- 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]

Group 1 - The core viewpoint of the article highlights the performance of various market factors, indicating that momentum and profitability factors yielded positive returns while the Beta factor showed negative returns [4] - In the CSI 300 stock pool, the best-performing factors included the inverse of TTM price-to-earnings ratio (2.97%) and the price-to-earnings factor (2.86%), while the worst-performing factors were the year-on-year growth rate of quarterly operating revenue (-2.54%) and quarterly ROA year-on-year (-1.79%) [5] - The CSI 500 stock pool showed strong performance in the inverse of TTM price-to-earnings ratio (3.46%) and the price-to-earnings factor (3.29%), with the worst-performing factors being the 5-day average turnover rate (-1.22%) and total asset growth rate (-0.97%) [5] Group 2 - The article notes that fundamental factors exhibited varied performance across industries, with net asset per share and TTM operating profit per share showing consistent positive returns in coal and comprehensive industries [6] - The PB-ROE-50 combination achieved positive excess returns in both the CSI 500 (0.78%) and CSI 800 (0.46%) stock pools, while the overall market stock pool experienced a negative excess return (-0.92%) [8] - The public fund research stock selection strategy generated positive excess returns relative to the CSI 800 (0.16%), while the private fund research tracking strategy underperformed with a negative excess return (-1.30%) [9]

Quantitative Models and Construction Methods 1. Model Name: PB-ROE-50 Combination - **Model Construction Idea**: The PB-ROE-50 combination is constructed based on the principle of selecting stocks with low price-to-book (PB) ratios and high return on equity (ROE), aiming to capture excess returns through fundamental valuation and profitability metrics [23] - **Model Construction Process**: The model selects stocks from different stock pools (e.g., CSI 500, CSI 800, and the entire market) based on the PB and ROE metrics. The portfolio is rebalanced periodically to maintain the desired exposure to these factors. Detailed construction methodology is referenced in earlier reports [23] - **Model Evaluation**: The PB-ROE-50 combination consistently delivers positive excess returns across different stock pools, indicating its effectiveness in capturing alpha [23] 2. Model Name: Block Trade Combination - **Model Construction Idea**: This model is based on the principle that stocks with higher block trade transaction ratios and lower six-day transaction volatility tend to perform better subsequently [29] - **Model Construction Process**: The combination is constructed by selecting stocks with high block trade transaction ratios and low six-day transaction volatility. The portfolio is rebalanced monthly to align with the "high transaction, low volatility" principle. Detailed methodology is provided in earlier reports [29] - **Model Evaluation**: The block trade combination demonstrates strong performance, consistently achieving positive excess returns relative to the CSI All Share Index [29] 3. Model Name: Private Placement Combination - **Model Construction Idea**: This model leverages the event-driven effects of private placements, focusing on stocks involved in such events to capture potential investment opportunities [35] - **Model Construction Process**: The combination is constructed by selecting stocks based on private placement events, considering factors such as market capitalization, rebalancing frequency, and position control. The methodology is detailed in earlier reports [35] - **Model Evaluation**: The private placement combination effectively captures excess returns, demonstrating its value in event-driven investment strategies [35] --- Model Backtesting Results 1. PB-ROE-50 Combination - **CSI 500**: Weekly excess return of 0.70%, absolute return of 5.06% [24] - **CSI 800**: Weekly excess return of 2.32%, absolute return of 4.39% [24] - **Entire Market**: Weekly excess return of 2.25%, absolute return of 5.06% [24] 2. Block Trade Combination - **Weekly Excess Return**: 1.06% [30] - **Absolute Return**: 3.84% [30] 3. Private Placement Combination - **Weekly Excess Return**: 0.97% [36] - **Absolute Return**: 3.75% [36] --- Quantitative Factors and Construction Methods 1. Factor Name: Beta Factor - **Factor Construction Idea**: Measures the sensitivity of a stock's returns to market returns, capturing systematic risk [18] - **Factor Evaluation**: Delivered a weekly return of 1.04%, indicating strong performance in the current market environment [18] 2. Factor Name: Profitability Factors - **Factor Construction Idea**: Includes metrics such as ROA, ROE, and net profit growth to capture a company's operational efficiency and profitability [12][14][16] - **Factor Evaluation**: Profitability factors such as single-quarter ROA (2.93%) and single-quarter ROA YoY (2.83%) performed well in the CSI 300 stock pool [12] 3. Factor Name: Liquidity Factor - **Factor Construction Idea**: Captures the ease of trading a stock, often measured by metrics like turnover rate and trading volume [18] - **Factor Evaluation**: Delivered a weekly return of 0.55%, reflecting its effectiveness in the current market [18] 4. Factor Name: Valuation Factors - **Factor Construction Idea**: Includes metrics like PB ratio, PE ratio, and sales-to-price ratio to assess a stock's valuation relative to its fundamentals [14][16] - **Factor Evaluation**: Valuation factors such as PB ratio (0.83%) and inverse sales-to-price ratio (0.72%) performed well in the CSI 500 stock pool [14] --- Factor Backtesting Results 1. Beta Factor - **Weekly Return**: 1.04% [18] 2. Profitability Factors - **Single-Quarter ROA**: Weekly return of 2.93% [12] - **Single-Quarter ROA YoY**: Weekly return of 2.83% [12] 3. Liquidity Factor - **Weekly Return**: 0.55% [18] 4. Valuation Factors - **PB Ratio**: Weekly return of 0.83% [14] - **Inverse Sales-to-Price Ratio**: Weekly return of 0.72% [14]

Group 1 - The core viewpoint of the article highlights the performance of various market factors, indicating that momentum and profitability factors yielded positive returns, while beta and liquidity factors experienced negative returns [4] - In the CSI 300 stock pool, the best-performing factors included the price-to-earnings ratio (1.70%), net profit margin TTM (1.03%), and operating profit margin TTM (1.02%), while the worst-performing factors were the post-opening return factor (-3.58%), momentum spring factor (-3.50%), and 5-day reversal (-2.98%) [5] - The PB-ROE-50 combination in the CSI 500 stock pool achieved a positive excess return of 0.59%, while the CSI 800 stock pool had a negative excess return of -0.50%, and the overall market stock pool had a negative excess return of -2.81% [7] Group 2 - The institutional research strategies showed negative excess returns, with the public research stock selection strategy underperforming the CSI 800 by -4.21% and the private research tracking strategy underperforming by -1.85% [8] - The block trading combination achieved a positive excess return of 0.06% relative to the CSI All Share Index [9] - The targeted issuance combination also gained a positive excess return of 0.13% relative to the CSI All Share Index [10]

Core Viewpoint - The report highlights the performance of various market factors and investment strategies, indicating a mixed performance across different stock pools and sectors, with certain factors yielding positive excess returns [4][7][8][9][10]. Group 1: Market Factor Performance - The overall market showed positive returns for the Beta factor (0.66%) and valuation factor (0.48%), while the market capitalization factor yielded negative returns (-0.80%), indicating a preference for small-cap stocks [4]. - In the CSI 300 stock pool, the best-performing factors included the 5-day average turnover rate (4.52%) and 5-day reversal (3.17%), while the total asset growth rate (-2.05%) and quarterly ROE (-1.16%) performed poorly [5]. - The CSI 500 stock pool saw strong performance from the 5-day reversal (3.80%) and quarterly operating profit growth rate (1.98%), but struggled with momentum-adjusted small caps (-2.41%) [5]. Group 2: Sector-Specific Factor Performance - Fundamental factors showed varied performance across sectors, with net asset per share and TTM operating profit factors performing well in the defense and leisure services sectors [6]. - Valuation factors such as BP and EP also yielded positive returns in the defense and leisure services industries, while residual volatility and liquidity factors performed well in the coal sector [6]. Group 3: Investment Strategy Performance - The PB-ROE-50 combination achieved positive excess returns across stock pools, with the CSI 500 pool gaining 1.38% and the CSI 800 pool gaining 2.54% [7]. - Public and private fund research selection strategies both generated positive excess returns, with public strategies outperforming the CSI 800 by 0.61% and private strategies by 3.43% [8]. - The block trading combination also achieved positive excess returns relative to the CSI All Index, with a gain of 0.86% [9]. - The targeted issuance combination outperformed the CSI All Index by 1.32%, indicating strong performance in this investment strategy [10].

Core Viewpoint - The report provides a comprehensive analysis of market performance, highlighting the performance of various factors and strategies across different stock pools, indicating potential investment opportunities and trends in the market [4][5][6][7][8][9][10]. Factor Performance - In the large-cap factor performance for the week of December 8-12, 2025, the size factor, beta factor, and non-linear market cap factor achieved positive returns of 1.18%, 0.91%, and 0.82% respectively, while the BP factor and liquidity factor recorded negative returns of -0.55% and -0.38% [4]. - In the CSI 300 stock pool, the best-performing factors included total asset growth rate (2.05%), quarterly ROA (1.71%), and turnover rate relative volatility (1.59%), while the worst-performing factors were logarithmic market cap (-1.00%), downside volatility ratio (-1.10%), and large net inflow (-1.14%) [5]. - In the CSI 500 stock pool, the top factors were quarterly EPS (1.61%), total asset growth rate (1.39%), and momentum spring factor (1.22%), with the worst being price-to-sales ratio TTM inverse (-2.49%), downside volatility ratio (-2.55%), and price-to-book ratio (-3.06%) [5]. - In the liquidity 1500 stock pool, the best factors were total asset growth rate (2.25%), quarterly revenue growth rate (2.05%), and quarterly ROA year-on-year (1.92%), while the worst were price-to-earnings ratio (-0.90%), downside volatility ratio (-0.95%), and price-to-book ratio (-0.97%) [5]. 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 [6]. - The earnings per share factor showed strong performance in the telecommunications industry, and the residual volatility factor performed well in telecommunications and commercial trade sectors [6]. Strategy Performance - The PB-ROE-50 combination achieved significant excess returns across stock pools, with the CSI 500 stock pool gaining an excess return of 0.30%, the CSI 800 stock pool gaining 1.60%, and the overall market stock pool gaining 1.59% [7]. - Public fund research selection strategies and private fund research tracking strategies both yielded positive excess returns, with public fund strategies outperforming the CSI 800 by 1.79% and private fund strategies outperforming by 2.77% [8]. - The block trading combination experienced a relative excess return drawdown against the CSI All Index, with an excess return of -0.95% [9]. - The directed issuance combination also faced a relative excess return drawdown against the CSI All Index, with an excess return of -1.50% [10].

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]

Quantitative Models and Construction Methods 1. Model Name: PB-ROE-50 Combination - **Model Construction Idea**: This model focuses on selecting stocks with low Price-to-Book (PB) ratios and high Return on Equity (ROE) to construct a portfolio that aims to achieve excess returns[24] - **Model Construction Process**: The portfolio is constructed by screening stocks based on their PB and ROE metrics. Stocks with the lowest PB ratios and highest ROE values are selected to form the top 50 stocks in the portfolio. The portfolio is rebalanced periodically to maintain the selection criteria[24] - **Model Evaluation**: The model demonstrates significant excess returns in the all-market stock pool, though it underperforms in specific indices like the CSI 500 and CSI 800[24][25] 2. Model Name: Public and Private Institutional Research Combination - **Model Construction Idea**: This model leverages the stock selection strategies of public and private institutional research to identify stocks with potential for excess returns[27] - **Model Construction Process**: The portfolio is constructed by tracking the stocks that public and private institutions have recently researched. Stocks with higher research frequency or positive sentiment are included in the portfolio. The portfolio is rebalanced periodically to reflect updated research data[27] - **Model Evaluation**: The public institutional research strategy shows significant excess returns compared to the CSI 800 index, while the private institutional research strategy also achieves positive but smaller excess returns[27][28] 3. Model Name: Block Trade Combination - **Model Construction Idea**: This model identifies stocks with high block trade activity and low volatility, as these characteristics are associated with better subsequent performance[31] - **Model Construction Process**: The portfolio is constructed based on two key metrics: "block trade transaction amount ratio" and "6-day transaction amount volatility." Stocks with higher transaction ratios and lower volatility are selected. The portfolio is rebalanced monthly[31] - **Model Evaluation**: The model experienced a drawdown in the past week, with negative excess returns relative to the CSI All Share Index[31][32] 4. Model Name: Directed Issuance Combination - **Model Construction Idea**: This model focuses on stocks involved in directed issuance events, which are analyzed for their potential investment value based on event-driven factors[37] - **Model Construction Process**: The portfolio is constructed by identifying stocks with directed issuance announcements. Factors such as market capitalization, rebalancing cycles, and position control are considered. The portfolio is rebalanced periodically to reflect new issuance events[37] - **Model Evaluation**: The model experienced a drawdown in the past week, with negative excess returns relative to the CSI All Share Index[37][38] --- Model Backtesting Results 1. PB-ROE-50 Combination - **Weekly Excess Return**: All-market stock pool: +0.79%; CSI 500: -0.57%; CSI 800: -0.02%[24][25] - **Year-to-Date Excess Return**: All-market stock pool: +22.30%; CSI 500: +3.00%; CSI 800: +16.16%[25] - **Weekly Absolute Return**: All-market stock pool: +2.87%; CSI 500: +2.79%; CSI 800: +1.89%[25] - **Year-to-Date Absolute Return**: All-market stock pool: +48.27%; CSI 500: +28.59%; CSI 800: +36.42%[25] 2. Public and Private Institutional Research Combination - **Weekly Excess Return**: Public research: +3.82%; Private research: +0.51%[27][28] - **Year-to-Date Excess Return**: Public research: +8.10%; Private research: +12.02%[28] - **Weekly Absolute Return**: Public research: +5.81%; Private research: +2.44%[28] - **Year-to-Date Absolute Return**: Public research: +26.96%; Private research: +31.56%[28] 3. Block Trade Combination - **Weekly Excess Return**: -1.77%[31][32] - **Year-to-Date Excess Return**: +0.26%[32] - **Weekly Absolute Return**: Not explicitly stated - **Year-to-Date Absolute Return**: +62.65%[32] 4. Directed Issuance Combination - **Weekly Excess Return**: -1.71%[37][38] - **Year-to-Date Excess Return**: -0.77%[38] - **Weekly Absolute Return**: Not explicitly stated - **Year-to-Date Absolute Return**: +20.29%[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, capturing systematic risk[20] - **Factor Construction Process**: Beta is calculated using regression analysis of a stock's returns against the market index over a specified period[20] - **Factor Evaluation**: Demonstrated significant positive returns in the past week, indicating a preference for high-beta stocks[20] 2. Factor Name: Momentum Factor - **Factor Construction Idea**: Captures the tendency of stocks with strong past performance to continue performing well in the short term[20] - **Factor Construction Process**: Momentum is calculated based on the cumulative returns of a stock over a specific lookback period, such as 1 month or 5 days[20][22] - **Factor Evaluation**: Significant positive returns were observed, with notable momentum effects in sectors like media, real estate, and agriculture[20][22] 3. Factor Name: Scale Factor - **Factor Construction Idea**: Reflects the size effect, where larger-cap stocks tend to outperform smaller-cap stocks in certain market conditions[20] - **Factor Construction Process**: Scale is measured using market capitalization, with adjustments for sector and industry effects[20] - **Factor Evaluation**: Demonstrated positive returns, indicating a preference for large-cap stocks in the past week[20] --- Factor Backtesting Results 1. Beta Factor - **Weekly Return**: +0.70%[20] 2. Momentum Factor - **Weekly Return**: +0.46%[20] 3. Scale Factor - **Weekly Return**: +0.16%[20]

Core Viewpoint - The report highlights the performance of various market factors and investment strategies, indicating positive returns in several areas while noting the mixed performance of different factors across industries [4][5][6]. Group 1: Market Factor Performance - The momentum factor achieved a positive return of 0.70%, indicating a momentum effect in the market; profitability and Beta factors also showed positive returns of 0.34% and 0.28% respectively, while the market capitalization factor had a negative return of -0.58%, reflecting a small-cap style [4]. - In the CSI 300 stock pool, the best-performing factors included quarterly operating profit growth rate (1.25%), quarterly ROE (1.07%), and early session return factor (0.95%), while the worst performers were the standard deviation of 6-day trading volume (-0.91%), standardized unexpected income (-0.89%), and quarterly EPS (-0.83%) [5]. - In the CSI 500 stock pool, the top factors were post-early session return factor (1.24%), standard deviation of 5-day trading volume (1.05%), and standard deviation of 6-day trading volume (0.82%), with the weakest factors being ROE stability (-0.96%), 5-minute return skewness (-0.84%), and ROA stability (-0.83%) [5]. Group 2: Industry Factor Performance - Fundamental factors showed varied performance across industries, with net asset growth rate, net profit growth rate, earnings per share, and TTM operating profit factors yielding consistent positive returns in the utilities and leisure services sectors [6]. - Valuation factors, particularly the BP factor, demonstrated significant positive returns in the construction materials, banking, and media sectors, while the EP factor showed notable positive returns in the coal industry [6]. - Residual volatility and liquidity factors yielded consistent positive returns in the defense, oil and petrochemical, and automotive industries, with a significant large-cap style observed in the coal and banking sectors [6]. Group 3: Investment Strategy Performance - The PB-ROE-50 combination achieved positive excess returns in the overall market stock pool, with a negative excess return of -0.40% in the CSI 500 stock pool and a positive excess return of 0.44% in the CSI 800 stock pool [7]. - Public fund research stock selection strategy and private fund research tracking strategy both achieved positive excess returns, with the public fund strategy outperforming the CSI 800 by 3.21% and the private fund strategy by 0.16% [8]. - The block trading combination achieved a positive excess return of 3.61% relative to the CSI All Index [9]. - The targeted issuance combination also achieved a positive excess return of 0.77% relative to the CSI All Index [10].

Quantitative Factors and Models Summary Quantitative Factors and Construction - **Factor Name**: Beta Factor **Construction Idea**: Measures the sensitivity of a stock's returns to market returns **Performance**: Achieved a positive return of 0.73% in the full market stock pool during the week of 2025.07.28-2025.08.01[20] - **Factor Name**: Residual Volatility Factor **Construction Idea**: Captures the idiosyncratic risk of a stock **Performance**: Delivered a positive return of 0.60% in the full market stock pool during the same period[20] - **Factor Name**: Scale Factor **Construction Idea**: Represents the size effect, where smaller-cap stocks tend to outperform **Performance**: Recorded a negative return of -0.51% in the full market stock pool[20] - **Factor Name**: Nonlinear Market Cap Factor **Construction Idea**: A nonlinear transformation of market capitalization to capture size-related anomalies **Performance**: Yielded a negative return of -0.40% in the full market stock pool[20] - **Factor Name**: Total Asset Gross Profit Margin (TTM) **Construction Idea**: Measures profitability relative to total assets over the trailing twelve months **Performance**: - 2.64% in the CSI 300 stock pool[12] - 1.39% in the CSI 500 stock pool[14] - 1.35% in the Liquidity 1500 stock pool[18] - **Factor Name**: Single-Quarter Total Asset Gross Profit Margin **Construction Idea**: Measures profitability relative to total assets for a single quarter **Performance**: - 2.37% in the CSI 300 stock pool[12] - 1.27% in the Liquidity 1500 stock pool[18] - 1.39% in the CSI 500 stock pool[14] - **Factor Name**: Single-Quarter ROA **Construction Idea**: Measures return on assets for a single quarter **Performance**: - 2.28% in the CSI 300 stock pool[12] - 0.42% in the CSI 500 stock pool[15] - 0.20% in the Liquidity 1500 stock pool[19] Quantitative Models and Construction - **Model Name**: PB-ROE-50 Combination **Construction Idea**: Combines Price-to-Book (PB) and Return on Equity (ROE) metrics to select stocks with high profitability and reasonable valuation **Construction Process**: - Stocks are ranked based on PB and ROE metrics - Top 50 stocks are selected to form the portfolio **Performance**: - 0.62% excess return in the CSI 500 stock pool[25][26] - 2.14% excess return in the CSI 800 stock pool[25][26] - 0.76% excess return in the full market stock pool[25][26] - **Model Name**: Block Trade Combination **Construction Idea**: Utilizes "high transaction volume, low volatility" principles to identify stocks with favorable post-trade performance **Construction Process**: - Stocks are filtered based on block trade transaction volume and 6-day transaction volatility - Monthly rebalancing is applied **Performance**: - 0.75% excess return relative to the CSI All Share Index[32][33] - **Model Name**: Private Placement Combination **Construction Idea**: Focuses on stocks involved in private placements, considering market cap, rebalancing cycles, and position control **Construction Process**: - Stocks are selected based on private placement event announcements - Portfolio is adjusted periodically **Performance**: - 1.55% excess return relative to the CSI All Share Index[38][39] Factor Backtest Results - **Beta Factor**: Weekly return of 0.73%[20] - **Residual Volatility Factor**: Weekly return of 0.60%[20] - **Scale Factor**: Weekly return of -0.51%[20] - **Nonlinear Market Cap Factor**: Weekly return of -0.40%[20] - **Total Asset Gross Profit Margin (TTM)**: - CSI 300: 2.64%[12] - CSI 500: 1.39%[14] - Liquidity 1500: 1.35%[18] - **Single-Quarter Total Asset Gross Profit Margin**: - CSI 300: 2.37%[12] - CSI 500: 1.39%[14] - Liquidity 1500: 1.27%[18] - **Single-Quarter ROA**: - CSI 300: 2.28%[12] - CSI 500: 0.42%[15] - Liquidity 1500: 0.20%[19] Model Backtest Results - **PB-ROE-50 Combination**: - CSI 500: 0.62% weekly excess return[25][26] - CSI 800: 2.14% weekly excess return[25][26] - Full Market: 0.76% weekly excess return[25][26] - **Block Trade Combination**: 0.75% weekly excess return relative to CSI All Share Index[32][33] - **Private Placement Combination**: 1.55% weekly excess return relative to CSI All Share Index[38][39]