【金工】市场小市值风格明显，大宗交易组合超额收益显著——量化组合跟踪周报20250628（祁嫣然/张威）

Core Viewpoint - The article provides an analysis of market performance, highlighting the positive and negative returns of various factors across different stock pools and industries, indicating a mixed market sentiment and potential investment opportunities. Group 1: Market Factor Performance - The overall market showed positive returns for Beta and liquidity factors at 1.06% and 0.37% respectively, while market capitalization and residual volatility factors had negative returns of -0.64% and -0.31%, suggesting a small-cap style market [2] - In the CSI 300 stock pool, the best-performing factors included quarterly net profit growth rate at 1.94% and 5-day reversal at 1.83%, while large net inflow and ROIC enhancement factors performed poorly at -0.87% and -0.63% [3] - The CSI 500 stock pool saw total asset growth rate at 1.84% and quarterly operating income growth rate at 1.56% as top performers, while operating profit margin TTM and large net inflow factors lagged at -1.79% and -1.60% [3] Group 2: Industry Factor Performance - Fundamental factors showed varied performance across industries, with net asset growth rate and earnings per share factors yielding significant positive returns in the comprehensive industry [4] - Valuation factors such as EP and BP also demonstrated notable positive returns in the comprehensive industry, while residual volatility and liquidity factors performed well in the non-bank financial sector [4] Group 3: Strategy Performance - The PB-ROE-50 combination achieved positive excess returns in the CSI 800 and overall market stock pools, with excess returns of 0.50% in the CSI 800 and 0.09% in the overall market [5] - Public and private fund research selection strategies both generated positive excess returns, with public strategies outperforming the CSI 800 by 0.40% and private strategies by 0.79% [6] - The block trading combination yielded an excess return of 1.16% relative to the CSI All Index, indicating strong performance in this strategy [7] - The targeted issuance combination also achieved positive excess returns of 1.05% compared to the CSI All Index, reflecting favorable conditions for this investment approach [8]