【金工】市场动量效应明显，大宗交易组合再创新高——量化组合跟踪周报20260307（祁嫣然/张威）

Group 1 - The core viewpoint of the article highlights the performance of various market factors, indicating that momentum and profitability factors yielded positive returns while the Beta factor showed negative returns [4] - In the CSI 300 stock pool, the best-performing factors included the inverse of TTM price-to-earnings ratio (2.97%) and the price-to-earnings factor (2.86%), while the worst-performing factors were the year-on-year growth rate of quarterly operating revenue (-2.54%) and quarterly ROA year-on-year (-1.79%) [5] - The CSI 500 stock pool showed strong performance in the inverse of TTM price-to-earnings ratio (3.46%) and the price-to-earnings factor (3.29%), with the worst-performing factors being the 5-day average turnover rate (-1.22%) and total asset growth rate (-0.97%) [5] Group 2 - The article notes that fundamental factors exhibited varied performance across industries, with net asset per share and TTM operating profit per share showing consistent positive returns in coal and comprehensive industries [6] - The PB-ROE-50 combination achieved positive excess returns in both the CSI 500 (0.78%) and CSI 800 (0.46%) stock pools, while the overall market stock pool experienced a negative excess return (-0.92%) [8] - The public fund research stock selection strategy generated positive excess returns relative to the CSI 800 (0.16%), while the private fund research tracking strategy underperformed with a negative excess return (-1.30%) [9]