多因子选股周报：超额全线回暖，中证A500增强组合年内超额3.50%-20260124

• The report tracks the performance of Guosen Financial Engineering's index enhancement portfolios and common stock selection factors in different stock selection spaces[10][11] - The Guosen Financial Engineering team constructs index enhancement portfolios benchmarked against the CSI 300, CSI 500, CSI 1000, and CSI A500 indices, aiming to consistently outperform their respective benchmarks[10][11] - The construction process of the Guosen Financial Engineering 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 in different stock selection spaces, including the CSI 300, CSI 500, CSI 1000, CSI A500, and public fund heavy-holding indices[10][14] - The report constructs single-factor Maximized Factor Exposure (MFE) portfolios for each factor in the different stock selection spaces and tracks their performance relative to their respective benchmarks[10][14] - The factor library includes over 30 common factors from dimensions such as valuation, reversal, growth, profitability, liquidity, corporate governance, and analysts[15] - The construction of the MFE portfolios involves an optimization model with the objective function of maximizing single-factor exposure while controlling for various constraints such as style exposure, industry exposure, individual stock weight deviation, component stock weight proportion, and individual stock weight limits[40][41][42] - The report provides detailed performance tracking of public fund index enhancement products, including those benchmarked against the CSI 300, CSI 500, CSI 1000, and CSI A500 indices[27][28] - The report includes the weekly, monthly, and year-to-date excess returns of the Guosen Financial Engineering index enhancement portfolios and public fund index enhancement products[13][31][34][37][39]