量化组合跟踪周报 20260131：市场表现为动量效应，盈利因子表现良好-20260131

• The momentum factor and profitability factor both achieved positive returns of 0.51% in the overall market stock pool this week, indicating a momentum effect in the market[1][18] - The Beta factor and liquidity factor recorded negative returns of -0.81% and -0.41%, respectively, while other style factors showed average performance[1][18] - In the CSI 300 stock pool, the best-performing factors this week were the P/E ratio factor (1.70%), net profit margin TTM (1.03%), and operating profit margin TTM (1.02%)[1][12] - The worst-performing factors in the CSI 300 stock pool were the post-morning return factor (-3.58%), momentum spring factor (-3.50%), and 5-day reversal factor (-2.98%)[1][12] - In the CSI 500 stock pool, the best-performing factors this week were the inverse P/S ratio TTM (3.25%), inverse P/E ratio TTM (2.67%), and P/E ratio factor (2.45%)[1][14] - The worst-performing factors in the CSI 500 stock pool were the 5-minute return skewness factor (-3.71%), 6-day moving average of transaction amount (-2.69%), and 5-day reversal factor (-2.40%)[1][14] - In the liquidity 1500 stock pool, the best-performing factors this week were the operating cash flow ratio (2.27%), momentum-adjusted small orders (1.65%), and single-quarter ROA (1.62%)[2][16] - The worst-performing factors in the liquidity 1500 stock pool were the 5-minute return skewness factor (-3.03%), morning return factor (-2.65%), and 5-day average turnover rate (-2.21%)[2][16] - The PB-ROE-50 portfolio achieved positive excess returns in the CSI 500 stock pool this week, with an excess return of 0.59%[2][23] - The PB-ROE-50 portfolio recorded an excess return of -0.50% in the CSI 800 stock pool and -2.81% in the overall market stock pool[2][23] - The public fund research stock selection strategy and private fund research tracking strategy both recorded negative excess returns this week, with the public fund strategy achieving -4.21% and the private fund strategy achieving -1.85% relative to the CSI 800[2][25] - The block trade portfolio achieved a positive excess return of 0.06% relative to the CSI All Share Index this week[2][30] - The directed issuance portfolio achieved a positive excess return of 0.13% relative to the CSI All Share Index this week[2][35]