【金工】市场大市值风格占优，机构调研组合超额明显——量化组合跟踪周报20251227（祁嫣然/张威）

Core Viewpoint - The report provides a comprehensive analysis of market performance, highlighting the positive and negative returns of various factors and strategies within different stock pools during the specified week [4][5][8]. Group 1: Factor Performance - In the large-cap market, beta, size, and non-linear market capitalization factors yielded positive returns of 1.31%, 0.62%, and 0.58% respectively, while the leverage factor had a negative return of -0.13% [4]. - In the CSI 300 stock pool, the best-performing factors included the early morning return factor (2.16%), year-on-year net profit growth rate (1.75%), and quarterly ROA year-on-year (1.68%), while the worst performers were large net inflow (-1.71%), price-to-book ratio factor (-1.83%), and downside volatility ratio (-2.05%) [5]. - In the CSI 500 stock pool, the top factors were quarterly operating profit growth rate (1.16%), quarterly net profit growth rate (1.11%), and standardized unexpected earnings (1.08%), with the price-to-earnings ratio factor (-2.74%), total asset gross margin TTM (-2.92%), and price-to-book ratio factor (-2.95%) performing poorly [5]. Group 2: Industry Factor Performance - The net asset growth rate factor performed well in the comprehensive and oil & petrochemical industries, while the net profit growth rate factor excelled in the comprehensive industry [6]. - The earnings per share factor showed strong performance in the oil & petrochemical and real estate sectors, and the TTM operating profit factor was notable in the environmental protection industry [6]. - The 5-day momentum factor exhibited momentum effects in the oil & petrochemical and public utilities sectors, while showing reversal effects in the beauty care, leisure services, and food & beverage industries [6][7]. Group 3: Strategy Performance - The PB-ROE-50 combination achieved significant excess returns, with a 1.31% excess return in the CSI 800 stock pool and a 1.36% excess return in the overall market stock pool, while it recorded a -0.62% excess return in the CSI 500 stock pool [8]. - Public and private fund research selection strategies yielded positive excess returns, with public fund strategies achieving a 1.88% excess return relative to the CSI 800 and private fund strategies achieving a 2.14% excess return [9]. - The block trading combination experienced a decline in excess returns, with a -1.94% excess return relative to the CSI All Index [10]. - The targeted issuance combination also faced a decline, with a -1.79% excess return relative to the CSI All Index [11].