【金工】市场小市值风格明显，定增组合超额收益显著——量化组合跟踪周报20250301（祁嫣然/张威）

Group 1 - The core viewpoint of the article highlights the performance of various market factors, indicating that the leverage factor achieved a positive return of 0.60%, while liquidity and market capitalization factors recorded negative returns of -0.77% and -0.52% respectively, suggesting a significant small-cap style in the market [2] Group 2 - In the CSI 300 stock pool, the best-performing factors included momentum-adjusted large orders (2.40%), net inflow of large orders (2.32%), and momentum-adjusted small orders (1.82%). Conversely, the worst-performing factors were gross profit margin on total assets for the quarter (-2.60%), total asset growth rate (-2.48%), and return on assets for the quarter (-2.14%) [3] - In the CSI 500 stock pool, the top-performing factors were momentum-adjusted small orders (2.99%), price-to-earnings ratio factor (2.89%), and price-to-book ratio factor (2.75%). The underperforming factors included the standard deviation of 5-day trading volume (-0.57%), TTM net profit margin (-0.48%), and TTM operating profit margin (-0.27%) [3] - In the liquidity 1500 stock pool, the leading factors were price-to-earnings ratio factor (2.79%), inverse of TTM price-to-earnings ratio (2.10%), and correlation between intraday volatility and trading volume (1.89%). The lagging factors were gross profit margin on total assets for the quarter (-2.31%), standardized unexpected income (-2.15%), and standardized unexpected profit (-2.06%) [3] Group 3 - The performance of fundamental factors varied across industries, with net asset growth rate, net asset per share, and TTM operating profit per share factors showing consistent performance in the environmental protection industry. Valuation factors such as BP and EP factors performed consistently in the home appliances, machinery, environmental protection, building materials, and chemical industries. Residual volatility and liquidity factors yielded consistent positive returns in the food and beverage, non-ferrous metals, oil and petrochemicals, real estate, and comprehensive industries. The small-cap style was notably significant across most industries this week [4] Group 4 - The PB-ROE-50 combination experienced a pullback in excess returns across various stock pools, with the CSI 500 pool recording an excess return of -1.20%, the CSI 800 pool at -2.24%, and the overall market stock pool at -2.22% [5] Group 5 - This week, the public fund research stock selection strategy and private fund research tracking strategy achieved positive excess returns, with the public fund strategy gaining 0.33% relative to the CSI 800 and the private fund strategy gaining 0.51% [8] Group 6 - The block trading combination achieved a positive excess return of 0.78% relative to the CSI All Share Index this week [9] Group 7 - The targeted issuance combination gained a significant excess return of 3.07% relative to the CSI All Share Index this week [10]