【金工】市场呈现小市值风格，大宗交易组合超额收益显著——量化组合跟踪周报20251018（祁嫣然/张威）

Core Viewpoint - The report highlights the performance of various market factors and investment strategies, indicating a mixed performance across different stock pools and strategies, with some factors showing positive returns while others underperformed [4][5][6][7][8][9][10]. Factor Performance - In the overall market stock pool, the momentum factor achieved a positive return of 0.43%, while the Beta factor, market capitalization factor, and non-linear market capitalization factor recorded negative returns of -1.50%, -0.91%, and -0.54% respectively, indicating a small-cap style market performance [4]. - In the CSI 300 stock pool, the best-performing factors included the standard deviation of 5-day trading volume (2.12%), the proportion of downside volatility (1.78%), and the 5-day index moving average of trading volume (1.35%). Conversely, the worst-performing factors were the 5-day reversal (-3.60%), quarterly gross profit margin (-3.43%), and quarterly ROA (-3.38%) [5]. - In the CSI 500 stock pool, the top-performing factors were the inverse of TTM P/E ratio (3.99%), the proportion of downside volatility (3.80%), and the P/E factor (3.17%). The underperforming factors included the 5-day reversal (-1.95%), 5-day average turnover rate (-1.17%), and the 5-day index moving average of trading volume (-1.15%) [5]. - In the liquidity 1500 stock pool, the best-performing factors were the correlation between intraday volatility and trading volume (2.27%), the proportion of downside volatility (1.80%), and the P/B ratio factor (1.51%). The worst-performing factors were quarterly EPS (-1.36%), standardized expected external income (-1.29%), and the 5-day reversal (-1.25%) [5]. Industry Factor Performance - The 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 non-bank financial sector. Valuation factors such as BP and EP also performed well in the home appliance, comprehensive, and non-bank financial sectors. Residual volatility and liquidity factors showed significant positive returns in the coal industry, while large-cap styles were prominent in the food and beverage, beauty care, and banking sectors [6]. Strategy Performance - The PB-ROE-50 combination achieved positive excess returns in the CSI 500 stock pool, with an excess return of 0.15%. However, it underperformed in the CSI 800 stock pool with an excess return of -1.50% and in the overall market stock pool with an excess return of -2.52% [7]. - The public fund research selection strategy and private fund research tracking strategy both recorded negative excess returns, with the public fund strategy yielding -0.94% relative to the CSI 800 and the private fund strategy yielding -4.83% [8]. - The block trading combination achieved positive excess returns relative to the CSI All Share Index, with an excess return of 1.56% [9]. - The targeted issuance combination also achieved positive excess returns relative to the CSI All Share Index, with an excess return of 1.86% [10].