【金工】市场呈现小市值风格，大宗交易组合再创历史新高——量化组合跟踪周报20250809（祁嫣然/张威）

Core Viewpoint - The report highlights the performance of various market factors and investment strategies, indicating positive returns in several areas while noting the mixed performance of different factors across industries [4][5][6]. Group 1: Market Factor Performance - The momentum factor achieved a positive return of 0.70%, indicating a momentum effect in the market; profitability and Beta factors also showed positive returns of 0.34% and 0.28% respectively, while the market capitalization factor had a negative return of -0.58%, reflecting a small-cap style [4]. - In the CSI 300 stock pool, the best-performing factors included quarterly operating profit growth rate (1.25%), quarterly ROE (1.07%), and early session return factor (0.95%), while the worst performers were the standard deviation of 6-day trading volume (-0.91%), standardized unexpected income (-0.89%), and quarterly EPS (-0.83%) [5]. - In the CSI 500 stock pool, the top factors were post-early session return factor (1.24%), standard deviation of 5-day trading volume (1.05%), and standard deviation of 6-day trading volume (0.82%), with the weakest factors being ROE stability (-0.96%), 5-minute return skewness (-0.84%), and ROA stability (-0.83%) [5]. Group 2: Industry Factor Performance - Fundamental factors showed varied performance across industries, with net asset growth rate, net profit growth rate, earnings per share, and TTM operating profit factors yielding consistent positive returns in the utilities and leisure services sectors [6]. - Valuation factors, particularly the BP factor, demonstrated significant positive returns in the construction materials, banking, and media sectors, while the EP factor showed notable positive returns in the coal industry [6]. - Residual volatility and liquidity factors yielded consistent positive returns in the defense, oil and petrochemical, and automotive industries, with a significant large-cap style observed in the coal and banking sectors [6]. Group 3: Investment Strategy Performance - The PB-ROE-50 combination achieved positive excess returns in the overall market stock pool, with a negative excess return of -0.40% in the CSI 500 stock pool and a positive excess return of 0.44% in the CSI 800 stock pool [7]. - Public fund research stock selection strategy and private fund research tracking strategy both achieved positive excess returns, with the public fund strategy outperforming the CSI 800 by 3.21% and the private fund strategy by 0.16% [8]. - The block trading combination achieved a positive excess return of 3.61% relative to the CSI All Index [9]. - The targeted issuance combination also achieved a positive excess return of 0.77% relative to the CSI All Index [10].