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中证500增强组合年内超额3.59%【国信金工】
量化藏经阁· 2025-03-30 02:06
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0.49%,本年超额收益2.83%。 中证500指数增强组合本周超额收益0.77%,本年超额收益3.59%。 中证1000指数增强组合本周超额收益0.95%,本年超额收益3.55%。 二、本周选股因子表现跟踪 沪深300成分股中3个月盈利上下调、一年动量、特异度等因子表现较好。 中证500成分股中三个月换手、股息率、一个月换手等因子表现较好。 中证1000成分股中一个月换手、EPTTM、三个月换手等因子表现较好。 公募基金重仓股中3个月盈利上下调、单季超预期幅度、DELTAROA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1.10%,最低-0.87%,中位数 0.19%。 中证500指数增强产品本周超额收益最高0.97%,最低-0.41%,中位数 0.26%。 中证1000指数增强产品本周超额收益最高1.87%,最低-0.29%,中位数 0.74%。 主 要 结 论 一 国信金工指数增强组合表现跟踪 沪深300指数增强组合本周超额收益0.49%,本年超额收益2.83%。 中证500指数增强组合本周超 ...
成长因子表现出色,中证500增强组合年内超额1.77% 【国信金工】
量化藏经阁· 2025-03-09 04:10
Group 1 - The core viewpoint of the article is to track the performance of index-enhanced portfolios and stock selection factors across different indices, highlighting their excess returns and factor effectiveness [1][2][3]. Group 2 - The performance of the CSI 300 index-enhanced portfolio showed an excess return of 0.15% for the week and 0.96% for the year [1][2]. - The performance of the CSI 500 index-enhanced portfolio indicated an excess return of -0.12% for the week and 1.77% for the year [1][2]. - The performance of the CSI 1000 index-enhanced portfolio reflected an excess return of -0.62% for the week and -0.14% for the year [1][2]. Group 3 - In the CSI 300 component stocks, factors such as dividend yield, DELTAROA, and three-month institutional coverage performed well [1]. - In the CSI 500 component stocks, factors like one-year momentum, DELTAROA, and standardized expected excess income showed strong performance [1]. - In the CSI 1000 component stocks, factors including quarterly net profit year-on-year growth, DELTAROA, and quarterly revenue year-on-year growth were effective [1]. Group 4 - The public fund index-enhanced products for the CSI 300 had a maximum excess return of 1.34% and a minimum of -0.63% for the week, with a median of 0.12% [1][17]. - The public fund index-enhanced products for the CSI 500 had a maximum excess return of 0.97% and a minimum of -0.82% for the week, with a median of 0.02% [1][19]. - The public fund index-enhanced products for the CSI 1000 had a maximum excess return of 1.24% and a minimum of -1.00% for the week, with a median of -0.01% [1][21].