多因子选股周报：质量因子表现出色，沪深 300 增强组合年内超额19.95%-20251213

• The report tracks the performance of Guosen Financial Engineering's index enhancement portfolios, which are constructed based on multi-factor stock selection models targeting benchmarks such as CSI 300, CSI 500, CSI 1000, and CSI A500 indices[10][11][13] - The construction process of the index enhancement portfolios includes three main components: return prediction, risk control, and portfolio optimization[11] - The report monitors the performance of common stock selection factors across different stock selection spaces, including CSI 300, CSI 500, CSI 1000, CSI A500, and public fund heavy-holding indices, using single-factor Maximized Factor Exposure (MFE) portfolios[10][14][39] - The MFE portfolio construction process involves optimizing the portfolio to maximize single-factor exposure while controlling for constraints such as industry exposure, style exposure, stock weight deviation, component stock weight ratio, and turnover rate[39][40][41] - The optimization model for MFE portfolios is expressed as follows: $\begin{array}{ll}max&f^{T}\ w\ s.t.&s_{l}\leq X(w-w_{b})\leq s_{h}\ &h_{l}\leq H(w-w_{b})\leq h_{h}\ &w_{l}\leq w-w_{b}\leq w_{h}\ &b_{l}\leq B_{b}w\leq b_{h}\ &\mathbf{0}\leq w\leq l\ &\mathbf{1}^{T}\ w=1\end{array}$ where f represents factor values, w is the stock weight vector, and constraints include style exposure (X), industry exposure (H), stock weight deviation (w), component stock weight ratio (B_b), and turnover limits[39][40] - The report highlights the performance of various factors in different stock selection spaces, such as CSI 300, CSI 500, CSI 1000, CSI A500, and public fund heavy-holding indices, with factors like "3-month earnings revisions," "standardized unexpected earnings," and "single-quarter ROE" showing strong performance in certain spaces[17][19][21][23][26] - Public fund index enhancement products are tracked, including CSI 300, CSI 500, CSI 1000, and CSI A500 enhancement products, with their excess returns analyzed over different time periods[27][31][33][35][38]