Quantitative Factors and Construction Methods - **Factor Name**: Single-quarter ROE **Construction Idea**: This factor measures the return on equity (ROE) for a single quarter, reflecting the profitability of a company relative to its equity base[2][18] **Construction Process**: The formula for single-quarter ROE is: $ Quart\_ROE = \frac{Net\ Income \times 2}{Beginning\ Equity + Ending\ Equity} $ Here, "Net Income" represents the net profit for the quarter, and "Beginning Equity" and "Ending Equity" are the equity values at the start and end of the quarter, respectively[18] **Evaluation**: This factor performed well in the CSI All Share Index space during the past week, indicating its effectiveness in identifying profitable stocks[2][42] - **Factor Name**: Single-quarter ROA **Construction Idea**: This factor evaluates the return on assets (ROA) for a single quarter, assessing how efficiently a company utilizes its assets to generate profits[18] **Construction Process**: The formula for single-quarter ROA is: $ Quart\_ROA = \frac{Net\ Income \times 2}{Beginning\ Assets + Ending\ Assets} $ "Net Income" is the quarterly net profit, while "Beginning Assets" and "Ending Assets" are the total assets at the start and end of the quarter, respectively[18] **Evaluation**: This factor also demonstrated strong performance in the CSI All Share Index space over the past week, highlighting its utility in asset efficiency analysis[2][42] - **Factor Name**: Standardized Unexpected Earnings (SUE) **Construction Idea**: This factor captures the deviation of actual earnings from expected earnings, standardized by the standard deviation of expected earnings, to measure earnings surprises[18] **Construction Process**: The formula for SUE is: $ SUE = \frac{Actual\ Earnings - Expected\ Earnings}{Standard\ Deviation\ of\ Expected\ Earnings} $ "Actual Earnings" refers to the reported earnings, while "Expected Earnings" and their standard deviation are derived from analyst forecasts[18] **Evaluation**: This factor showed significant positive performance in the National SME Index (CSI 2000) and the ChiNext Index spaces, indicating its effectiveness in identifying earnings surprises[36][39] Factor Backtesting Results - **Single-quarter ROE**: - CSI All Share Index: Weekly return of 1.46%, monthly return of 1.95%, annualized return over the past year of -1.73%, and historical annualized return of 4.88%[42][43] - **Single-quarter ROA**: - CSI All Share Index: Weekly return of 1.09%, monthly return of 1.33%, annualized return over the past year of 0.27%, and historical annualized return of 4.14%[42][43] - **Standardized Unexpected Earnings (SUE)**: - National SME Index (CSI 2000): Weekly return of 6.41%, monthly return of 19.22%, annualized return over the past year of 32.33%, and historical annualized return of 10.98%[36] - ChiNext Index: Weekly return of 7.76%, monthly return of 26.34%, annualized return over the past year of 44.74%, and historical annualized return of 7.82%[39] Composite Factor Portfolio Construction - **MFE Portfolio Construction**: **Idea**: The Maximized Factor Exposure (MFE) portfolio is designed to maximize the exposure to a single factor while controlling for constraints such as industry and style exposures, stock weight deviations, and turnover[55][59] **Optimization Model**: The optimization problem is formulated as: $ \begin{array}{ll} max & f^{T}w \\ s.t. & s_{l} \leq X(w-w_{b}) \leq s_{h} \\ & h_{l} \leq H(w-w_{b}) \leq h_{h} \\ & w_{l} \leq w-w_{b} \leq w_{h} \\ & b_{l} \leq B_{b}w \leq b_{h} \\ & 0 \leq w \leq l \\ & 1^{T}w = 1 \\ & \Sigma|w-w_{0}| \leq to_{h} \end{array} $ Here, $f$ represents the factor values, $w$ is the weight vector, and the constraints include style, industry, stock weight, and turnover limits[55][58] **Evaluation**: The MFE portfolio approach ensures that factor effectiveness is tested under realistic constraints, making it a robust method for evaluating factor performance[55][59] MFE Portfolio Backtesting Results - **CSI 300 Index**: - Weekly excess return: Maximum 1.05%, minimum -0.81%, median 0.00%[46][49] - Monthly excess return: Maximum 3.00%, minimum -1.15%, median 0.30%[46][49] - **CSI 500 Index**: - Weekly excess return: Maximum 1.00%, minimum -0.08%, median 0.40%[50][52] - Monthly excess return: Maximum 2.73%, minimum -0.42%, median 0.99%[50][52] - **CSI 1000 Index**: - Weekly excess return: Maximum 0.82%, minimum -0.26%, median 0.28%[53][54] - Monthly excess return: Maximum 3.52%, minimum -0.08%, median 1.72%[53][54]

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].