光大证券研究·2025-12-14 23:03Core Viewpoint - The report provides a comprehensive analysis of market performance, highlighting the performance of various factors and strategies across different stock pools, indicating potential investment opportunities and trends in the market [4][5][6][7][8][9][10]. Factor Performance - In the large-cap factor performance for the week of December 8-12, 2025, the size factor, beta factor, and non-linear market cap factor achieved positive returns of 1.18%, 0.91%, and 0.82% respectively, while the BP factor and liquidity factor recorded negative returns of -0.55% and -0.38% [4]. - In the CSI 300 stock pool, the best-performing factors included total asset growth rate (2.05%), quarterly ROA (1.71%), and turnover rate relative volatility (1.59%), while the worst-performing factors were logarithmic market cap (-1.00%), downside volatility ratio (-1.10%), and large net inflow (-1.14%) [5]. - In the CSI 500 stock pool, the top factors were quarterly EPS (1.61%), total asset growth rate (1.39%), and momentum spring factor (1.22%), with the worst being price-to-sales ratio TTM inverse (-2.49%), downside volatility ratio (-2.55%), and price-to-book ratio (-3.06%) [5]. - In the liquidity 1500 stock pool, the best factors were total asset growth rate (2.25%), quarterly revenue growth rate (2.05%), and quarterly ROA year-on-year (1.92%), while the worst were price-to-earnings ratio (-0.90%), downside volatility ratio (-0.95%), and price-to-book ratio (-0.97%) [5]. Industry Factor Performance - The net asset growth rate factor performed well in the telecommunications, comprehensive, and coal industries, while the net profit growth rate factor excelled in the telecommunications sector [6]. - The earnings per share factor showed strong performance in the telecommunications industry, and the residual volatility factor performed well in telecommunications and commercial trade sectors [6]. Strategy Performance - The PB-ROE-50 combination achieved significant excess returns across stock pools, with the CSI 500 stock pool gaining an excess return of 0.30%, the CSI 800 stock pool gaining 1.60%, and the overall market stock pool gaining 1.59% [7]. - Public fund research selection strategies and private fund research tracking strategies both yielded positive excess returns, with public fund strategies outperforming the CSI 800 by 1.79% and private fund strategies outperforming by 2.77% [8]. - The block trading combination experienced a relative excess return drawdown against the CSI All Index, with an excess return of -0.95% [9]. - The directed issuance combination also faced a relative excess return drawdown against the CSI All Index, with an excess return of -1.50% [10].