市场呈现大市值风格，PB-ROE 组合超额收益显著 2025 年 8 月 23 日 总量研究 中证 500 股票池中，本周表现较好的因子有单季度 ROE 同比(2.28%)、单季度 营业利润同比增长率 (1.66%)、单季度净利润同比增长率 (1.63%)。表现较差的 因子有市盈率 TTM 倒数 (-2.36%)、市盈率因子(-2.06%)、下行波动率占比 (-1.96%)。 流动性 1500 股票池中，本周表现较好的因子有总资产增长率(2.12%)、单季度 营业利润同比增长率(1.91%)、5 日反转(1.91%)。表现较差的因子有市盈率 TTM 倒数 (-0.79%)、市净率因子(-0.71%)、市盈率因子(-0.56%)。 因子行业内表现：本周，基本面因子在各行业表现分化，净资产增长率因子、净 利润增长率因子、每股净资产因子和每股经营利润 TTM 因子在通信行业正收益 较为一致。估值类因子中， BP 因子在美容护理、非银金融、综合行业正收益明 显；EP 因子在通信行业正收益明显。残差波动率因子在多数行业正收益明显， 流动性因子在综合、通信、煤炭和有色金属行业正收益明显。市值风格上，本周 通信、综合、电子 ...

Core Viewpoint - The article discusses the recent trends in the Consumer Price Index (CPI) and its implications for economic conditions and industry performance, indicating a potential shift towards a mild inflation period driven by policy stimuli and seasonal factors [2][3]. CPI Trends and Economic Phases - In July, the CPI increased by 0.4% month-on-month, reversing a previous decline, suggesting a possible mild inflation phase ahead due to consumption subsidies and social security policies [2]. - Historical data shows that a rising CPI typically indicates economic recovery and increased demand, while a declining CPI reflects insufficient domestic demand and deflationary pressures [3][4]. Industry Performance During CPI Phases - During periods of rising CPI, essential consumer goods tend to perform well due to their price transmission capabilities, while resource sectors benefit from inflation expectations [4]. - Conversely, in declining CPI phases, defensive sectors show resilience, supported by policy easing and infrastructure investments [4]. Historical CPI Trends - The article outlines various CPI phases from 2015 to 2024, highlighting periods of inflation and deflation, with specific CPI ranges and characteristics for each phase [5]. Industry Performance Analysis - In the CPI rising period from March 2016 to February 2017, the CSI 300 index rose by 19.99%, while the CSI 2000 index increased by 31.56%, indicating a preference for small-cap stocks [7]. - From February 2019 to January 2020, both indices showed balanced performance, with the CSI 300 rising by 25.06% and the CSI 2000 by 28.04% [9]. - In the CPI rising period from January 2021 to February 2022, the CSI 300 fell by 12.08%, while the CSI 2000 rose by 18.85%, again favoring small-cap stocks [11]. Market Dynamics and Investment Strategies - The article suggests that during rising CPI periods, small-cap stocks may continue to outperform large-cap indices, indicating a potential shift in investment strategies [12]. - The concept of a "slow bull" market is introduced, emphasizing that market dynamics may favor small-cap and sector-specific performances rather than broad market rallies [12].