低频选股因子周报（2025.12.31-2026.01.09）：2026 年首周，沪深 300 指数增强组合超额收益 1.90%-20260111

Quantitative Models and Construction Methods - Model Name: CSI 300 Enhanced Portfolio Model Construction Idea: The model aims to enhance the performance of the CSI 300 Index by leveraging quantitative strategies to generate excess returns over the benchmark index[5][9][15] Model Construction Process: The portfolio is constructed by applying quantitative stock selection and weighting methodologies to the CSI 300 Index constituents. The process involves identifying stocks with favorable factor exposures and optimizing the portfolio to maximize risk-adjusted returns while maintaining a low tracking error relative to the benchmark[9][15] Model Evaluation: The model demonstrated strong performance with positive excess returns over the benchmark index, indicating effective factor utilization and portfolio construction[15] - Model Name: CSI 500 Enhanced Portfolio Model Construction Idea: Similar to the CSI 300 Enhanced Portfolio, this model focuses on enhancing the performance of the CSI 500 Index by employing quantitative strategies[5][9][15] Model Construction Process: The portfolio is built by selecting stocks from the CSI 500 Index based on quantitative factors and optimizing the portfolio to achieve excess returns while controlling tracking error[9][15] Model Evaluation: The model underperformed the benchmark index during the observed period, suggesting potential challenges in factor effectiveness or market conditions[15] - Model Name: CSI 1000 Enhanced Portfolio Model Construction Idea: This model targets the CSI 1000 Index, aiming to generate excess returns through quantitative enhancements[5][9][15] Model Construction Process: The portfolio construction involves selecting stocks from the CSI 1000 Index using quantitative factors and optimizing the portfolio for risk-adjusted returns and low tracking error[9][15] Model Evaluation: The model showed a slight underperformance relative to the benchmark index, indicating room for improvement in factor application or portfolio optimization[15] - Model Name: GARP Portfolio Model Construction Idea: The GARP (Growth at a Reasonable Price) portfolio combines growth and valuation factors to identify stocks with strong growth potential at reasonable valuations[32] Model Construction Process: Stocks are selected based on a combination of growth metrics (e.g., earnings growth) and valuation metrics (e.g., price-to-earnings ratio). The portfolio is then optimized to balance growth and valuation exposures[32] Model Evaluation: The portfolio achieved positive excess returns over the CSI 300 Index, demonstrating the effectiveness of the GARP strategy in the observed period[32] - Model Name: Small-Cap Growth Portfolio Model Construction Idea: This portfolio focuses on small-cap stocks with strong growth characteristics, aiming to capture the growth premium in the small-cap segment[37] Model Construction Process: Stocks are selected from the small-cap universe based on growth factors such as earnings growth and revenue growth. The portfolio is optimized to maximize growth exposure while managing risk[37] Model Evaluation: The portfolio delivered positive excess returns over the micro-cap index, indicating the effectiveness of the growth factor in the small-cap segment[37] Model Backtesting Results - CSI 300 Enhanced Portfolio: Weekly return 4.69%, excess return 1.90%, tracking error 4.71%, maximum drawdown 1.68%[9][15][22] - CSI 500 Enhanced Portfolio: Weekly return 6.34%, excess return -1.58%, tracking error 4.07%, maximum drawdown 3.11%[9][15][16] - CSI 1000 Enhanced Portfolio: Weekly return 6.17%, excess return -0.86%, tracking error 5.31%, maximum drawdown 4.45%[9][15][18] - GARP Portfolio: Weekly return 3.62%, excess return 0.84%, tracking error 13.93%, maximum drawdown 4.04%[32][33] - Small-Cap Growth Portfolio: Weekly return 4.95%, excess return 0.49%, tracking error 11.60%, maximum drawdown 9.76%[37][40] Quantitative Factors and Construction Methods - Factor Name: Market Capitalization (Size) Factor Factor Construction Idea: This factor captures the size effect, where smaller companies tend to outperform larger companies over time[42] Factor Construction Process: Stocks are ranked by their market capitalization, and the top 10% (large-cap) and bottom 10% (small-cap) are selected to form long and short portfolios, respectively. The difference in returns between these portfolios represents the size factor's performance[41][42] Factor Evaluation: The factor showed mixed performance, with large-cap stocks outperforming small-cap stocks in the observed period[42] - Factor Name: Price-to-Book Ratio (PB) Factor Factor Construction Idea: This factor identifies undervalued stocks based on their price-to-book ratios[42] Factor Construction Process: Stocks are ranked by their PB ratios, and the top 10% (high PB) and bottom 10% (low PB) are selected to form long and short portfolios, respectively. The difference in returns between these portfolios represents the PB factor's performance[41][42] Factor Evaluation: The factor underperformed during the observed period, with high PB stocks outperforming low PB stocks[42] - Factor Name: Expected Net Profit Adjustment Factor Factor Construction Idea: This factor captures the impact of expected net profit adjustments on stock performance[53] Factor Construction Process: Stocks are ranked by their expected net profit adjustments, and the top 10% (high adjustment) and bottom 10% (low adjustment) are selected to form long and short portfolios, respectively. The difference in returns between these portfolios represents the factor's performance[41][53] Factor Evaluation: The factor delivered positive returns, indicating its effectiveness in identifying stocks with favorable profit adjustments[53] Factor Backtesting Results - Market Capitalization (Size) Factor: Multi-market excess returns: -0.79% (All Market), 4.83% (CSI 300), -5.59% (CSI 500), -2.47% (CSI 1000)[42][43][48] - Price-to-Book Ratio (PB) Factor: Multi-market excess returns: -4.01% (All Market), -5.52% (CSI 300), -6.06% (CSI 500), -5.68% (CSI 1000)[42][43][48] - Expected Net Profit Adjustment Factor: Multi-market excess returns: 0.57% (All Market), 0.86% (CSI 300), 1.89% (CSI 500), -0.58% (CSI 1000)[53][54][55]