【金工】市场大市值风格占优，反转效应显著——量化组合跟踪周报20260110（祁嫣然/陈颖/张威）

Core Viewpoint - The report highlights the performance of various market factors and investment strategies over the week of January 5 to January 9, 2026, indicating a mixed performance across different factors and sectors, with notable trends in momentum and valuation factors [4][5][6]. Factor Performance - Major factors such as beta, residual volatility, and size factors yielded positive returns of 1.07%, 1.02%, and 0.59% respectively, while the momentum factor showed a significant negative return of -1.08% [4]. - In the CSI 300 stock pool, the best-performing factors included 5-day average turnover rate (4.90%), relative turnover volatility (4.59%), and quarterly revenue growth rate (3.92%), while the worst performers were momentum-adjusted large orders (-1.11%), ROA stability (-1.15%), and ROE stability (-1.43%) [5]. - In the CSI 500 stock pool, the top factors were gross margin TTM (1.29%), quarterly net profit growth rate (1.09%), and total asset growth rate (0.81%), with the worst being price-to-book ratio (-3.51%), TTM price-to-earnings ratio inverse (-4.06%), and price-to-earnings ratio (-4.69%) [5]. - In the liquidity 1500 stock pool, the best factors were gross margin TTM (2.17%), quarterly revenue growth rate (2.14%), and quarterly operating profit growth rate (1.85%), while the worst were the correlation of intraday volatility with transaction amount (-2.64%), price-to-earnings ratio (-3.01%), and TTM price-to-earnings ratio inverse (-3.18%) [5]. Industry Factor Performance - The net asset growth rate factor performed well in the non-bank financial and diversified sectors, while the net profit growth rate factor excelled in the diversified sector [6]. - The per-share net asset factor showed strong performance in the real estate and beauty care sectors, and the per-share operating profit TTM factor performed well in the diversified sector [6]. - The 5-day momentum factor exhibited momentum effects in media, communication, steel, and pharmaceutical sectors, while showing reversal effects in coal and agriculture sectors [6]. - Valuation factors like BP performed well in real estate and leisure services, while EP performed well in banking and non-bank financial sectors [7]. Investment Strategy Performance - The PB-ROE-50 combination achieved significant excess returns in the CSI 800 and overall market stock pools, with excess returns of 1.36% in the CSI 800 and 1.23% in the overall market, but a negative excess return of -2.18% in the CSI 500 stock pool [8]. - The private equity research tracking strategy generated positive excess returns, while the public equity research stock selection strategy had a relative excess return of -0.31% compared to the CSI 800 [9]. - The block trading combination achieved an excess return of 0.69% relative to the CSI All Index [10]. - The targeted issuance combination experienced a pullback in excess returns, with a relative excess return of -1.58% compared to the CSI All Index [11].