量化组合跟踪周报20260321：Beta因子表现不佳，市场表现为大市值风格-20260321

• The report tracks the performance of single factors in different stock pools, including the CSI 300, CSI 500, and liquidity 1500 pools. Positive-performing factors in the CSI 300 pool include total asset growth rate (2.17%), single-quarter total asset gross margin (1.11%), and single-quarter ROE (1.11%). Negative-performing factors include morning return factor (-4.08%), 5-minute return skewness (-3.62%), and momentum spring factor (-3.52%) [12][13] - In the CSI 500 stock pool, factors with strong performance include total asset growth rate (2.99%), single-quarter operating revenue YoY growth rate (2.90%), and EPTTM percentile (2.83%). Poor-performing factors include 5-minute return skewness (-0.57%), 5-day reversal (-0.44%), and turnover rate relative volatility (-0.41%) [14][15] - For the liquidity 1500 stock pool, top-performing factors are single-quarter operating revenue YoY growth rate (2.33%), total asset growth rate (2.20%), and single-quarter ROE (2.05%). Factors with weaker performance include morning return factor (-1.09%), PE TTM reciprocal (-1.04%), and PS TTM reciprocal (-0.95%) [16][17] - The report highlights the performance of broad categories of factors across the entire market stock pool. Residual volatility factor and market capitalization factor achieved positive returns of 0.40% each, while liquidity factor (-0.43%), valuation factor (-0.39%), and Beta factor (-0.36%) underperformed [18][20] - Industry-specific factor performance is analyzed, showing that basic fundamental factors like net asset per share and operating profit per share TTM performed consistently well in the petroleum and petrochemical and transportation industries. Valuation factors such as BP and EP also showed consistent positive returns in the petroleum and petrochemical sector. Residual volatility and liquidity factors performed well in the construction and decoration industry [21][22] - The PB-ROE-50 portfolio achieved positive excess returns in the CSI 500 stock pool (0.53%) but negative excess returns in the CSI 800 (-1.35%) and the entire market stock pool (-0.76%) [23][24] - The institutional research portfolios, including public fund research stock selection and private fund research tracking strategies, both recorded negative excess returns relative to the CSI 800 index. Public fund research stock selection strategy achieved -3.57%, while private fund research tracking strategy achieved -2.62% [25][26] - The block trading portfolio, constructed based on "high transaction, low volatility" principles, recorded negative excess returns of -1.88% relative to the CSI All Index [29][30] - The directed issuance portfolio, constructed around event-driven strategies tied to shareholder meeting announcement dates, achieved positive excess returns of 0.68% relative to the CSI All Index [35][36]