【金工】市场小市值风格显著，估值因子表现良好——量化组合跟踪周报20251220（祁嫣然/张威）

Core Viewpoint - The article provides a comprehensive analysis of market performance, highlighting the varying returns of different factors across multiple stock pools, indicating a mixed investment environment with specific factors outperforming others [4][5][6]. Factor Performance - In the overall market stock pool, valuation and profitability factors achieved positive returns of 0.27% and 0.25% respectively, while market capitalization factors yielded negative returns of -0.91% and -0.51%, suggesting a small-cap style dominance [4]. - In the CSI 300 stock pool, the best-performing factors included quarterly ROE YoY (2.31%), quarterly ROE (1.81%), and P/E ratio (1.51%), while total asset growth rate (-1.28%) and quarterly operating profit YoY growth rate (-0.83%) were among the worst [5]. - In the CSI 500 stock pool, the top factors were P/B ratio (1.78%), standardized expected external income (1.74%), and operating cash flow ratio (1.28%), with quarterly net profit YoY growth rate (-1.19%) and quarterly operating profit YoY growth rate (-1.06%) performing poorly [5]. - In the liquidity 1500 stock pool, the best factors were P/E ratio (1.44%), downside volatility ratio (1.24%), and P/B ratio (1.17%), while quarterly net profit YoY growth rate (-1.00%) and quarterly operating revenue YoY growth rate (-0.82%) lagged [5]. Industry Factor Performance - Fundamental factors showed varied performance across industries, with net asset growth rate, net profit growth rate, and earnings per share factors yielding consistent positive returns in the media and textile sectors [6]. - Valuation factors, particularly the BP factor, demonstrated significant positive returns across most industries, while the EP factor also showed consistent positive returns in the comprehensive sector [6]. - The small-cap style was notably prominent across most industries, while large-cap styles were significant in defense, non-bank financials, non-ferrous metals, and oil and petrochemical sectors [7]. 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 -0.02% and the overall market pool at -0.75% [8]. - Institutional research combinations, including public and private fund strategies, also reported negative excess returns, with public strategies yielding -0.43% and private strategies -1.92% relative to the CSI 800 [9]. - The block trading combination underperformed relative to the CSI All Index, with an excess return of -0.68% [10]. - Conversely, the targeted issuance combination achieved positive excess returns of 1.46% relative to the CSI All Index [11].