【金工】因子表现分化，市场大市值风格显著——量化组合跟踪周报20251122（祁嫣然/张威）

Core Insights - The overall market showed a significant positive return from the market capitalization factor at 0.99%, while other factors like leverage, liquidity, residual volatility, and valuation factors yielded negative returns of -0.41%, -0.43%, -0.50%, and -0.68% respectively [4] Factor Performance - In the CSI 300 stock pool, the best-performing factors included the correlation between intraday volatility and trading volume (1.23%), ROE stability (1.14%), and the proportion of downside volatility (1.13%). Conversely, the worst-performing factors were early morning return factor (-2.46%), momentum spring factor (-2.21%), and net profit gap (-1.72%) [5] - In the CSI 500 stock pool, the top factors were quarterly gross margin on total assets (1.82%), momentum-adjusted large orders (1.66%), and TTM gross margin on total assets (1.63%). The underperforming factors included year-on-year quarterly ROA (-0.66%), year-on-year quarterly ROE (-0.55%), and ROIC enhancement factor (-0.53%) [5] - In the liquidity 1500 stock pool, the leading factors were TTM net profit margin (1.82%), TTM operating profit margin (1.44%), and ROA stability (1.38%). The lagging factors were inverse TTM price-to-sales ratio (-1.31%), logarithmic market capitalization factor (-1.07%), and net profit gap (-0.95%) [5] Industry Factor Performance - Fundamental factors showed varied performance across industries, with net asset growth rate, net profit growth rate, earnings per share, and TTM operating profit per share yielding consistent positive returns in the textile and apparel, and steel industries. The EP factor performed well among valuation factors, showing significant positive returns in coal, beauty care, and textile and apparel industries. Residual volatility and liquidity factors also showed notable positive returns in the media industry [6] PB-ROE-50 Combination Tracking - The PB-ROE-50 combination recorded negative excess returns across all stock pools, with the CSI 500 pool showing an excess return of -1.30%, the CSI 800 pool at -2.09%, and the overall market stock pool at -1.46% [7] Institutional Research Combination Tracking - Both public and private fund research selection strategies yielded negative excess returns, with the public fund strategy showing an excess return of -1.91% relative to the CSI 800, and the private fund strategy at -3.65% [8] Block Trade Combination Tracking - The block trade combination recorded negative excess returns relative to the CSI All Index, with an excess return of -2.84% [9] Directed Issuance Combination Tracking - The directed issuance combination also showed negative excess returns relative to the CSI All Index, with an excess return of -1.42% [10]