量化组合跟踪周报20260314：市场表现为大市值风格，大宗交易组合再创新高-20260314

• The report tracks the performance of various factors in different stock pools, including the CSI 300, CSI 500, and Liquidity 1500 stock pools[1][2][3] - In the CSI 300 stock pool, the best-performing factors this week were Operating Cash Flow Ratio (1.68%), 5-day Exponential Moving Average of Volume (1.19%), and Total Asset Gross Profit Margin TTM (0.93%)[12] - In the CSI 500 stock pool, the best-performing factors this week were Downside Volatility Ratio (3.30%), PE Ratio Factor (3.24%), and PE Ratio TTM Reciprocal (3.06%)[14] - In the Liquidity 1500 stock pool, the best-performing factors this week were PE Ratio TTM Reciprocal (1.56%), PB Ratio Factor (1.33%), and Quarterly EPS (0.65%)[16] - The PB-ROE-50 portfolio achieved positive excess returns in the CSI 500 stock pool (0.77%) but negative excess returns in the CSI 800 stock pool (-1.15%) and the overall market stock pool (-1.79%)[23][24] - The institutional research portfolio tracking showed that the public research stock selection strategy achieved positive excess returns (0.26%) relative to the CSI 800, while the private research tracking strategy achieved negative excess returns (-2.32%)[25][26] - The block trading portfolio achieved positive excess returns (0.92%) relative to the CSI All Share Index[29][30] - The directed issuance portfolio achieved negative excess returns (-0.87%) relative to the CSI All Share Index[35][36]