国泰海通｜金工：如何克服因子表现的截面差异

Core Insights - The article discusses the significant differences in factor performance across various stock selection domains, indicating that specific stock selection domains do not exhibit the same long/short performance as the overall market [1] - The composite factor's performance can be enhanced by matching style factors to the target stock selection domain, leading to improved outcomes [1] Group 1: Market Capitalization Reweighting - Reweighting factors by market capitalization shows stable performance in the overall market but enhances stock selection effects in specific index domains, particularly when small-cap stocks are given higher weight [1] - In the case of the CSI 300 index, extreme weighting towards large-cap stocks historically yields better performance, with an annualized excess return improvement exceeding 1% [2] - For the CSI 500 index, similar improvements are observed with market capitalization weighting, effectively enhancing performance by around 1% annually [2] - The CSI 1000 index does not show significant performance improvements regardless of the weighting approach used [2] Group 2: Style Reweighting - Reweighting factors by style leads to greater instability in enhancement effects across different combinations, with significant improvements noted in the strict constraint CSI 1000 enhancement combination [3] - The composite factor's enhancement effect for the CSI 300 is slightly less effective than when using market capitalization reweighting [3] - For the CSI 500, the enhancement effect is also marginally less effective compared to market capitalization reweighting [3] - The strict constraint approach for the CSI 1000 enhancement combination shows a potential annualized improvement of around 1% when using component reweighting [3]