【金工】市场小市值风格明显，PB-ROE-50组合超额收益显著——量化组合跟踪周报20250614（祁嫣然/张威）

Group 1 - The core viewpoint of the article highlights the performance of various market factors, indicating a mixed performance across different stock pools with specific factors yielding positive or negative returns [2][3][5]. Group 2 - In the overall market, the profitability factor achieved a positive return of 0.54%, while the residual volatility and beta factors gained 0.28% and 0.23% respectively, indicating a small-cap style market performance [2]. - In the CSI 300 stock pool, the best-performing factors included the price-to-earnings (P/E) ratio (2.85%) and the TTM inverse P/E ratio (2.32%), while the worst performers were the 5-minute return skew (-1.53%) and gross profit margin TTM (-1.03%) [3]. - The CSI 500 stock pool saw the ROIC enhancement factor perform well with a return of 1.46%, while the worst performers included the 5-day reversal (-1.25%) [3]. - The liquidity 1500 stock pool had the TTM inverse P/E ratio as the best performer (1.30%), while early morning return factors showed negative performance [3]. Group 3 - The fundamental factors showed varied performance across industries, with net asset growth rate and net profit growth rate factors performing consistently well in the telecommunications, beauty care, and commercial trade sectors [5]. - Valuation factors, particularly the earnings yield (EP) factor, performed well in the telecommunications, oil and petrochemical, and steel industries [5]. - The small-cap style was notably significant in the beauty care, media, and computer industries this week [5]. Group 4 - The PB-ROE-50 combination achieved positive excess returns across stock pools, with the CSI 500 pool gaining 1.34% and the CSI 800 pool gaining 1.37% [6]. - The public fund research selection strategy and private fund research tracking strategy both recorded negative excess returns relative to the CSI 800, with losses of -1.58% and -1.45% respectively [7]. - The block trading combination underperformed relative to the CSI All Index, with an excess return of -0.62% [8]. - The targeted issuance combination achieved positive excess returns relative to the CSI All Index, with a gain of 1.17% [9].