量化组合跟踪周报20260328：动量效应显著，市场表现为小市值风格-20260328

• The momentum factor, leverage factor, and residual volatility factor achieved positive returns of 0.52%, 0.31%, and 0.29% respectively, indicating a market momentum effect [1][18] - The size factor, profitability factor, and liquidity factor achieved negative returns of -0.72%, -0.27%, and -0.22% respectively, indicating a small-cap market style [1][18] - In the CSI 300 stock pool, the best-performing factors this week were the momentum spring factor (1.20%), 5-day reversal (1.18%), and post-morning return factor (1.01%) [1][12] - In the CSI 500 stock pool, the best-performing factors this week were the momentum spring factor (2.73%), post-morning return factor (1.95%), and single-quarter operating profit year-on-year growth rate (1.25%) [1][14] - In the liquidity 1500 stock pool, the best-performing factors this week were the post-morning return factor (1.41%), single-quarter operating profit year-on-year growth rate (1.37%), and single-quarter ROA year-on-year (1.19%) [1][16] - The PB-ROE-50 portfolio achieved positive excess returns in the CSI 800 stock pool and the entire market stock pool, with excess returns of 0.12% and 0.03% respectively [2][24] - The public fund research stock selection strategy and private fund research tracking strategy both achieved positive excess returns, with the public fund research stock selection strategy achieving an excess return of 0.73% relative to the CSI 800, and the private fund research tracking strategy achieving an excess return of 0.20% relative to the CSI 800 [2][26] - The block trade portfolio achieved a negative excess return of -0.10% relative to the CSI All Share Index [2][30] - The directed issuance portfolio achieved a positive excess return of 1.86% relative to the CSI All Share Index [2][36]