多因子选股周报：反转因子表现出色，四大指增组合本周均跑赢基准

• The report tracks the performance of Guosen Financial Engineering's index enhancement portfolios, which are constructed based on benchmarks such as CSI 300, CSI 500, CSI 1000, and CSI A500 indices, aiming to consistently outperform their respective benchmarks [11][12][14] - The construction process of the index enhancement portfolios includes three main components: return prediction, risk control, and portfolio optimization [12] - The report monitors the performance of common stock selection factors across different stock selection spaces, including CSI 300, CSI 500, CSI 1000, CSI A500, and public fund heavy-holding indices, by constructing single-factor Maximized Factor Exposure (MFE) portfolios and tracking their relative excess returns [11][15][42] - The MFE portfolio construction process involves optimizing the portfolio to maximize single-factor exposure while controlling for various constraints such as industry exposure, style exposure, stock weight deviation, turnover rate, and component stock weight proportion [42][43][44] - The optimization model for MFE portfolios is expressed as follows: $\begin{array}{ll}max&f^{T}\ w\ s.t.&s_{l}\leq X(w-w_{b})\leq s_{h}\ &h_{l}\leq H(w-w_{b})\leq h_{h}\ &w_{l}\leq w-w_{b}\leq w_{h}\ &b_{l}\leq B_{b}w\leq b_{h}\ &\mathbf{0}\leq w\leq l\ &\mathbf{1}^{T}\ w=1\end{array}$ where f represents factor values, w is the stock weight vector, and constraints include style factor deviation, industry deviation, stock weight deviation, component stock weight proportion, and stock weight limits [42][43] - The report provides detailed performance tracking of single-factor MFE portfolios across different stock selection spaces, highlighting factors such as SP, SPTTM, EP, and others that performed well in specific indices like CSI 300, CSI 500, CSI 1000, CSI A500, and public fund heavy-holding indices [15][18][20][22][24][26] - The report also tracks the excess returns of public fund index enhancement products, including CSI 300, CSI 500, CSI 1000, and CSI A500, with detailed statistics on maximum, minimum, and median excess returns over different time periods [28][32][35][38][41]