2026 年 2 月 28 日 总量研究 Beta 因子表现良好，量化选股组合超额收益显著 ——量化组合跟踪周报 20260228 要点 量化市场跟踪 大类因子表现：本周全市场股票池中，Beta 因子、盈利因子和流动性因子分别 获取正收益 1.04%、0.57%、0.55%；市值因子获取负收益-0.39%，市场表现为 小市值风格；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净利润断层 (4.93%)、 单季度 ROA (2.93%)、单季度 ROA 同比 (2.83%)。表现较差的因子有总资产毛 利率 TTM (-0.77%)、单季度总资产毛利率 (-0.66%)、经营现金流比率 (-0.66%)。 中证 500 股票池中，本周表现较好的因子有市净率因子 (0.83%)、市销率 TTM 倒数 (0.72%)、对数市值因子 (0.23%)。表现较差的因子有总资产毛利率 TTM (-3.84%)、毛利率 TTM (-3.51%)、单季度总资产毛利率 (-3.46%)。 流动性 1500 股票池中，本周表现较好的因子有 5 日反转 (0.76%)、净利润断层 (0.31%)、市净 ...

Group 1 - The core viewpoint of the article highlights the outstanding performance of the CSI 500 index since the beginning of 2026, with a rise of 15.06% as of January 23, 2026, outperforming other major indices like the CSI 300, CSI 1000, and CSI 2000 [1][2] - The article notes that the CSI 500 index's strong performance is attributed to its concentration in sectors that have performed well since 2026, including electronics, non-ferrous metals (7.148%), and defense industry (6.364%) [5] - A small number of stocks have significantly contributed to the index's gains, with the top 5 stocks contributing 1.47% and the top 10 stocks contributing 2.41%, indicating a high concentration of performance among a few stocks [6][8] Group 2 - The article discusses the challenges faced by enhanced index funds, which have collectively underperformed the CSI 500 index since 2026, with an average underperformance of 2.5% [10][11] - Active quantitative strategies have also struggled, with average underperformance reaching 3.91%, highlighting the difficulties in achieving excess returns in a strong market [12] - The article analyzes the changes in factors within the CSI 500 index, noting that many traditional factors have shown negative performance, contributing to the overall decline in excess returns [15][20] Group 3 - Historical comparisons indicate that the current market conditions represent an extreme situation for factor performance, with the article suggesting that the current environment is not solely due to a single factor's poor performance [28][29] - The article reviews past instances of similar market conditions, suggesting that extreme market behavior is unlikely to persist indefinitely, and a return to rational pricing based on factors is expected [31][45] - Future outlooks suggest that while factor reversals may not last long, adjustments to models should be cautious, as historical data indicates that significant factor failures typically do not exceed two months [46][47]

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].

1. Report Industry Investment Rating Not provided in the content 2. Core Viewpoints of the Report - Since 2026, the CSI 500 Index has performed prominently among major broad - based indices, breaking the historical monotonicity of performance based on market - value factors. Whether this phenomenon will continue requires further observation. The concentration of hot industries and a small number of stocks contributing a large portion of the index's gains have made it difficult to outperform the index. Also, factor inefficiencies, especially the reversal of price - volume factors, have led to the underperformance of index - enhancement products and quantitative strategies [1][4]. - The current market situation is an extreme case in factor performance. Although no single factor has reached its historical worst, the combined performance of multiple factors is the worst in history. However, based on historical experience, factor logic will return as market volatility decreases, usually within two months [1][40]. - Looking ahead, the situation of factor inefficiency or reversal is not expected to last long, so major model adjustments are not advisable at present. In the long run, a detailed risk - control framework for CSI 500 index enhancement should be established, and the construction of price - volume factors should be optimized [1][70]. 3. Summary According to the Table of Contents 3.1 2026 Year - to - Date CSI 500 Index Performance Highlights - As of January 23, 2026, the CSI 500 Index has risen 15.06%, outperforming the SSE 300, CSI 1000, and CSI 2000 indices during the same period, breaking the historical monotonicity of broad - based index performance related to market - value factors [4]. - The index's strong performance is due to its concentration in sectors that have performed well in 2026, such as electronics, non - ferrous metals, and national defense and military industries. A small number of stocks have contributed significantly to the index's gains; the top 5 stocks contributed 1.47% of the increase, and the top 40 stocks contributed nearly half of the increase [7][11]. 3.2 Factor Perspective: Why Is It Difficult to Outperform the CSI 500 Index? 3.2.1 Index - Enhancement Funds Collectively Underperform the Index - All CSI 500 index - enhancement funds have underperformed the CSI 500 Index in 2026, with an average underperformance of 2.5%. The best - performing product underperformed by 0.12%, and the worst by 7.93%. Active quantitative quasi - index - enhancement products were more affected, with an average underperformance of 3.91%, the best - performing product underperforming by 2.07%, and the worst by 7.61% [13][15]. 3.2.2 Factor Changes within the CSI 500 Index - Since 2017, the market - value factors in the SSE 300, CSI 500, and CSI 1000 indices have shown continuous reversal and decline. The market - value factor in the CSI 1000 index rebounded strongly in 2021, while those in the CSI 500 and SSE 300 indices only had a weak rebound [16]. - In 2026, many factors in the CSI 500 Index showed significant anomalies. Fundamental factors such as profitability, dividend yield, and valuation were negative, and price - volume factors such as liquidity, reversal, market value, and volatility not only reversed but also had larger IC values. The short - term rapid market rise and overheated market led to the continued rise of theme stocks with fast short - term gains, high turnover, and high volatility, causing the reversal and ineffectiveness of price - volume factors [19][20]. - The long - term winning rates of factors such as valuation, momentum, reversal, market value, and liquidity are poor, around 50% or lower. In 2026, there was a concentrated reversal of price - volume factors, and the low - volatility factor, which had a high long - term winning rate, also reversed in January 2026 [26]. - The changes in the four price - volume factors (market value, reversal, low liquidity, and low volatility) generally started in the third quarter of 2025, gradually flattening or reversing. The top - performing stocks in 2026 generally ranked low in these price - volume factors, making it difficult for traditional multi - factor frameworks to select them [35]. 3.3 Historical Similar Situations Review and Future Outlook 3.3.1 The Current Market Is an Extreme Case in Factor Performance - In January 2026, no single factor reached its historical worst IC value. However, the combined performance of the four price - volume factors was the worst in history, and when considering all nine factors, it was the second - worst, only after June 2022 [39][40]. 3.3.2 Historical Similar Situations of the CSI 500 and Subsequent Developments - Similar extreme situations in factor performance have occurred in June 2018, August 2025, etc. Market fluctuations are an important factor affecting factor effectiveness. When the market fluctuates significantly, factors are likely to become ineffective, and when the market stabilizes, factor logic tends to return. Historical experience shows that factor inefficiency usually does not last more than two months [42][69]. 3.3.3 Future Outlook - The situation of factor inefficiency or reversal is not expected to last long, so major model adjustments are not recommended at present. - In the long run, a detailed risk - control framework for CSI 500 index enhancement should be established, including differential constraints on individual stocks with different excess - volatility characteristics and industry - constraint frameworks based on industry - scoring models. - The construction of price - volume factors should be optimized to improve their winning rates and reduce non - linear characteristics [70][71].

- The Beta factor and valuation factor achieved positive returns of 0.66% and 0.48% respectively, while the size factor had a negative return of -0.80%[1][18] - In the CSI 300 stock pool, the best-performing factors this week were the 5-day average turnover rate (4.52%), 5-day reversal (3.17%), and price-to-book ratio factor (3.10%)[1][12] - In the CSI 500 stock pool, the best-performing factors this week were the 5-day reversal (3.80%), single-quarter operating profit growth rate (1.98%), and price-to-sales ratio TTM reciprocal (1.65%)[1][14] - In the liquidity 1500 stock pool, the best-performing factors this week were the post-morning return factor (2.18%), 5-day reversal (2.17%), and standardized unexpected income (1.77%)[2][16] - The PB-ROE-50 portfolio achieved positive excess returns in various stock pools this week, with excess returns of 1.38% in the CSI 500 stock pool, 2.54% in the CSI 800 stock pool, and 4.23% in the entire market stock pool[2][23] - The public research stock selection strategy and private research tracking strategy achieved positive excess returns this week, with the public research stock selection strategy achieving an excess return of 0.61% relative to the CSI 800, and the private research tracking strategy achieving an excess return of 3.43% relative to the CSI 800[3][25] - The block trading portfolio achieved a positive excess return of 0.86% relative to the CSI All Share Index this week[3][29] - The directed issuance portfolio achieved a positive excess return of 1.32% relative to the CSI All Share Index this week[3][35]

- The Beta factor achieved a positive return of 1.22% this week, while the size factor recorded a negative return of -0.79%, indicating a small-cap style in the market. Residual volatility and liquidity factors also showed negative returns of -0.77% and -0.56%, respectively[1][18][20] - In the CSI 300 stock pool, the top-performing factors this week were the 6-day moving average of transaction amounts (3.60%), 5-day average turnover rate (3.53%), and net profit gap (3.35%). The worst-performing factors were net inflow of large orders (-1.48%), the correlation between intraday volatility and transaction amounts (-1.30%), and the price-to-book ratio factor (-1.29%)[12][13] - In the CSI 500 stock pool, the best-performing factors this week were total asset growth rate (1.23%), post-morning return factor (1.12%), and single-quarter ROA YoY (1.02%). The worst-performing factors were the correlation between intraday volatility and transaction amounts (-2.89%), net inflow of large orders (-2.35%), and the price-to-book ratio factor (-2.30%)[14][15] - In the liquidity 1500 stock pool, the top-performing factors this week were single-quarter ROE (1.67%), total asset gross profit margin TTM (1.47%), and single-quarter ROA (1.33%). The worst-performing factors were the price-to-book ratio factor (-1.77%), the proportion of downside volatility (-1.39%), and the correlation between intraday volatility and transaction amounts (-1.19%)[16][17] - The PB-ROE-50 portfolio achieved positive excess returns this week, with -0.20% in the CSI 500 stock pool, 1.98% in the CSI 800 stock pool, and 2.85% in the overall market stock pool[23][24] - The institutional research portfolios also delivered positive excess returns this week. The public fund research stock selection strategy achieved an excess return of 3.24% relative to the CSI 800, while the private fund research tracking strategy achieved an excess return of 2.59% relative to the CSI 800[25][26] - The block trade portfolio, constructed based on the "high transaction, low volatility" principle, achieved an excess return of 3.94% relative to the CSI All Share Index this week[29][30] - The directed issuance portfolio, constructed around event-driven stock selection strategies, achieved an excess return of 1.16% relative to the CSI All Share Index this week[35][36]

Core Viewpoint - The article provides a comprehensive analysis of market performance, highlighting the varying returns of different factors across multiple stock pools, indicating a mixed investment environment with specific factors outperforming others [4][5][6]. Factor Performance - In the overall market stock pool, valuation and profitability factors achieved positive returns of 0.27% and 0.25% respectively, while market capitalization factors yielded negative returns of -0.91% and -0.51%, suggesting a small-cap style dominance [4]. - In the CSI 300 stock pool, the best-performing factors included quarterly ROE YoY (2.31%), quarterly ROE (1.81%), and P/E ratio (1.51%), while total asset growth rate (-1.28%) and quarterly operating profit YoY growth rate (-0.83%) were among the worst [5]. - In the CSI 500 stock pool, the top factors were P/B ratio (1.78%), standardized expected external income (1.74%), and operating cash flow ratio (1.28%), with quarterly net profit YoY growth rate (-1.19%) and quarterly operating profit YoY growth rate (-1.06%) performing poorly [5]. - In the liquidity 1500 stock pool, the best factors were P/E ratio (1.44%), downside volatility ratio (1.24%), and P/B ratio (1.17%), while quarterly net profit YoY growth rate (-1.00%) and quarterly operating revenue YoY growth rate (-0.82%) lagged [5]. Industry Factor Performance - Fundamental factors showed varied performance across industries, with net asset growth rate, net profit growth rate, and earnings per share factors yielding consistent positive returns in the media and textile sectors [6]. - Valuation factors, particularly the BP factor, demonstrated significant positive returns across most industries, while the EP factor also showed consistent positive returns in the comprehensive sector [6]. - The small-cap style was notably prominent across most industries, while large-cap styles were significant in defense, non-bank financials, non-ferrous metals, and oil and petrochemical sectors [7]. Combination Tracking - The PB-ROE-50 combination recorded negative excess returns across all stock pools, with the CSI 500 pool showing an excess return of -0.02% and the overall market pool at -0.75% [8]. - Institutional research combinations, including public and private fund strategies, also reported negative excess returns, with public strategies yielding -0.43% and private strategies -1.92% relative to the CSI 800 [9]. - The block trading combination underperformed relative to the CSI All Index, with an excess return of -0.68% [10]. - Conversely, the targeted issuance combination achieved positive excess returns of 1.46% relative to the CSI All Index [11].

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].

Core Insights - The report from Founder Securities indicates that after a continuous rise in stock prices, the valuation levels of small and micro-cap stocks have significantly increased, yet both absolute and relative valuation levels remain considerably below historical extremes [1][3] Valuation Analysis - Small-cap companies are expected to yield significant excess returns by 2025, with the CSI 2000 index showing a year-to-date increase of 25.3%, outperforming other major indices [2] - The Wande Micro-cap Index has surged over 50%, reaching historical highs, while the overall P/E ratio of the CSI 2000 index is currently at 146 times, and the P/B ratio is 2.75, both being the highest since the index was launched in 2023 [2] - The overall valuation of small-cap stocks is heavily influenced by a few loss-making companies, with the CSI 2000 index reporting a total net profit of 77.5 billion, contrasted by losses totaling 121.1 billion from loss-making firms [2] Relative Valuation Comparison - A comparison of the smallest 20% of A-share companies against the largest 20% shows a median P/E ratio of 1.17 times and a median P/B ratio of 1.09 times, indicating that relative valuation levels are consistent with those of the CSI 2000 constituents and even lower [3] - Despite the increase in stock prices, the valuation levels of small and micro-cap stocks have risen but still have a significant distance to historical peaks, suggesting that the small-cap style may reflect the innovative exploration characteristics during the economic transformation and upgrading period [3]

Group 1 - The fund aims to select undervalued quality listed companies through in-depth analysis of the fundamentals of companies and industries, with a focus on achieving investment returns that exceed the performance benchmark while strictly controlling risks [2][4] - The fund's investment strategy allows for a stock investment ratio of 60%-95% of the total assets, with a performance benchmark of 60% of the CSI 800 Index return, 15% of the Hong Kong Hang Seng Composite Index return, and 25% of the CSI All Bond Index return [2][4] - The fund is classified as a mixed fund, with expected returns and risk levels higher than money market and bond funds, but lower than equity funds [2][4] Group 2 - As of the end of the reporting period, the total number of fund shares was 2,024,294,612.47 [2] - The fund's A class share net value growth rate for the reporting period was 4.95%, while the C class share net value growth rate was 4.81%, compared to a benchmark return of 1.90% [11] - The fund's performance over the past year showed a net value growth rate of 20.39% and a performance benchmark return of 16.25% [6][11] Group 3 - The fund's total assets included 91.65% in common stocks and 0.30% in bonds, with a significant portion of equity investments made through the Hong Kong Stock Connect mechanism [12][13] - The fund's investment portfolio was diversified across various sectors, with notable allocations in transportation, manufacturing, and energy [12][13] - The fund management adhered to strict internal controls and fair trading principles, ensuring compliance with regulations and protecting the interests of fund holders [9][10]