基金经理及产品研究系列：东吴基金刘瑞：成长风格占优趋势延续，关注AI与创新药投资机会

• The report utilizes the Fama Five-Factor Model for analysis, which includes market, size, value, investment, and profitability factors[29][37][41] - The construction process involves analyzing factor sensitivities and decomposing returns and risks based on the five factors. Market factor sensitivity is consistently positive, while value factor sensitivity is notably negative. The formula for factor exposure is $ R_i = \alpha + \beta_1 \cdot MKT + \beta_2 \cdot SMB + \beta_3 \cdot HML + \beta_4 \cdot RMW + \beta_5 \cdot CMA + \epsilon $, where $ \beta $ represents factor sensitivities[37][41][42] - Evaluation of the model indicates strong individual stock selection capabilities, as excess returns are primarily derived from specific stock alpha rather than systematic factor exposure[41][42] - Testing results show that market factor contributes significantly to returns, while value, size, and investment factors exhibit weaker performance. Specific alpha remains a key driver of excess returns[37][41][42]