本订阅号中所涉及的证券研究信息由光大证券研究所编写，仅面向光大证券专业投资者客户，用作新媒体形势下研究 信息和研究观点的沟通交流。非光大证券专业投资者客户，请勿订阅、接收或使用本订阅号中的任何信息。本订阅号 难以设置访问权限，若给您造成不便，敬请谅解。光大证券研究所不会因关注、收到或阅读本订阅号推送内容而视相 关人员为光大证券的客户。 报告摘要 量化市场跟踪 大类因子表现： 点击注册小程序 查看完整报告 特别申明： PB-ROE-50组合跟踪： 本周全市场股票池中，残差波动率因子、市值因子分别获取正收益0.40%、0.40%，市场表现为大市值风 格；流动性因子、估值因子、Beta因子分别获取负收益-0.43%、-0.39%、-0.36%；其余风格因子表现一 般。 单因子表现： 沪深300股票池中，本周表现较好的因子有总资产增长率 (2.17%)、单季度总资产毛利率 (1.11%)、单季度 ROE (1.11%)。表现较差的因子有早盘收益因子 (-4.08%)、5分钟收益率偏度 (-3.62%)、动量弹簧因子 (-3.52%)。 中证500股票池中，本周表现较好的因子有总资产增长率 (2.99%)、单季度营业收 ...

- The report highlights that large-cap stocks outperformed small-cap stocks last week, and technical factors performed relatively well[1][5] - The report summarizes the performance of various quantitative stock portfolios constructed by Guotai Haitong Securities' financial engineering team for the past week, March, and 2026 year-to-date (YTD)[8] - The report provides detailed performance metrics for multiple factor portfolios, including aggressive, balanced, and enhanced index portfolios, as well as specific combinations like PB-earnings, GARP, and small-cap value and growth portfolios[9][10][11][13][15][26][28][30][33][35][37][39][40] - The report evaluates the performance of single factors, including style factors (market cap, PB, PE_TTM), technical factors (reversal, turnover rate, volatility), and fundamental factors (ROE, SUE, expected net profit adjustment)[44][45][46][50][51][53][54] - The report provides specific performance values for each factor and portfolio, such as weekly, monthly, and YTD returns, excess returns, tracking errors, and maximum relative drawdowns[9][10][11][13][15][26][28][30][33][35][37][39][40][45][46][50][51][53][54]

- The report tracks the performance of single factors in different stock pools, including the CSI 300, CSI 500, and liquidity 1500 pools. Positive-performing factors in the CSI 300 pool include total asset growth rate (2.17%), single-quarter total asset gross margin (1.11%), and single-quarter ROE (1.11%). Negative-performing factors include morning return factor (-4.08%), 5-minute return skewness (-3.62%), and momentum spring factor (-3.52%) [12][13] - In the CSI 500 stock pool, factors with strong performance include total asset growth rate (2.99%), single-quarter operating revenue YoY growth rate (2.90%), and EPTTM percentile (2.83%). Poor-performing factors include 5-minute return skewness (-0.57%), 5-day reversal (-0.44%), and turnover rate relative volatility (-0.41%) [14][15] - For the liquidity 1500 stock pool, top-performing factors are single-quarter operating revenue YoY growth rate (2.33%), total asset growth rate (2.20%), and single-quarter ROE (2.05%). Factors with weaker performance include morning return factor (-1.09%), PE TTM reciprocal (-1.04%), and PS TTM reciprocal (-0.95%) [16][17] - The report highlights the performance of broad categories of factors across the entire market stock pool. Residual volatility factor and market capitalization factor achieved positive returns of 0.40% each, while liquidity factor (-0.43%), valuation factor (-0.39%), and Beta factor (-0.36%) underperformed [18][20] - Industry-specific factor performance is analyzed, showing that basic fundamental factors like net asset per share and operating profit per share TTM performed consistently well in the petroleum and petrochemical and transportation industries. Valuation factors such as BP and EP also showed consistent positive returns in the petroleum and petrochemical sector. Residual volatility and liquidity factors performed well in the construction and decoration industry [21][22] - The PB-ROE-50 portfolio achieved positive excess returns in the CSI 500 stock pool (0.53%) but negative excess returns in the CSI 800 (-1.35%) and the entire market stock pool (-0.76%) [23][24] - The institutional research portfolios, including public fund research stock selection and private fund research tracking strategies, both recorded negative excess returns relative to the CSI 800 index. Public fund research stock selection strategy achieved -3.57%, while private fund research tracking strategy achieved -2.62% [25][26] - The block trading portfolio, constructed based on "high transaction, low volatility" principles, recorded negative excess returns of -1.88% relative to the CSI All Index [29][30] - The directed issuance portfolio, constructed around event-driven strategies tied to shareholder meeting announcement dates, achieved positive excess returns of 0.68% relative to the CSI All Index [35][36]

Core Viewpoint - The article provides a comprehensive analysis of market performance, highlighting the positive and negative returns of various factors across different stock pools and industries, indicating a mixed market sentiment and the effectiveness of specific investment strategies [4][5][6][8][9][10][11]. Factor Performance - In the overall market, valuation, profitability, leverage, and market capitalization factors achieved positive returns of 0.43%, 0.35%, 0.27%, and 0.26% respectively, indicating a large-cap style market [4]. - Conversely, momentum and growth factors recorded negative returns of -0.66% and -0.28%, suggesting a reversal effect in the market [4]. Single Factor Performance - In the CSI 300 stock pool, the best-performing factors included operating cash flow ratio (1.68%), 5-day volume moving average (1.19%), and total asset gross margin TTM (0.93%). The worst performers were small net inflow (-2.99%), 5-day reversal (-2.42%), and momentum-adjusted small net (-1.62%) [5]. - In the CSI 500 stock pool, the top factors were downside volatility ratio (3.30%), price-to-earnings ratio (3.24%), and inverse of TTM price-to-earnings ratio (3.06%). The underperformers included single-quarter total asset gross margin (-0.51%), small net inflow (-0.33%), and single-quarter ROA (-0.31%) [5]. - In the liquidity 1500 stock pool, the leading factors were inverse of TTM price-to-earnings ratio (1.56%), price-to-book ratio (1.33%), and single-quarter EPS (0.65%). The lagging factors were TTM gross margin (-1.94%), TTM total asset gross margin (-1.83%), and standardized expected external income (-1.58%) [5]. Industry Factor Performance - Fundamental factors showed varied performance across industries, with net asset per share and operating profit TTM factors yielding consistent positive returns in coal and diversified industries. Valuation factors like BP and EP showed significant positive returns across most industries [6]. - In the real estate sector, residual volatility and liquidity factors exhibited positive returns, while large-cap styles were notably strong in utilities, electrical equipment, and construction decoration industries [6]. Investment Strategy Performance - The PB-ROE-50 combination in the CSI 500 stock pool achieved a positive excess return of 0.77%, while the CSI 800 stock pool recorded a negative excess return of -1.15%, and the overall market stock pool had a negative excess return of -1.79% [8]. - The public fund research stock selection strategy generated a positive excess return of 0.26% relative to the CSI 800, while the private fund research tracking strategy had a negative excess return of -2.32% [9]. - The block trading combination achieved a positive excess return of 0.92% relative to the CSI All Index [10]. - The targeted issuance combination recorded a negative excess return of -0.87% relative to the CSI All Index [11].

- The report tracks the performance of various factors in different stock pools, including the CSI 300, CSI 500, and Liquidity 1500 stock pools[1][2][3] - In the CSI 300 stock pool, the best-performing factors this week were Operating Cash Flow Ratio (1.68%), 5-day Exponential Moving Average of Volume (1.19%), and Total Asset Gross Profit Margin TTM (0.93%)[12] - In the CSI 500 stock pool, the best-performing factors this week were Downside Volatility Ratio (3.30%), PE Ratio Factor (3.24%), and PE Ratio TTM Reciprocal (3.06%)[14] - In the Liquidity 1500 stock pool, the best-performing factors this week were PE Ratio TTM Reciprocal (1.56%), PB Ratio Factor (1.33%), and Quarterly EPS (0.65%)[16] - The PB-ROE-50 portfolio achieved positive excess returns in the CSI 500 stock pool (0.77%) but negative excess returns in the CSI 800 stock pool (-1.15%) and the overall market stock pool (-1.79%)[23][24] - The institutional research portfolio tracking showed that the public research stock selection strategy achieved positive excess returns (0.26%) relative to the CSI 800, while the private research tracking strategy achieved negative excess returns (-2.32%)[25][26] - The block trading portfolio achieved positive excess returns (0.92%) relative to the CSI All Share Index[29][30] - The directed issuance portfolio achieved negative excess returns (-0.87%) relative to the CSI All Share Index[35][36]

Core Viewpoint - The report highlights the performance of various market factors and investment strategies over the week of January 5 to January 9, 2026, indicating a mixed performance across different factors and sectors, with notable trends in momentum and valuation factors [4][5][6]. Factor Performance - Major factors such as beta, residual volatility, and size factors yielded positive returns of 1.07%, 1.02%, and 0.59% respectively, while the momentum factor showed a significant negative return of -1.08% [4]. - In the CSI 300 stock pool, the best-performing factors included 5-day average turnover rate (4.90%), relative turnover volatility (4.59%), and quarterly revenue growth rate (3.92%), while the worst performers were momentum-adjusted large orders (-1.11%), ROA stability (-1.15%), and ROE stability (-1.43%) [5]. - In the CSI 500 stock pool, the top factors were gross margin TTM (1.29%), quarterly net profit growth rate (1.09%), and total asset growth rate (0.81%), with the worst being price-to-book ratio (-3.51%), TTM price-to-earnings ratio inverse (-4.06%), and price-to-earnings ratio (-4.69%) [5]. - In the liquidity 1500 stock pool, the best factors were gross margin TTM (2.17%), quarterly revenue growth rate (2.14%), and quarterly operating profit growth rate (1.85%), while the worst were the correlation of intraday volatility with transaction amount (-2.64%), price-to-earnings ratio (-3.01%), and TTM price-to-earnings ratio inverse (-3.18%) [5]. Industry Factor Performance - The net asset growth rate factor performed well in the non-bank financial and diversified sectors, while the net profit growth rate factor excelled in the diversified sector [6]. - The per-share net asset factor showed strong performance in the real estate and beauty care sectors, and the per-share operating profit TTM factor performed well in the diversified sector [6]. - The 5-day momentum factor exhibited momentum effects in media, communication, steel, and pharmaceutical sectors, while showing reversal effects in coal and agriculture sectors [6]. - Valuation factors like BP performed well in real estate and leisure services, while EP performed well in banking and non-bank financial sectors [7]. Investment Strategy Performance - The PB-ROE-50 combination achieved significant excess returns in the CSI 800 and overall market stock pools, with excess returns of 1.36% in the CSI 800 and 1.23% in the overall market, but a negative excess return of -2.18% in the CSI 500 stock pool [8]. - The private equity research tracking strategy generated positive excess returns, while the public equity research stock selection strategy had a relative excess return of -0.31% compared to the CSI 800 [9]. - The block trading combination achieved an excess return of 0.69% relative to the CSI All Index [10]. - The targeted issuance combination experienced a pullback in excess returns, with a relative excess return of -1.58% compared to the CSI All Index [11].

Quantitative Models and Construction Methods 1. Model Name: PB-ROE-50 Portfolio - **Model Construction Idea**: The PB-ROE-50 portfolio is constructed based on the Price-to-Book (PB) ratio and Return on Equity (ROE) metrics, aiming to identify stocks with favorable valuation and profitability characteristics[24] - **Model Construction Process**: - Stocks are selected from the target stock pool (e.g., CSI 800, CSI 500, or the entire market) - The selection criteria prioritize stocks with low PB ratios and high ROE values - The portfolio is rebalanced periodically to maintain the desired characteristics[24][25] - **Model Evaluation**: The PB-ROE-50 portfolio demonstrates significant excess returns in certain stock pools, indicating its effectiveness in capturing valuation and profitability factors[24] 2. Model Name: Block Trade Portfolio - **Model Construction Idea**: This portfolio leverages the information embedded in block trades, focusing on stocks with high block trade transaction ratios and low short-term volatility[31] - **Model Construction Process**: - Stocks with high "block trade transaction ratios" and low "6-day transaction amount volatility" are identified - A monthly rebalancing strategy is applied to construct the portfolio - The methodology is detailed in a prior report dated August 5, 2023[31] - **Model Evaluation**: The portfolio effectively captures the excess information embedded in block trades, as evidenced by its positive performance[31] 3. Model Name: Private Placement Portfolio - **Model Construction Idea**: This portfolio is based on the event-driven strategy of private placements, considering factors such as market capitalization, rebalancing cycles, and position control[37] - **Model Construction Process**: - Stocks involved in private placements are selected, with the shareholder meeting announcement date serving as the event trigger - The portfolio construction incorporates market capitalization adjustments and periodic rebalancing - The methodology is detailed in a prior report dated November 26, 2023[37] - **Model Evaluation**: The portfolio's performance reflects the potential of private placement events to generate excess returns, though it experienced a drawdown in the current week[37] --- Model Backtesting Results 1. PB-ROE-50 Portfolio - **Excess Return (CSI 500)**: -2.18% (weekly)[25] - **Excess Return (CSI 800)**: 1.36% (weekly)[25] - **Excess Return (Entire Market)**: 1.23% (weekly)[25] 2. Block Trade Portfolio - **Excess Return (CSI All Share Index)**: 0.69% (weekly)[32] 3. Private Placement Portfolio - **Excess Return (CSI All Share Index)**: -1.58% (weekly)[38] --- Quantitative Factors and Construction Methods 1. Factor Name: Beta Factor - **Factor Construction Idea**: Measures the sensitivity of a stock's returns to market movements[20] - **Factor Construction Process**: - Calculated as the covariance of a stock's returns with the market index, divided by the variance of the market index - Formula: $ \beta = \frac{\text{Cov}(R_i, R_m)}{\text{Var}(R_m)} $ where $R_i$ is the stock return, and $R_m$ is the market return[20] - **Factor Evaluation**: The beta factor delivered a weekly return of 1.07%, indicating its positive contribution during the observed period[20] 2. Factor Name: Residual Volatility Factor - **Factor Construction Idea**: Captures the idiosyncratic risk of a stock, independent of market movements[20] - **Factor Construction Process**: - Residual volatility is derived from the standard deviation of the residuals in a stock's regression against the market index - Formula: $ \sigma_{\text{residual}} = \sqrt{\frac{\sum (\epsilon_i^2)}{n-1}} $ where $\epsilon_i$ are the residuals from the regression[20] - **Factor Evaluation**: The residual volatility factor achieved a weekly return of 1.02%, reflecting its effectiveness in the current market environment[20] 3. Factor Name: Size Factor - **Factor Construction Idea**: Reflects the performance difference between small-cap and large-cap stocks[20] - **Factor Construction Process**: - Calculated as the natural logarithm of a stock's market capitalization - Formula: $ \text{Size} = \ln(\text{Market Cap}) $[20] - **Factor Evaluation**: The size factor delivered a weekly return of 0.59%, indicating the dominance of large-cap stocks during the period[20] 4. Factor Name: Momentum Factor - **Factor Construction Idea**: Measures the tendency of stocks with high past returns to continue performing well in the future[20] - **Factor Construction Process**: - Calculated as the cumulative return over a specified look-back period (e.g., 6 months or 12 months) - Formula: $ \text{Momentum} = \prod_{t=1}^{T} (1 + R_t) - 1 $ where $R_t$ is the daily return, and $T$ is the look-back period[20] - **Factor Evaluation**: The momentum factor experienced a significant negative return of -1.08%, indicating a reversal effect during the week[20] --- Factor Backtesting Results 1. Beta Factor - **Weekly Return**: 1.07%[20] 2. Residual Volatility Factor - **Weekly Return**: 1.02%[20] 3. Size Factor - **Weekly Return**: 0.59%[20] 4. Momentum Factor - **Weekly Return**: -1.08%[20]

Group 1: Factor Performance Tracking - The large-cap style dominates the market, with significant positive returns from size, beta, and non-linear market capitalization factors, yielding 1.18%, 0.91%, and 0.82% respectively, while BP and liquidity factors posted negative returns of -0.55% and -0.38% [20][21] - In the CSI 300 stock pool, the best-performing factors include total asset growth rate (2.05%), quarterly ROA (1.71%), and turnover rate relative volatility (1.59%), while the worst-performing factors are logarithmic market cap (-1.00%), downside volatility ratio (-1.10%), and large order net inflow (-1.14%) [12][13] - In the CSI 500 stock pool, the top factors are quarterly EPS (1.61%), total asset growth rate (1.39%), and momentum spring factor (1.22%), with the poorest performers being the inverse of price-to-sales ratio (-2.49%), downside volatility ratio (-2.55%), and price-to-book ratio (-3.06%) [14][15] Group 2: Industry Factor Performance - The net asset growth rate factor performed well in the telecommunications, comprehensive, and coal industries, while the net profit growth rate factor excelled in the telecommunications sector [22] - The price-to-earnings (EP) factor showed strong performance in the telecommunications industry, while the BP factor underperformed across most sectors [22] - The logarithmic market cap factor performed well in the comprehensive, telecommunications, agriculture, forestry, animal husbandry, and electronics sectors, while the residual volatility factor excelled in telecommunications and commercial trade [22] Group 3: Combination Tracking - The PB-ROE-50 combination achieved significant excess returns across various stock pools, with excess returns of 0.30% in the CSI 500 stock pool, 1.60% in the CSI 800 stock pool, and 1.59% in the overall market stock pool [24] - The public fund research stock selection strategy and private equity research tracking strategy both generated positive excess returns, with the public fund strategy yielding 1.79% and the private equity strategy yielding 2.77% relative to the CSI 800 [3] - The block trading combination experienced a relative excess return drawdown of -0.95% compared to the CSI All Share Index, while the targeted issuance combination also faced a drawdown of -1.50% [3]

Core Viewpoint - The article provides a comprehensive analysis of market performance, highlighting the positive and negative returns of various factors across different stock pools and industries, indicating a mixed market sentiment and the effectiveness of specific investment strategies [4][5][6][7][8][9][10][11]. Factor Performance - In the overall market, the profit factor achieved a positive return of 0.61%, while market capitalization and momentum factors also showed positive returns of 0.25%, 0.24%, and 0.23% respectively, indicating a large-cap style market [4]. - In the CSI 300 stock pool, the best-performing factors included quarterly ROA (1.43%) and TTM sales ratio inverse (1.39%), while the logarithmic market cap factor showed a negative return of -1.70% [5]. - In the CSI 500 stock pool, the top factors were the 5-day average turnover rate (1.68%) and the correlation between intraday volatility and trading volume (1.66%), with the logarithmic market cap factor again underperforming at -1.21% [5]. Liquidity and Industry Performance - In the liquidity 1500 stock pool, the price-to-earnings ratio factor performed well with a return of 2.13%, while the 5-day reversal factor had a negative return of -1.44% [6]. - Across industries, fundamental factors like net asset growth rate and net profit growth rate showed consistent positive returns in textiles and non-bank financial sectors, while valuation factors like EP and BP also performed well in most industries [7]. Strategy Performance - The PB-ROE-50 combination achieved positive excess returns of 0.76% in the CSI 500 stock pool and 0.21% in the CSI 800 stock pool, while the overall market stock pool had a slight negative excess return of -0.09% [8]. - Public and private fund research strategies yielded positive excess returns of 0.42% and 0.29% respectively relative to the CSI 800 [9]. - The block trading combination underperformed with an excess return of -0.16% relative to the CSI All Index [10]. - The targeted issuance combination also showed negative excess returns of -2.30% relative to the CSI All Index [11].

Group 1 - The macroeconomic fundamentals are under pressure but still resilient, with central bank policies supporting a low interest rate environment, which is expected to remain stable towards the end of the year. This enhances the attractiveness of fixed income assets, providing a high cost-performance ratio for bond ETFs [5] - The only bond ETF tracking the 10-year government bond index, the Guotai Shanghai Stock Exchange 10-Year Government Bond ETF (code: 511260.SH), has a large fund size and good liquidity, making it a recommended investment opportunity [5] - The market is currently in a bull phase, but may enter a wide fluctuation stage in the short term. There is significant room for index growth compared to previous bull markets, but the focus may shift to the duration of the bull market rather than the magnitude of gains [5] Group 2 - The public REITs market in China has seen a downward trend in secondary market prices, with a total of 77 public REITs listed and a total issuance scale of 199.301 billion yuan as of November 30, 2025 [7] - The weighted REITs index closed at 180.47 with a weekly return of -0.86%, indicating a continued decline in secondary market prices [8] - The insurance sector is expected to benefit from a recent adjustment in risk factors for investments in certain stock indices, which will help alleviate solvency pressures and expand equity investment space [8] Group 3 - The chemical industry is anticipated to experience a recovery in profitability due to an improving supply-demand balance driven by macroeconomic recovery and supply-side policy advancements, with strong growth momentum in new materials driven by AI, OLED, and robotics [9]