低频选股因子周报（2026.01.16-2026.01.23）：1 月份沪深 300 指数增强组合累计超额收益 5.70%-20260124

• The report highlights the performance of the quantitative stock portfolios, including the CSI 300 enhanced portfolio, which achieved a weekly excess return of 2.16% and a cumulative excess return of 5.70% in 2026[1][15][14] - The CSI 500 enhanced portfolio recorded a weekly excess return of 0.38% and a cumulative excess return of -1.98% in 2026[15][14][17] - The CSI 1000 enhanced portfolio achieved a weekly excess return of 0.96% and a cumulative excess return of 1.56% in 2026[15][14][24] - The PB-Earnings optimized portfolio delivered a weekly excess return of 4.05% and a cumulative excess return of 3.64% in 2026[30][31][32] - The GARP portfolio achieved a weekly excess return of 5.85% and a cumulative excess return of 8.81% in 2026[33][34] - The Small-cap Value Optimized Portfolio 1 recorded a weekly excess return of -0.75% and a cumulative excess return of -1.42% in 2026[35][36] - The Small-cap Value Optimized Portfolio 2 achieved a weekly excess return of 0.70% and a cumulative excess return of 2.23% in 2026[37][38] - The Small-cap Growth Portfolio delivered a weekly excess return of -0.24% and a cumulative excess return of -0.57% in 2026[39][40] - Style factors showed that small-cap stocks outperformed large-cap stocks, and low valuation stocks outperformed high valuation stocks. The market capitalization factor achieved a weekly multi-long-short return of 2.83%, while the PB factor and PE_TTM factor achieved 1.05% and 0.71%, respectively[42][43][45] - Technical factors indicated positive contributions from turnover rate factors, while reversal and volatility factors showed negative returns. The turnover rate factor achieved a weekly multi-long-short return of 0.48%, while reversal and volatility factors recorded -2.05% and -0.98%, respectively[46][48][49] - Fundamental factors demonstrated positive returns from SUE and adjusted net profit expectation factors. The SUE factor achieved a weekly multi-long-short return of 0.82%, while adjusted net profit expectation factors recorded 0.47%. ROE factors showed a negative return of -0.67%[50][51][52]