低频选股因子周报（2026.01.23-2026.01.30）-20260131

Quantitative Models and Construction Methods 1. Model Name: CSI 300 Enhanced Portfolio - Model Construction Idea: The model aims to achieve excess returns over the CSI 300 Index by leveraging quantitative strategies and factor-based stock selection - Model Construction Process: The model is constructed by selecting stocks from the CSI 300 Index based on specific quantitative factors and optimizing the portfolio to maximize excess returns while managing risk. The exact factors and optimization techniques are not detailed in the report - Model Evaluation: The model has shown consistent performance in generating excess returns over the CSI 300 Index in the year-to-date period[5][9][15] 2. Model Name: CSI 500 Enhanced Portfolio - Model Construction Idea: The model seeks to outperform the CSI 500 Index by utilizing quantitative strategies and factor-based stock selection - Model Construction Process: Stocks are selected from the CSI 500 Index based on quantitative factors, and the portfolio is optimized to achieve excess returns while controlling risk. Specific details of the factors and optimization are not provided in the report - Model Evaluation: The model's performance has been mixed, with negative excess returns in the year-to-date period[5][9][15] 3. Model Name: CSI 1000 Enhanced Portfolio - Model Construction Idea: The model aims to generate excess returns over the CSI 1000 Index through quantitative strategies and factor-based stock selection - Model Construction Process: Stocks are selected from the CSI 1000 Index using quantitative factors, and the portfolio is optimized to maximize excess returns while managing risk. Specific details of the factors and optimization are not provided in the report - Model Evaluation: The model has demonstrated positive excess returns in the year-to-date period[5][9][15] 4. Model Name: PB-Profit Combination Portfolio - Model Construction Idea: The portfolio combines price-to-book (PB) ratio and profitability factors to identify undervalued stocks with strong earnings potential - Model Construction Process: The portfolio is constructed by selecting stocks with low PB ratios and high profitability metrics. The exact methodology for combining these factors is not detailed in the report - Model Evaluation: The portfolio has shown strong performance, with significant positive excess returns over the CSI 300 Index in the year-to-date period[5][31][33] 5. Model Name: GARP Portfolio - Model Construction Idea: The portfolio follows the Growth at a Reasonable Price (GARP) strategy, focusing on stocks with a balance of growth and valuation metrics - Model Construction Process: Stocks are selected based on a combination of growth and valuation factors. The specific factors and their weights are not detailed in the report - Model Evaluation: The portfolio has achieved significant positive excess returns over the CSI 300 Index in the year-to-date period[5][35] 6. Model Name: Small-Cap Value Portfolio 1 - Model Construction Idea: The portfolio targets small-cap stocks with value characteristics, aiming to outperform the micro-cap index - Model Construction Process: Stocks are selected based on small-cap and value factors. The exact methodology for combining these factors is not detailed in the report - Model Evaluation: The portfolio has underperformed the micro-cap index in the year-to-date period[5][37] 7. Model Name: Small-Cap Value Portfolio 2 - Model Construction Idea: Similar to Small-Cap Value Portfolio 1, this portfolio focuses on small-cap stocks with value characteristics - Model Construction Process: Stocks are selected based on small-cap and value factors. The exact methodology for combining these factors is not detailed in the report - Model Evaluation: The portfolio has outperformed the micro-cap index in the year-to-date period[5][39] 8. Model Name: Small-Cap Growth Portfolio - Model Construction Idea: The portfolio targets small-cap stocks with growth characteristics, aiming to outperform the micro-cap index - Model Construction Process: Stocks are selected based on small-cap and growth factors. The exact methodology for combining these factors is not detailed in the report - Model Evaluation: The portfolio has underperformed the micro-cap index in the year-to-date period[5][41] --- Model Backtesting Results 1. CSI 300 Enhanced Portfolio - Weekly return: -0.39% - Weekly excess return: -0.47% - Year-to-date return: 6.85% - Year-to-date excess return: 5.20%[9][15] 2. CSI 500 Enhanced Portfolio - Weekly return: -1.74% - Weekly excess return: 0.82% - Year-to-date return: 11.11% - Year-to-date excess return: -1.01%[9][15] 3. CSI 1000 Enhanced Portfolio - Weekly return: -0.97% - Weekly excess return: 1.58% - Year-to-date return: 11.99% - Year-to-date excess return: 3.31%[9][15] 4. PB-Profit Combination Portfolio - Weekly return: 0.92% - Weekly excess return: 0.84% - Year-to-date return: 6.17% - Year-to-date excess return: 4.52%[31][33] 5. GARP Portfolio - Weekly return: 0.95% - Weekly excess return: 0.87% - Year-to-date return: 11.43% - Year-to-date excess return: 9.78%[35] 6. Small-Cap Value Portfolio 1 - Weekly return: -2.44% - Weekly excess return: -1.29% - Year-to-date return: 7.89% - Year-to-date excess return: -2.83%[37] 7. Small-Cap Value Portfolio 2 - Weekly return: -1.64% - Weekly excess return: -0.48% - Year-to-date return: 12.37% - Year-to-date excess return: 1.66%[39] 8. Small-Cap Growth Portfolio - Weekly return: -2.07% - Weekly excess return: -0.92% - Year-to-date return: 9.13% - Year-to-date excess return: -1.59%[41] --- Quantitative Factors and Construction Methods 1. Factor Name: Market Capitalization (Size) Factor - Construction Idea: Small-cap stocks tend to outperform large-cap stocks over time - Construction Process: Stocks are ranked by market capitalization, and the top 10% (smallest) and bottom 10% (largest) are selected to form long and short portfolios, respectively. The difference in returns between these portfolios represents the factor's performance - Evaluation: The factor has shown mixed performance across different indices and time periods[43][44][45] 2. Factor Name: Price-to-Book (PB) Factor - Construction Idea: Low PB stocks are expected to outperform high PB stocks - Construction Process: Stocks are ranked by PB ratio, and the top 10% (lowest PB) and bottom 10% (highest PB) are selected to form long and short portfolios, respectively. The difference in returns between these portfolios represents the factor's performance - Evaluation: The factor has shown strong performance in the short term but mixed results in the year-to-date period[43][44][45] 3. Factor Name: Price-to-Earnings (PE_TTM) Factor - Construction Idea: Low PE stocks are expected to outperform high PE stocks - Construction Process: Stocks are ranked by PE ratio, and the top 10% (lowest PE) and bottom 10% (highest PE) are selected to form long and short portfolios, respectively. The difference in returns between these portfolios represents the factor's performance - Evaluation: The factor has shown positive short-term performance but mixed year-to-date results[43][44][45] 4. Factor Name: Reversal Factor - Construction Idea: Stocks with recent underperformance are expected to outperform in the short term - Construction Process: Stocks are ranked by recent performance, and the top 10% (worst performers) and bottom 10% (best performers) are selected to form long and short portfolios, respectively. The difference in returns between these portfolios represents the factor's performance - Evaluation: The factor has shown positive short-term performance but negative year-to-date results[49][50] 5. Factor Name: Turnover Factor - Construction Idea: Stocks with lower turnover rates are expected to outperform those with higher turnover rates - Construction Process: Stocks are ranked by turnover rate, and the top 10% (lowest turnover) and bottom 10% (highest turnover) are selected to form long and short portfolios, respectively. The difference in returns between these portfolios represents the factor's performance - Evaluation: The factor has shown strong short-term performance but negative year-to-date results[49][50] 6. Factor Name: Volatility Factor - Construction Idea