【金工】市场小市值风格占优、反转效应显著——量化组合跟踪周报20251115（祁嫣然/张威/陈颖）

Core Viewpoint - The article provides a comprehensive analysis of market factors and their performance over the week, highlighting the positive and negative returns of various investment factors across different stock pools [4][5][6]. Factor Performance Summary - In the large-cap stock pool (CSI 300), the best-performing factors included large net inflows (1.63%), price-to-earnings ratio (1.50%), and the standard deviation of 5-day trading volume (1.40%). Conversely, the worst-performing factors were quarterly operating profit growth rate (-1.67%), 5-day reversal (-1.83%), and total asset growth rate (-2.26%) [5]. - In the mid-cap stock pool (CSI 500), the top factors were downside volatility ratio (2.64%), large net inflows (2.22%), and price-to-book ratio (2.09%), while the underperformers included total asset growth rate (-0.37%), early morning return factor (-0.78%), and momentum spring factor (-1.00%) [5]. - In the liquidity-focused stock pool (Liquidity 1500), the leading factors were logarithmic market value (1.76%), correlation between intraday volatility and trading volume (1.52%), and downside volatility ratio (1.38%). The lagging factors included ROE stability (-1.76%), total asset growth rate (-1.94%), and ROA stability (-2.08%) [5]. Industry-Specific Factor Performance - The net asset growth rate factor performed well in the steel industry, while it was underwhelming in most other sectors. The net profit growth rate factor excelled in the comprehensive industry [6]. - The 5-day momentum factor showed significant momentum effects in the comprehensive, coal, and electrical equipment industries, while reversal effects were notable in the oil, petrochemical, and beauty care sectors [6][7]. Combination Tracking - The PB-ROE-50 combination experienced excess return drawdowns across stock pools, with excess returns of -0.23% in the CSI 500, -0.98% in the CSI 800, and -1.39% in the overall market stock pool [8]. - The public fund research selection strategy and private fund research tracking strategy achieved positive excess returns, with the public strategy outperforming the CSI 800 by 1.82% and the private strategy by 1.06% [9]. - The block trading combination outperformed the CSI All Index, achieving an excess return of 2.39% [10]. - The targeted issuance combination also outperformed the CSI All Index, with an excess return of 2.16% [11].