多因子选股周报：估值因子表现出色，沪深300增强组合年内超额收益20.75%-20251221

• The report tracks the performance of Guosen JinGong's index enhancement portfolios and public fund index enhancement products, and monitors the performance of common stock selection factors in different stock selection spaces[10] - Guosen JinGong's index enhancement portfolios are constructed using multi-factor stock selection, with benchmarks including CSI 300, CSI 500, CSI 1000, and CSI A500 indices[10][11] - The construction process of Guosen JinGong's index enhancement portfolios includes three main components: return prediction, risk control, and portfolio optimization[11] Factor Construction and Performance - The report monitors the performance of factors in different stock selection spaces, including CSI 300, CSI 500, CSI 1000, CSI A500, and public fund heavy positions index[14] - The factor library includes over 30 common factors from dimensions such as valuation, reversal, growth, profitability, liquidity, corporate governance, and analysts[15] - Factors are constructed using specific calculation methods, for example, BP (Book-to-Price) is calculated as net assets divided by total market value[16] Factor Performance in Different Stock Selection Spaces - CSI 300 Index: Factors like DELTAROE, dividend yield, and DELTAROA performed well recently, while factors like single-quarter revenue YoY growth, one-month reversal, and standardized unexpected income performed poorly[1][17] - CSI 500 Index: Factors like expected BP, BP, and three-month institutional coverage performed well recently, while factors like DELTAROA, single-quarter net profit YoY growth, and standardized unexpected earnings performed poorly[1][19] - CSI 1000 Index: Factors like expected PEG, single-quarter SP, and SPTTM performed well recently, while factors like one-year momentum, three-month reversal, and one-month reversal performed poorly[1][21] - CSI A500 Index: Factors like three-month turnover, dividend yield, and DELTAROE performed well recently, while factors like three-month reversal, single-quarter revenue YoY growth, and one-year momentum performed poorly[1][23] - Public Fund Heavy Positions Index: Factors like BP, SPTTM, and expected BP performed well recently, while factors like one-year momentum, single-quarter revenue YoY growth, and single-quarter net profit YoY growth performed poorly[1][25] Public Fund Index Enhancement Products Performance - CSI 300 Index Enhancement Products: Recently, the highest excess return was 1.38%, the lowest was -0.44%, and the median was 0.41%[2][31] - CSI 500 Index Enhancement Products: Recently, the highest excess return was 1.55%, the lowest was -0.51%, and the median was 0.46%[2][34] - CSI 1000 Index Enhancement Products: Recently, the highest excess return was 1.57%, the lowest was -0.32%, and the median was 0.57%[2][37] - CSI A500 Index Enhancement Products: Recently, the highest excess return was 1.29%, the lowest was -0.35%, and the median was 0.43%[3][39] Factor MFE Portfolio Construction - The MFE (Maximized Factor Exposure) portfolio is constructed using an optimization model to maximize single-factor exposure while controlling for various constraints such as style exposure, industry exposure, individual stock weight deviation, component stock weight ratio, and individual stock weight limits[40][41] - The optimization model's objective function is to maximize single-factor exposure, with constraints including style factor relative exposure limits, industry deviation limits, individual stock deviation limits, component stock weight ratio limits, and individual stock weight limits[41][42] - The MFE portfolio construction process involves setting constraints, constructing the MFE portfolio at the end of each month, and calculating historical returns and risk statistics for the MFE portfolio during the backtest period[44]