a small-cap style in the market [18] Industry Factor Performance - This week, fundamental factors showed varied performance across industries. The net asset growth rate factor, net profit growth rate factor, net asset per share factor, and operating profit per share TTM factor consistently achieved positive returns in the non-bank financial industry [22] - Among valuation factors, the BP factor and EP factor consistently achieved positive returns in the home appliances, comprehensive, and non-bank financial industries [22] - The residual volatility factor and liquidity factor showed significant positive returns in the coal industry [22] - In terms of market capitalization style, the food and beverage, beauty care, and banking industries showed a significant large-cap style this week [22] Factor Backtesting Results CSI 300 Stock Pool - Standard deviation of 5-day trading volume: 2.12% (1 week), 3.52% (1 month), 8.21% (1 year), 19.07% (10 years) [13] - Proportion of downside volatility: 1.78% (1 week), 0.41% (1 month), -5.44% (1 year), 25.57% (10 years) [13] - 5-day exponential moving average of trading volume: 1.35% (1 week), 1.19% (1 month), 3.70% (1 year), 5.13% (10 years) [13] CSI 500 Stock Pool - Inverse of P/E ratio TTM: 3.99% (1 week), 4.80% (1 month), -5.74% (1 year), 48.40% (10 years) [15] - Proportion of downside volatility: 3.80% (1 week), 1.56% (1 month), -3.09% (1 year), 107.51% (10 years) [15] - P/E ratio factor: 3.17% (1 week), 2.58% (1 month), -4.94% (1 year), 26.11% (10 years) [15] Liquidity 1500 Stock Pool - Correlation between intraday volatility and trading volume: 2.27% (1 week), 3.18% (1 month), 2.59% (1 year), 152.82% (10 years) [17] - Proportion of downside volatility: 1.80% (1 week), 2.97% (1 month), 5.48% (1 year), 114.63% (10 years) [17] - P/B ratio factor: 1.51% (1 week), 3.69% (1 month), -5.28% (1 year), 74.59% (10 years) [17] Portfolio Tracking PB-ROE-50 Portfolio Performance - This week, the PB-ROE-50 portfolio achieved positive excess returns in the CSI 500 stock pool: 0.15% [24] - In the CSI 800 stock pool, the PB-ROE-50 portfolio achieved excess returns of -1.50% [24] - In the overall market stock pool, the PB-ROE-50 portfolio achieved excess returns of -2.52% [24] Institutional Research Portfolio Tracking - This week, the public fund research stock selection strategy and private fund research tracking strategy achieved negative excess returns relative to the CSI 800: -0.94% and -4.83%, respectively [26] Block Trade Portfolio Tracking - This week, the block trade portfolio achieved positive excess returns relative to the CSI All Share Index: 1.56% [30] Private Placement Portfolio Tracking - This week, the private placement portfolio achieved positive excess returns relative to the CSI All Share Index: 1.86% [36]