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超额全线回暖,四大指增组合本周均跑赢基准【国信金工】
量化藏经阁·2025-10-12 07:08

Group 1 - The core viewpoint of the article is to track the performance of various index enhancement portfolios and the factors influencing stock selection across different indices, highlighting their excess returns and factor performance [1][2][5][18]. Group 2 - The performance of the HuShen 300 index enhancement portfolio showed an excess return of 0.63% for the week and 17.65% year-to-date [6][21]. - The performance of the Zhongzheng 500 index enhancement portfolio indicated an excess return of 0.30% for the week and 8.35% year-to-date [6][23]. - The Zhongzheng 1000 index enhancement portfolio achieved an excess return of 0.77% for the week and 18.22% year-to-date [6][24]. - The Zhongzheng A500 index enhancement portfolio reported an excess return of 1.57% for the week and 11.17% year-to-date [6][30]. Group 3 - In the HuShen 300 component stocks, factors such as expected EPTTM, one-month volatility, and BP performed well [7][9]. - For Zhongzheng 500 component stocks, factors like SPTTM, expected BP, and single-season EP showed strong performance [11][10]. - In Zhongzheng 1000 component stocks, EPTTM, SPTTM, and expected EPTTM were among the top-performing factors [13][12]. - The Zhongzheng A500 index component stocks saw single-season SP, SPTTM, and one-month volatility as the best-performing factors [15][14]. Group 4 - The public fund index enhancement products for HuShen 300 had a maximum excess return of 1.50%, a minimum of -1.62%, and a median of 0.22% for the week [21][20]. - The Zhongzheng 500 index enhancement products had a maximum excess return of 1.75%, a minimum of -0.67%, and a median of 0.49% for the week [25][22]. - The Zhongzheng 1000 index enhancement products reported a maximum excess return of 1.27%, a minimum of -0.86%, and a median of 0.45% for the week [24][29]. - The Zhongzheng A500 index enhancement products had a maximum excess return of 1.54%, a minimum of -1.64%, and a median of 0.34% for the week [30][26].