一、本周指数增强组合表现 沪深300指数增强组合本周超额收益0.74%，本年超额收益5.84%。 中证500指数增强组合本周超额收益0.20%，本年超额收益7.93%。 中证1000指数增强组合本周超额收益0.75%，本年超额收益12.43%。 中证A500指数增强组合本周超额收益0.65%，本年超额收益8.45%。 二、本周选股因子表现跟踪 沪深300成分股中高管薪酬、预期EPTTM、预期PEG等因子表现较好。 中证500成分股中单季ROE、单季ROA、单季营收同比增速等因子表现较 好。 中证1000成分股中高管薪酬、预期EPTTM、单季ROE等因子表现较好。 中证A500指数成分股中单季ROE、单季ROA、预期EPTTM等因子表现较 好。 公募基金重仓股中单季营收同比增速、一年动量、预期PEG等因子表现较 好。 三、本周公募基金指数增强产品表现跟踪 沪深300指数增强产品本周超额收益最高0.71%，最低-0.43%，中位数 0.22%。 中证500指数增强产品本周超额收益最高1.46%，最低-0.57%，中位数 0.29%。 中证1000指数增强产品本周超额收益最高1.26%，最低-0.68%，中位数 0 ...

一、本周指数增强组合表现 沪深300指数增强组合本周超额收益0.83%，本年超额收益5.09%。 中证500指数增强组合本周超额收益1.13%，本年超额收益7.75%。 中证1000指数增强组合本周超额收益1.86%，本年超额收益11.66%。 中证A500指数增强组合本周超额收益1.24%，本年超额收益7.78%。 二、本周选股因子表现跟踪 沪深300成分股中三个月机构覆盖、单季ROA、单季ROE等因子表现较好。 中证500成分股中标准化预期外盈利、一个月反转、DELTAROE等因子表现 较好。 中证1000成分股中单季营收同比增速、DELTAROE、单季ROE等因子表现较 好。 中证A500指数成分股中单季ROE、预期PEG、DELTAROE等因子表现较好。 公募基金重仓股中DELTAROE、一年动量、单季营收同比增速等因子表现较 好。 三、本周公募基金指数增强产品表现跟踪 沪深300指数增强产品本周超额收益最高1.14%，最低-0.35%，中位数 0.07%。 中证500指数增强产品本周超额收益最高0.88%，最低-0.75%，中位数 0.07%。 中证1000指数增强产品本周超额收益最高0.89%，最 ...

证券研究报告 | 2025年06月07日 多因子选股周报 核心观点 金融工程周报 国信金工指数增强组合表现跟踪 因子表现监控 以沪深 300 指数为选股空间。最近一周，三个月机构覆盖、单季 ROA、单 季 ROE 等因子表现较好，而三个月换手、一个月换手、预期 BP 等因子表 现较差。 以中证 500 指数为选股空间。最近一周，标准化预期外盈利、一个月反转、 DELTAROE 等因子表现较好，而三个月波动、股息率、一个月波动等因子 表现较差。 以中证 1000 指数为选股空间。最近一周，单季营收同比增速、DELTAROE、 单季 ROE 等因子表现较好，而一个月波动、三个月波动、单季 SP 等因子 表现较差。 以中证A500指数为选股空间。最近一周，单季ROE、预期PEG、DELTAROE 等因子表现较好，而一个月换手、三个月换手、三个月波动等因子表现较差。 以公募重仓指数为选股空间。最近一周，DELTAROE、一年动量、单季营 收同比增速等因子表现较好，而三个月波动、BP、一个月换手等因子表现较 差。 公募基金指数增强产品表现跟踪 四大指增组合本周均跑赢基准，中证 1000 增强组合年内超额 11.66% ...

Group 1: Weekly Index Enhanced Portfolio Performance - The CSI 300 index enhanced portfolio achieved an excess return of 1.06% this week and 4.21% year-to-date [1][5] - The CSI 500 index enhanced portfolio recorded an excess return of -0.05% this week and 6.45% year-to-date [1][5] - The CSI 1000 index enhanced portfolio had an excess return of 0.72% this week and 9.41% year-to-date [1][5] - The CSI A500 index enhanced portfolio reported an excess return of 0.36% this week and 6.44% year-to-date [1][5] Group 2: Stock Selection Factor Performance Tracking - In the CSI 300 component stocks, factors such as three-month volatility, one-month volatility, and standardized unexpected earnings performed well [1][6] - In the CSI 500 component stocks, factors like quarterly revenue growth year-on-year, standardized unexpected revenue, and non-liquidity shocks showed strong performance [1][6] - For the CSI 1000 component stocks, factors such as EPTTM one-year percentile, SPTTM, and BP performed well [1][6] - In the CSI A500 index component stocks, factors like BP, quarterly EP, and three-month volatility showed good performance [1][6] - Among publicly offered fund heavy stocks, factors like quarterly unexpected magnitude, standardized unexpected earnings, and standardized unexpected revenue performed well [1][6] Group 3: Public Fund Index Enhanced Product Performance Tracking - The CSI 300 index enhanced products had a maximum excess return of 1.37%, a minimum of -0.21%, and a median of 0.32% this week [1][19] - The CSI 500 index enhanced products had a maximum excess return of 0.92%, a minimum of -0.09%, and a median of 0.35% this week [1][20] - The CSI 1000 index enhanced products had a maximum excess return of 0.98%, a minimum of -0.21%, and a median of 0.24% this week [1][22] - The CSI A500 index enhanced products had a maximum excess return of 0.70%, a minimum of -0.19%, and a median of 0.36% this week [1][24]

Core Viewpoint - The article discusses the evolution and optimization of dividend strategies in investment, highlighting the increasing popularity of dividend-focused index funds and the emergence of various optimized dividend indices in the market [2][3]. Group 1: Overview of Optimized Dividend Indices - There are currently 10 optimized dividend indices available in the market, which are categorized alongside traditional high-dividend indices like the CSI Dividend Index and Low Volatility Dividend Index [5]. - The performance of these optimized indices has shown that many have outperformed traditional indices over various time frames, indicating their potential as investment options [7][8]. Group 2: Performance Comparison - From 2015 to the present, several optimized indices, such as the New China Trust Dividend Value Index and the Leading Dividend 50 Index, have achieved significant returns, with the Leading Dividend 50 Index showing a return of 307.35% [7]. - The analysis indicates that most optimized indices have provided excess returns compared to traditional indices, particularly in specific time frames [8][9]. Group 3: Optimization Logic - The article outlines several key optimization angles for dividend indices, including the introduction of multi-factor selection criteria that incorporate market indicators like low volatility and low beta to enhance returns [13][14]. - Timeliness in reflecting a company's operational and stock performance is emphasized, with some indices adjusting their selection criteria based on the latest dividend announcements [16][18]. - The importance of assessing the stability of a company's earnings, such as using ROE stability as a filter, is highlighted to ensure consistent performance [19]. Group 4: Identifying Value Traps - The article discusses methods to identify potential value traps in high-dividend strategies, suggesting that indices should exclude companies that have recently underperformed in the market [20]. - The approach of quarterly adjustments to remove underperforming stocks is recommended as a straightforward method to mitigate risks associated with value traps [20]. Group 5: Growth Considerations - Some optimized indices aim to identify companies with strong profitability and growth potential, reflecting a more aggressive investment strategy [21]. - The article suggests that as market risk appetite increases, these growth-oriented dividend indices may gain more attention and perform well [22]. Group 6: Conclusion - The article concludes that the various optimization strategies for dividend indices focus on enhancing the reflection of a company's fundamentals, aiming to select stocks with favorable future prospects while excluding those with deteriorating fundamentals [25].

一、本周指数增强组合表现 沪深300指数增强组合本周超额收益0.32%，本年超额收益3.16%。 中证500指数增强组合本周超额收益0.64%，本年超额收益6.49%。 中证1000指数增强组合本周超额收益0.52%，本年超额收益8.57%。 中证A500指数增强组合本周超额收益0.35%，本年超额收益6.13%。 二、本周选股因子表现跟踪 沪深300成分股中预期净利润环比、3个月盈利上下调、单季超预期幅度等因 子表现较好。 中证500成分股中非流动性冲击、单季ROE、预期PEG等因子表现较好。 中证1000成分股中三个月换手、一个月换手、非流动性冲击等因子表现较 好。 中证A500指数成分股中3个月盈利上下调、单季超预期幅度、DELTAROE等 因子表现较好。 公募基金重仓股中非流动性冲击、三个月换手、一个月换手等因子表现较 好。 三、本周公募基金指数增强产品表现跟踪 沪深300指数增强产品本周超额收益最高1.07%，最低-0.38%，中位数 0.11%。 中证500指数增强产品本周超额收益最高0.90%，最低-0.43%，中位数 0.45%。 中证1000指数增强产品本周超额收益最高1.00%，最低-0. ...

- The report tracks the performance of Guosen JinGong's index enhancement portfolios and public fund index enhancement products, as well as the performance of common stock selection factors in different stock selection spaces[10][11][14] - Guosen JinGong's index enhancement portfolios are constructed using a multi-factor stock selection approach, targeting benchmarks such as the CSI 300, CSI 500, CSI 1000, and CSI A500 indices[10][11] - The construction process of these portfolios includes earnings forecasting, risk control, and portfolio optimization[11] - The report monitors the performance of factors in different stock selection spaces, including the CSI 300, CSI 500, CSI 1000, CSI A500, and public fund heavy-holding indices[14][15] - The factor library includes over 30 common factors from dimensions such as valuation, reversal, growth, profitability, liquidity, corporate governance, and analysts[15][16] - The report constructs single-factor MFE (Maximized Factor Exposure) portfolios for each factor in the respective stock selection spaces and tracks their performance relative to their benchmarks[14][17][19][21][23][25] - The construction of the MFE portfolios involves an optimization model with the objective function of maximizing single-factor exposure while controlling for various constraints such as style exposure, industry exposure, individual stock weight deviation, and component stock weight proportion[41][42][43] - The report provides detailed performance tracking of public fund index enhancement products, including those based on the CSI 300, CSI 500, CSI 1000, and CSI A500 indices[27][28][29][32][35][38] - The performance metrics for these products include excess returns over different periods, such as the past week, past month, past quarter, and year-to-date[31][34][37][40] Factor Performance Monitoring - In the CSI 300 index space, factors such as expected net profit QoQ, 3-month earnings revisions, and single-quarter surprise magnitude performed well recently, while 3-month reversal, single-quarter EP, and expected EPTTM performed poorly[1][17] - In the CSI 500 index space, factors such as illiquidity shock, single-quarter ROE, and expected PEG performed well recently, while 1-year momentum, idiosyncratic volatility, and single-quarter SP performed poorly[1][19] - In the CSI 1000 index space, factors such as 3-month turnover, 1-month turnover, and illiquidity shock performed well recently, while 1-year momentum, EPTTM 1-year percentile, and single-quarter operating profit growth YoY performed poorly[1][21] - In the CSI A500 index space, factors such as 3-month earnings revisions, single-quarter surprise magnitude, and DELTAROE performed well recently, while expected BP, 1-month reversal, and expected EPTTM performed poorly[1][23] - In the public fund heavy-holding index space, factors such as illiquidity shock, 3-month turnover, and 1-month turnover performed well recently, while 1-year momentum, expected EPTTM, and 1-month reversal performed poorly[1][25] Public Fund Index Enhancement Product Performance - CSI 300 index enhancement products: highest weekly excess return 1.07%, lowest -0.38%, median 0.11%; highest monthly excess return 2.89%, lowest -0.64%, median 0.49%[2][31] - CSI 500 index enhancement products: highest weekly excess return 0.90%, lowest -0.43%, median 0.45%; highest monthly excess return 2.93%, lowest -0.45%, median 1.07%[2][34] - CSI 1000 index enhancement products: highest weekly excess return 1.00%, lowest -0.41%, median 0.26%; highest monthly excess return 3.22%, lowest -0.16%, median 1.35%[2][37] - CSI A500 index enhancement products: highest weekly excess return 0.41%, lowest -0.19%, median 0.09%; highest monthly excess return 1.08%, lowest -0.46%, median 0.33%[3][40]

Group 1 - The core viewpoint of the article is to track the performance of index enhancement portfolios and the effectiveness of various stock selection factors across different indices [1][2][3] Group 2 - The performance of the HuShen 300 index enhancement portfolio showed an excess return of 0.37% for the week and 2.84% year-to-date [5] - The performance of the Zhongzheng 500 index enhancement portfolio showed an excess return of 1.06% for the week and 5.87% year-to-date [5] - The Zhongzheng 1000 index enhancement portfolio had an excess return of 1.73% for the week and 8.10% year-to-date [5] - The Zhongzheng A500 index enhancement portfolio reported an excess return of 0.53% for the week and 5.78% year-to-date [5] Group 3 - In the HuShen 300 component stocks, factors such as one-month reversal, expected PEG, and expected EPTTM performed well [6] - In the Zhongzheng 500 component stocks, one-month reversal, single-quarter SP, and SPTTM factors showed strong performance [6] - For Zhongzheng 1000 component stocks, factors like DELTAROA, executive compensation, and standardized expected external earnings performed well [6] - In the Zhongzheng A500 index component stocks, three-month reversal, single-quarter ROE, and one-month reversal factors were effective [6] - Among public fund heavy stocks, one-month reversal, three-month reversal, and single-quarter EP factors performed well [6] Group 4 - The HuShen 300 index enhancement products had a maximum excess return of 1.10%, a minimum of -0.76%, and a median of 0.06% for the week [19] - The Zhongzheng 500 index enhancement products had a maximum excess return of 0.99%, a minimum of -0.08%, and a median of 0.40% for the week [21] - The Zhongzheng 1000 index enhancement products had a maximum excess return of 0.81%, a minimum of -0.28%, and a median of 0.26% for the week [20] - The Zhongzheng A500 index enhancement products had a maximum excess return of 0.39%, a minimum of -0.52%, and a median of 0.23% for the week [22] Group 5 - The total number of public fund HuShen 300 index enhancement products is 67, with a total scale of 778 billion [16] - There are 70 Zhongzheng 500 index enhancement products with a total scale of 454 billion [16] - The Zhongzheng 1000 index enhancement products consist of 46 products with a total scale of 150 billion [16] - The Zhongzheng A500 index enhancement products have 35 products with a total scale of 223 billion [16]

Group 1 - The core viewpoint of the article is to track and analyze the performance of various index enhancement portfolios and the factors influencing stock selection across different indices [1][2][3]. Group 2 - The performance of the HuShen 300 index enhancement portfolio showed an excess return of 0.54% for the week and 2.44% year-to-date [5][19]. - The performance of the Zhongzheng 500 index enhancement portfolio indicated an excess return of 1.29% for the week and 4.77% year-to-date [5][21]. - The Zhongzheng 1000 index enhancement portfolio achieved an excess return of 1.67% for the week and 6.24% year-to-date [5][21]. - The Zhongzheng A500 index enhancement portfolio reported an excess return of 0.21% for the week and 5.19% year-to-date [5][25]. Group 3 - In the HuShen 300 component stocks, factors such as expected PEG, quarterly ROE, and quarterly EP performed well [6][4]. - In the Zhongzheng 500 component stocks, factors like three-month reversal, one-month reversal, and three-month turnover showed strong performance [6][8]. - For the Zhongzheng 1000 component stocks, one-month reversal, specificity, and three-month reversal were notable factors [6][10]. - In the Zhongzheng A500 index component stocks, three-month reversal, expected PEG, and expected EPTTM were effective factors [6][12]. - Among public fund heavy stocks, one-month reversal, three-month reversal, and expected PEG were the best-performing factors [6][14]. Group 4 - The public fund index enhancement products for HuShen 300 had a maximum excess return of 0.57%, a minimum of -0.34%, and a median of 0.05% for the week [19]. - The Zhongzheng 500 index enhancement products had a maximum excess return of 1.06%, a minimum of -0.28%, and a median of 0.25% for the week [21]. - The Zhongzheng 1000 index enhancement products reported a maximum excess return of 0.97%, a minimum of -0.55%, and a median of 0.23% for the week [21]. - The Zhongzheng A500 index enhancement products had a maximum excess return of 0.58%, a minimum of -0.49%, and a median of 0.02% for the week [25].

Group 1 - The core viewpoint of the article is to track the performance of various index enhancement portfolios and stock selection factors across different indices, highlighting their excess returns and factor performance over the recent week and year-to-date [1][2][3]. Group 2 - The performance of the HuShen 300 index enhancement portfolio showed an excess return of -1.26% for the week and 1.88% year-to-date [5]. - The performance of the ZhongZheng 500 index enhancement portfolio showed an excess return of -0.50% for the week and 3.40% year-to-date [5]. - The ZhongZheng 1000 index enhancement portfolio had an excess return of -0.78% for the week and 4.40% year-to-date [5]. - The ZhongZheng A500 index enhancement portfolio reported an excess return of -0.22% for the week and 4.88% year-to-date [5]. Group 3 - In the HuShen 300 component stocks, factors such as one-year momentum, one-month reversal, and DELTAROE performed well [6]. - In the ZhongZheng 500 component stocks, factors like one-month reversal, SPTTM, and executive compensation showed strong performance [6]. - For ZhongZheng 1000 component stocks, factors such as non-liquidity shock, three-month earnings adjustments, and expected net profit month-on-month performed well [6]. - In the ZhongZheng A500 component stocks, one-month reversal, one-year momentum, and executive compensation were among the top-performing factors [6]. Group 4 - The HuShen 300 index enhancement products had a maximum excess return of 0.44%, a minimum of -0.66%, and a median of -0.06% for the week [19]. - The ZhongZheng 500 index enhancement products had a maximum excess return of 0.48%, a minimum of -1.30%, and a median of -0.35% for the week [19]. - The ZhongZheng 1000 index enhancement products had a maximum excess return of 1.09%, a minimum of -0.82%, and a median of -0.06% for the week [19]. - The ZhongZheng A500 index enhancement products had a maximum excess return of 0.46%, a minimum of -0.38%, and a median of -0.22% for the week [19]. Group 5 - The total number of public fund index enhancement products includes 67 for HuShen 300 with a total scale of 77.8 billion, 69 for ZhongZheng 500 with 45.2 billion, 46 for ZhongZheng 1000 with 15 billion, and 35 for ZhongZheng A500 with 22.3 billion [16].