因子周报20260116：本周Beta和低杠杆风格显著定期报告-20260117

Group 1: Market Index and Style Performance Review - Major broad market indices mostly increased this week, with the CSI 500 rising by 2.18%, the Northbound 50 by 1.58%, and the CSI 1000 by 1.27%. However, the Shanghai Composite Index fell by 0.45% and the CSI 300 by 0.57% [2][10]. - Over the past month, all major broad market indices have risen, with the CSI 500 up by 17.59% and the CSI 1000 by 14.64% [10][11]. - In terms of industry performance, sectors such as computer, electronics, media, non-ferrous metals, and machinery performed well, while defense, agriculture, coal, real estate, and non-bank financials lagged behind [14][16]. Group 2: Factor Performance Tracking - In the CSI 300 stock pool, factors such as the 20-day volume variation coefficient, standardized unexpected earnings, and overnight momentum before earnings announcements performed well this week [3][24]. - In the CSI 500 stock pool, the 60-day specificity, 20-day specificity, and 60-day momentum factors showed strong performance [3][26]. - The overall market stock pool saw strong performance from quarterly ROA, quarterly ROE, and quarterly net profit margin factors [3][22]. Group 3: Quantitative Fund Performance - The average excess return for CSI 300 index-enhanced products was 0.58%, while the CSI 500 index-enhanced products had an average excess return of -0.26% [4][12]. - The best-performing active quantitative fund this week was Huian Quantitative Preferred A [4][12]. Group 4: Quantitative Index Enhancement Portfolio Tracking - The CSI 300 index enhancement portfolio achieved an excess return of 0.24% over the past week, while the CSI 500 index enhancement portfolio had an excess return of 0.27% [5][12]. - The CSI 800 index enhancement portfolio recorded an excess return of 0.59% [5].