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换手率因子表现出色,中证1000增强组合年内超额3.15%【国信金工】
量化藏经阁·2025-04-13 05:08

Group 1 - The core viewpoint of the article is to track the performance of index-enhanced portfolios and stock selection factors across different indices, highlighting their excess returns and the effectiveness of various stock selection factors [1][2][14]. Group 2 - The performance of the CSI 300 index-enhanced portfolio showed an excess return of -1.25% for the week and 1.61% year-to-date [1][2]. - The performance of the CSI 500 index-enhanced portfolio indicated an excess return of -1.53% for the week and 2.17% year-to-date [1][2]. - The performance of the CSI 1000 index-enhanced portfolio recorded an excess return of -0.88% for the week and 3.15% year-to-date [1][2]. Group 3 - In the CSI 300 sample space, factors such as non-liquidity shock, three-month turnover, and one-month turnover performed well recently [4][5]. - In the CSI 500 sample space, factors like expected net profit month-on-month, non-liquidity shock, and three-month earnings adjustments showed strong performance [6][8]. - In the CSI 1000 sample space, factors including three-month institutional coverage and turnover metrics performed well [9][10]. Group 4 - The public fund index-enhanced products for the CSI 300 had a maximum excess return of 1.04% and a minimum of -2.85% for the week, with a median of -0.53% [16]. - The public fund index-enhanced products for the CSI 500 had a maximum excess return of 0.86% and a minimum of -1.80% for the week, with a median of -0.62% [18]. - The public fund index-enhanced products for the CSI 1000 had a maximum excess return of 0.86% and a minimum of -1.80% for the week, with a median of -0.62% [18]. Group 5 - The total number of public fund index-enhanced products includes 67 for the CSI 300 with a total scale of 81.5 billion, 68 for the CSI 500 with a total scale of 49.3 billion, and 46 for the CSI 1000 with a total scale of 16.9 billion [15].