【金工】小市值风格占优，私募调研跟踪策略超额明显——量化组合跟踪周报20250523（祁嫣然/张威）

Group 1 - The core viewpoint of the article highlights the performance of various market factors during the week of May 19 to May 23, 2025, indicating that momentum and growth factors yielded positive returns while liquidity, beta, and size factors experienced significant negative returns [2][3]. - In the CSI 300 stock pool, the best-performing factors included net profit discontinuity (1.30%), 5-day index moving average of trading volume (1.15%), and total asset gross profit margin TTM (1.02%) [3]. - In the CSI 500 stock pool, the top-performing factors were gross profit margin TTM (1.65%), single-quarter ROA (1.40%), and single-quarter total asset gross profit margin (1.26%) [3]. - The liquidity 1500 stock pool showed that the best-performing factors were 5-day average turnover rate (0.45%), 5-minute return skewness (0.36%), and downward volatility ratio (0.33%) [3]. Group 2 - The net asset growth rate factor performed well across various industries, while the net profit growth rate factor excelled in the steel industry [4]. - The earnings per share factor showed strong performance in the beauty and personal care industry, and the operating profit TTM factor performed well in the coal industry [4]. - The 5-day momentum factor exhibited significant momentum effects in the comprehensive industry, while reversal effects were notable in the oil and petrochemical, and food and beverage industries [4]. Group 3 - The PB-ROE-50 combination achieved significant excess returns in the CSI 500 stock pool, with an excess return of 1.15% [6]. - The public fund research stock selection strategy and private fund research tracking strategy both generated positive excess returns, with the public fund strategy outperforming the CSI 800 by 0.54% and the private fund strategy outperforming by 2.61% [7]. - The block trading combination experienced a decline in excess returns relative to the CSI All Index, with an excess return of -0.61% [8]. - The targeted issuance combination achieved excess returns relative to the CSI All Index, with an excess return of 0.12% [9].