权益因子观察周报第132期：上周小市值风格表现不佳，成长因子表现较好-20251231

• The report tracks the performance of single factors and major factor categories in quantitative stock selection models across different stock pools (CSI 300, CSI 500, CSI 1000, CSI 2000, and CSI All Share). It highlights the excess returns of factors over different time periods, such as weekly, monthly, and yearly[7][28][30] - Single factors with strong weekly excess returns in the CSI 300 stock pool include "120-day change in analysts' forecasted net profit FY3" (2.11%), "EPS 120-day change FY3" (2.05%), and "90-day institutional earnings forecast adjustment" (1.96%)[30] - In the CSI 500 stock pool, factors with strong weekly excess returns include "standardized unexpected single-quarter ROA with drift" (1.18%), "standardized unexpected single-quarter net profit with drift" (1.15%), and "standardized unexpected P/E ratio (parent company) with drift" (1.15%)[31] - For the CSI 1000 stock pool, factors with strong weekly excess returns include "single-quarter non-recurring ROA change" (1.26%), "1-minute path momentum" (1.15%), and "20-day intraday return" (1.02%)[32] - In the CSI 2000 stock pool, factors with strong weekly excess returns include "60-day shareholding ratio change" (1.74%), "5-day shareholding ratio change" (1.26%), and "EP 60-day change" (1.12%)[33] - Major factor categories with strong weekly excess returns in the CSI 300 stock pool include "analysts' surprise" (1.96%), "growth" (1.5%), and "analysts" (1.24%). For the full year, the best-performing categories are "profitability" (33.2%), "analysts' surprise" (30.25%), and "growth" (29.73%)[37][38][40] - In the CSI 500 stock pool, the best-performing major factor categories for the year are "growth" (16.68%), "analysts" (10.84%), and "analysts' surprise" (8.32%)[42][43] - For the CSI 1000 stock pool, the top-performing major factor categories for the year are "growth" (18.41%), "analysts" (10.99%), and "analysts' surprise" (10.86%)[47][48] - In the CSI 2000 stock pool, the best-performing major factor categories for the year are "market capitalization" (22.73%), "analysts' surprise" (20.54%), and "growth" (20.25%)[52][55] - The CSI All Share stock pool shows the best-performing major factor categories for the year as "market capitalization" (43.82%), "growth" (26.45%), and "analysts' surprise" (23.55%)[57][58] - The report also tracks the performance of index enhancement strategies based on multi-factor stock selection models. For the CSI 300 stock pool, the strategy achieved a weekly return of 2.38% and an annual return of 27.19%, with an excess return of 8.84% and a maximum drawdown of -3.15%[59][60] - For the CSI 500 stock pool, the strategy achieved a weekly return of 3.59% and an annual return of 31.54%, with an excess return of 1.28% and a maximum drawdown of -4.76%[60] - The CSI 1000 stock pool's strategy achieved a weekly return of 3% and an annual return of 42.2%, with an excess return of 14.54% and a maximum drawdown of -5.59%[66] - The CSI 2000 stock pool's strategy achieved a weekly return of 1.76% and an annual return of 63.87%, with an excess return of 27.31% and a maximum drawdown of -5.23%[66]