低频选股因子周报（2026.01.23-2026.01.30）
GUOTAI HAITONG SECURITIES·2026-01-31 07:55- The PB-Earnings combination achieved a weekly return of 0.92%, with an excess return of 0.84% relative to the CSI 300 index during the same period. Year-to-date (YTD) cumulative return for this combination is 6.17%, with an excess return of 4.52% compared to the CSI 300 index[5][33][31] - The CSI 300 Enhanced Portfolio recorded a weekly return of -0.39%, with an excess return of -0.47% relative to the CSI 300 index. YTD cumulative return for this portfolio is 6.85%, with an excess return of 5.20% compared to the CSI 300 index[9][15][24] - The CSI 500 Enhanced Portfolio achieved a weekly return of -1.74%, with an excess return of 0.82% relative to the CSI 500 index. YTD cumulative return for this portfolio is 11.11%, with an excess return of -1.01% compared to the CSI 500 index[9][15][17] - The CSI 1000 Enhanced Portfolio recorded a weekly return of -0.97%, with an excess return of 1.58% relative to the CSI 1000 index. YTD cumulative return for this portfolio is 11.99%, with an excess return of 3.31% compared to the CSI 1000 index[9][15][19] - The GARP combination achieved a weekly return of 0.95%, with an excess return of 0.87% relative to the CSI 300 index. YTD cumulative return for this combination is 11.43%, with an excess return of 9.78% compared to the CSI 300 index[35][36][9] - The Small-Cap Value Preferred Combination 1 recorded a weekly return of -2.44%, with an excess return of -1.29% relative to the Micro-Cap Index. YTD cumulative return for this combination is 7.89%, with an excess return of -2.83% compared to the Micro-Cap Index[37][38][9] - The Small-Cap Value Preferred Combination 2 achieved a weekly return of -1.64%, with an excess return of -0.48% relative to the Micro-Cap Index. YTD cumulative return for this combination is 12.37%, with an excess return of 1.66% compared to the Micro-Cap Index[39][40][9] - The Small-Cap Growth Combination recorded a weekly return of -2.07%, with an excess return of -0.92% relative to the Micro-Cap Index. YTD cumulative return for this combination is 9.13%, with an excess return of -1.59% compared to the Micro-Cap Index[41][42][9] - Style factors showed strong performance, with small-cap stocks outperforming large-cap stocks and low-valuation stocks outperforming high-valuation stocks. Weekly returns for the PB factor were 3.26% (multi-long-short), PE_TTM factor 2.57%, and Market Cap factor 0.19%[44][47][46] - Technical factors contributed positively, with weekly returns for the Turnover Rate factor at 3.89% (multi-long-short), Volatility factor at 4.16%, and Reversal factor at 2.12%[49][51][50] - Fundamental factors also performed well, with weekly returns for the ROE factor at 2.20% (multi-long-short), SUE factor at 0.45%, and Adjusted Net Profit factor at -0.15%[52][54][56]