低波因子表现出色，沪深300指增组合年内超额18.41%【国信金工】

Performance of Index Enhancement Portfolios - The CSI 300 index enhancement portfolio recorded an excess return of -0.22% for the week and 18.41% year-to-date [1][6] - The CSI 500 index enhancement portfolio had an excess return of -0.52% for the week and 7.09% year-to-date [1][6] - The CSI 1000 index enhancement portfolio showed an excess return of -0.12% for the week and 16.38% year-to-date [1][6] - The CSI A500 index enhancement portfolio achieved an excess return of 0.01% for the week and 9.75% year-to-date [1][6] Stock Selection Factor Performance Tracking - In the CSI 300 component stocks, factors such as three-month volatility, one-month volatility, and three-month reversal performed well [1][9] - In the CSI 500 component stocks, factors like one-month turnover, BP, and illiquidity shock showed strong performance [1][9] - For the CSI 1000 component stocks, factors such as illiquidity shock, expected net profit month-on-month, and EPTTM one-year percentile performed well [1][9] - In the CSI A500 index component stocks, factors like three-month volatility, one-month volatility, and one-month turnover performed well [1][9] Public Fund Index Enhancement Products Performance Tracking - The CSI 300 index enhancement products had a maximum excess return of 1.15%, a minimum of -2.04%, and a median of 0.19% for the week [1][20] - The CSI 500 index enhancement products recorded a maximum excess return of 2.03%, a minimum of -0.65%, and a median of 0.27% for the week [1][21] - The CSI 1000 index enhancement products had a maximum excess return of 1.84%, a minimum of -0.95%, and a median of 0.00% for the week [1][23] - The CSI A500 index enhancement products achieved a maximum excess return of 0.94%, a minimum of -0.47%, and a median of 0.16% for the week [1][25] Public Fund Index Enhancement Product Quantity and Scale - There are currently 76 CSI 300 index enhancement products with a total scale of 77.9 billion [1][19] - There are 74 CSI 500 index enhancement products with a total scale of 50.5 billion [1][19] - There are 46 CSI 1000 index enhancement products with a total scale of 21.4 billion [1][19] - There are 68 CSI A500 index enhancement products with a total scale of 25.3 billion [1][19]