中邮因子周报：低波风格占优，小盘成长回撤-20251125

• The report tracks the performance of various style factors, including market capitalization, non-linear market capitalization, profitability, momentum, volatility, and beta factors[2] - The construction process involves creating long-short portfolios at the end of each month, going long on the top 10% of stocks with the highest factor values and shorting the bottom 10% with the lowest factor values, with equal weighting[16] - The recent performance shows strong long positions in market capitalization, non-linear market capitalization, and profitability factors, while momentum, volatility, and beta factors had strong short positions[16] Factor Performance Tracking - The fundamental factors showed mixed long-short returns, with static financial factors performing positively, while growth and surprise growth factors performed negatively[3][4][5] - Technical factors had negative long-short returns, with momentum factors showing more significant negative returns, favoring low momentum and low volatility stocks[3][4][5] - GRU factors had weak long-short performance, with the barra1d model showing some pullback, while other models had insignificant returns[3][4][5] CSI 300 Component Stocks Factor Performance - Fundamental factors showed mixed long-short returns, with growth and surprise growth factors performing negatively, while static financial factors performed positively[4] - Technical factors had negative long-short returns, with momentum factors showing more significant negative returns, favoring low momentum and low volatility stocks[4] - GRU factors had mixed long-short performance, with the barra1d model showing significant pullback, while the barra5d and close1d models performed strongly[4] CSI 500 Component Stocks Factor Performance - Fundamental factors showed mixed long-short returns, with static financial factors performing positively, while growth and surprise growth factors performed negatively[5] - Technical factors had negative long-short returns, with short-term factors showing more significant performance, favoring low volatility and low momentum stocks[5] - GRU factors had good long-short performance, with the open1d and barra1d models showing slight pullback, while the close1d and barra5d models performed strongly[5] CSI 1000 Component Stocks Factor Performance - Fundamental factors showed similar long-short returns, with static financial factors performing positively, while growth and surprise growth factors performed negatively[6] - Technical factors had negative long-short returns, favoring low volatility and low momentum stocks[6] - GRU factors had strong long-short performance, with the barra1d model showing some pullback, while the close1d and open1d models performed strongly[6] Long-Only Portfolio Performance - The GRU long-only portfolio showed weak performance, with various models underperforming the CSI 1000 index by 0.54% to 1.12%[7] - The barra5d model performed strongly year-to-date, outperforming the CSI 1000 index by 8.55%[7] - The multi-factor portfolio showed weak performance, underperforming the CSI 1000 index by 0.47%[7] Factor Performance Metrics - Momentum factor: -1.93% (one week), -8.36% (one month), -24.78% (six months), 19.89% (year-to-date), 17.64% (three-year annualized), 17.58% (five-year annualized)[17] - Volatility factor: 1.82% (one week), -2.33% (one month), 16.17% (six months), 6.56% (year-to-date), 7.58% (three-year annualized), -11.09% (five-year annualized)[17] - Beta factor: -1.54% (one week), 5.68% (one month), 0.60% (six months), 19.29% (year-to-date), 7.50% (three-year annualized), 8.99% (five-year annualized)[17] - Liquidity factor: 0.91% (one week), 42.89% (one month), 9.98% (six months), 12.24% (year-to-date), -20.32% (three-year annualized), -24.87% (five-year annualized)[17] - Valuation factor: 0.82% (one week), 0.46% (one month), 0.14% (six months), 3.77% (year-to-date), 14.92% (three-year annualized), 5.46% (five-year annualized)[17] - Growth factor: 0.71% (one week), 2.28% (one month), 2.34% (six months), 3.16% (year-to-date), 49.33% (three-year annualized), -4.78% (five-year annualized)[17] - Leverage factor: 0.35% (one week), 2.37% (one month), 3.68% (six months), 15.17% (year-to-date), 6.40% (three-year annualized), 1.98% (five-year annualized)[17] - Profitability factor: 0.49% (one week), -0.64% (one month), 7.01% (six months), 14.10% (year-to-date), 3.12% (three-year annualized), 0.51% (five-year annualized)[17] - Non-linear market capitalization factor: 4.22% (one week), 0.44% (one month), 3.16% (six months), -32.83% (year-to-date), -38.38% (three-year annualized), -30.29% (five-year annualized)[17] - Market capitalization factor: 5.39% (one week), 0.59% (one month), 2.18% (six months), -37.92% (year-to-date), -40.48% (three-year annualized), -34.25% (five-year annualized)[17]