光大证券研究·2025-05-18 09:44Core Viewpoint - The article provides a comprehensive analysis of market performance, highlighting the positive and negative returns of various factors across different stock pools, indicating a mixed market sentiment with a tendency towards small-cap stocks [2][3][4]. Group 1: Market Factor Performance - In the overall market stock pool, the residual volatility factor and profit factor achieved positive returns of 0.55% and 0.26% respectively, while the market capitalization factor and non-linear market capitalization factor recorded negative returns of -0.48% and -0.31%, suggesting a small-cap style in market performance [2]. - The momentum factor yielded a negative return of -0.32%, indicating a reversal effect in the market, while other style factors performed generally [2]. Group 2: Single Factor Performance - In the CSI 300 stock pool, the best-performing factors included quarterly net profit year-on-year growth rate (1.02%), quarterly EPS (1.00%), and price-to-earnings ratio factor (0.89) [3]. - In the CSI 500 stock pool, the top factors were EPTTM quantile (1.30%), price-to-book ratio factor (1.07%), and operating cash flow ratio (0.97%) [3]. - In the liquidity 1500 stock pool, the leading factors were post-opening return factor (2.27%), momentum spring factor (1.43%), and price-to-earnings TTM inverse (1.33%) [3]. Group 3: Industry Factor Performance - Fundamental factors generally performed poorly across most industries, with the net profit growth rate factor showing significant positive returns in the coal industry [4]. - Among valuation factors, the BP factor exhibited notable positive returns in the comprehensive industry [4]. - Liquidity factors showed significant positive returns in transportation, beauty care, chemicals, commercial trade, and light manufacturing industries [4]. Group 4: Combination Tracking - The PB-ROE-50 combination achieved positive excess returns in the CSI 500 and CSI 800 stock pools, with excess returns of 0.88% and 0.43% respectively, while the overall market stock pool recorded an excess return of -0.02% [5]. - The private equity research tracking strategy gained positive excess returns, while the public equity research stock selection strategy underperformed relative to the CSI 800 with an excess return of -0.55% [7]. - The block trading combination achieved positive excess returns of 0.36% relative to the CSI All Share Index [8]. - The targeted issuance combination also gained positive excess returns of 0.48% relative to the CSI All Share Index [9].