【金工】Beta因子表现良好，量化选股组合超额收益显著——量化组合跟踪周报20260228（祁嫣然/张威）

Group 1 - The core viewpoint of the article highlights the performance of various market factors, indicating that Beta, profitability, and liquidity factors achieved positive returns, while market capitalization factors yielded negative returns, suggesting a small-cap market style [4] Group 2 - In the CSI 300 stock pool, the best-performing factors included net profit discontinuity (4.93%), quarterly ROA (2.93%), and year-on-year quarterly ROA (2.83%), while the worst-performing factors were total asset gross margin TTM (-0.77%), quarterly total asset gross margin (-0.66%), and operating cash flow ratio (-0.66%) [5] - In the CSI 500 stock pool, the top-performing factors were price-to-book ratio (0.83%), inverse price-to-sales ratio TTM (0.72%), and logarithmic market capitalization factor (0.23%), while the underperforming factors included total asset gross margin TTM (-3.84%), gross margin TTM (-3.51%), and quarterly total asset gross margin (-3.46%) [5] - In the liquidity 1500 stock pool, the best-performing factors were 5-day reversal (0.76%), net profit discontinuity (0.31%), and price-to-book ratio (0.29%), while the worst-performing factors were gross margin TTM (-2.50%), small net inflow (-2.24%), and quarterly total asset gross margin (-2.14%) [5] Group 3 - The fundamental factors showed differentiated performance across industries, with net asset per share and TTM operating profit per share factors yielding consistent positive returns in the media and leisure service sectors; valuation factors such as BP and EP showed significant positive returns in the media industry [6] - The market capitalization style was notably large-cap in the defense, telecommunications, and non-ferrous metals industries this week [6] Group 4 - The PB-ROE-50 combination achieved positive excess returns across all stock pools, with the CSI 500 pool gaining 0.70%, the CSI 800 pool gaining 2.32%, and the overall market stock pool gaining 2.25% [7] Group 5 - The public fund research selection strategy and private fund research tracking strategy both achieved positive excess returns, with the public fund strategy outperforming the CSI 800 by 1.38% and the private fund strategy outperforming by 1.51% [8] Group 6 - The block trading combination achieved positive excess returns relative to the CSI All Index, with an excess return of 1.06% [9] Group 7 - The targeted issuance combination also achieved positive excess returns relative to the CSI All Index, with an excess return of 0.97% [10]