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 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 positive and negative returns of various factors and strategies within different stock pools during the specified week [4][5][8]. Group 1: Factor Performance - In the large-cap market, beta, size, and non-linear market capitalization factors yielded positive returns of 1.31%, 0.62%, and 0.58% respectively, while the leverage factor had a negative return of -0.13% [4]. - In the CSI 300 stock pool, the best-performing factors included the early morning return factor (2.16%), year-on-year net profit growth rate (1.75%), and quarterly ROA year-on-year (1.68%), while the worst performers were large net inflow (-1.71%), price-to-book ratio factor (-1.83%), and downside volatility ratio (-2.05%) [5]. - In the CSI 500 stock pool, the top factors were quarterly operating profit growth rate (1.16%), quarterly net profit growth rate (1.11%), and standardized unexpected earnings (1.08%), with the price-to-earnings ratio factor (-2.74%), total asset gross margin TTM (-2.92%), and price-to-book ratio factor (-2.95%) performing poorly [5]. Group 2: Industry Factor Performance - The net asset growth rate factor performed well in the comprehensive and oil & petrochemical industries, while the net profit growth rate factor excelled in the comprehensive industry [6]. - The earnings per share factor showed strong performance in the oil & petrochemical and real estate sectors, and the TTM operating profit factor was notable in the environmental protection industry [6]. - The 5-day momentum factor exhibited momentum effects in the oil & petrochemical and public utilities sectors, while showing reversal effects in the beauty care, leisure services, and food & beverage industries [6][7]. Group 3: Strategy Performance - The PB-ROE-50 combination achieved significant excess returns, with a 1.31% excess return in the CSI 800 stock pool and a 1.36% excess return in the overall market stock pool, while it recorded a -0.62% excess return in the CSI 500 stock pool [8]. - Public and private fund research selection strategies yielded positive excess returns, with public fund strategies achieving a 1.88% excess return relative to the CSI 800 and private fund strategies achieving a 2.14% excess return [9]. - The block trading combination experienced a decline in excess returns, with a -1.94% excess return relative to the CSI All Index [10]. - The targeted issuance combination also faced a decline, with a -1.79% excess return relative to the CSI All Index [11].

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]

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]

Quantitative Models and Construction Methods - **Model Name**: PB-ROE-50 **Model Construction Idea**: The model combines Price-to-Book ratio (PB) and Return on Equity (ROE) to select stocks with high profitability and reasonable valuation[3][25] **Model Construction Process**: The PB-ROE-50 portfolio is constructed by selecting 50 stocks with the highest combined scores of PB and ROE within specific stock pools (e.g., CSI 500, CSI 800, and the entire market). The portfolio is rebalanced periodically to maintain its composition[25][26] **Model Evaluation**: The model demonstrates consistent excess returns across different stock pools, indicating its effectiveness in capturing profitable investment opportunities[25][26] - **Model Name**: Institutional Research Portfolio **Model Construction Idea**: The model leverages public and private institutional research data to identify stocks with potential excess returns[28] **Model Construction Process**: The portfolio is constructed based on institutional research data, with public research focusing on CSI 800 stocks and private research tracking broader market stocks. Stocks are selected based on research frequency and sentiment, and the portfolio is rebalanced monthly[28][29] **Model Evaluation**: The model shows positive excess returns, particularly for private research tracking strategies, suggesting its ability to capture valuable insights from institutional activities[28][29] - **Model Name**: Block Trade Portfolio **Model Construction Idea**: The model identifies stocks with high block trade activity and low volatility to capture potential excess returns[31] **Model Construction Process**: Stocks are selected based on "block trade transaction ratio" and "6-day transaction volatility." The portfolio is rebalanced monthly to maintain its focus on high-transaction, low-volatility stocks[31][32] **Model Evaluation**: The model's performance varies, with occasional excess return drawdowns, highlighting the need for careful monitoring and adjustment[31][32] - **Model Name**: Directed Issuance Portfolio **Model Construction Idea**: The model focuses on stocks involved in directed issuance events to capture event-driven investment opportunities[37] **Model Construction Process**: Stocks are selected based on directed issuance announcements, considering factors like market capitalization, rebalancing frequency, and position control. The portfolio is rebalanced periodically to align with event-driven dynamics[37][38] **Model Evaluation**: The model shows mixed results, with occasional excess return drawdowns, indicating the need for further refinement in capturing event-driven effects[37][38] --- Model Backtesting Results - **PB-ROE-50 Model** - CSI 500: Weekly excess return 1.17%, absolute return 1.99%[25][26] - CSI 800: Weekly excess return 1.21%, absolute return 2.58%[25][26] - Entire Market: Weekly excess return 1.36%, absolute return 2.51%[25][26] - **Institutional Research Portfolio** - Public Research: Weekly excess return 0.02%, absolute return 1.37%[28][29] - Private Research: Weekly excess return 0.25%, absolute return 1.61%[28][29] - **Block Trade Portfolio** - Weekly excess return -0.24%, absolute return 0.88%[31][32] - **Directed Issuance Portfolio** - Weekly excess return -0.69%, absolute return 0.43%[37][38] --- Quantitative Factors and Construction Methods - **Factor Name**: BP Factor **Factor Construction Idea**: The factor uses the Book-to-Price ratio to identify undervalued stocks[20] **Factor Construction Process**: BP is calculated as the inverse of the Price-to-Book ratio. Stocks with higher BP values are considered undervalued and selected for portfolios[20] **Factor Evaluation**: BP demonstrates positive returns in multiple industries, indicating its effectiveness in identifying undervalued stocks[23][24] - **Factor Name**: ROE Factor **Factor Construction Idea**: The factor measures profitability using Return on Equity[20] **Factor Construction Process**: ROE is calculated as net income divided by shareholder equity. Stocks with higher ROE values are considered more profitable and selected for portfolios[20] **Factor Evaluation**: ROE shows positive returns across various industries, highlighting its ability to capture profitable investment opportunities[23][24] - **Factor Name**: Nonlinear Market Cap Factor **Factor Construction Idea**: The factor captures the impact of market capitalization on stock returns using a nonlinear approach[20] **Factor Construction Process**: Nonlinear transformations of market capitalization are applied to identify stocks with specific size-related characteristics[20] **Factor Evaluation**: The factor shows negative returns, indicating challenges in capturing size-related effects[20] --- Factor Backtesting Results - **BP Factor** - Weekly return 0.30%[20] - **ROE Factor** - Weekly return 0.27%[20] - **Nonlinear Market Cap Factor** - Weekly return -0.31%[20] - **Scale Factor** - Weekly return -0.29%[20]

- The PB-ROE-50 portfolio achieved an excess return of 1.15% in the CSI 500 stock pool, 0.29% in the CSI 800 stock pool, and -0.30% in the entire market stock pool[23][24] - The public research stock selection strategy achieved an excess return of 0.54% relative to the CSI 800, while the private research tracking strategy achieved an excess return of 2.61% relative to the CSI 800[25][26] - The block trading portfolio achieved an excess return of -0.61% relative to the CSI All Share Index[29][30] - The directed issuance portfolio achieved an excess return of 0.12% relative to the CSI All Share Index[35][36] - The momentum factor and growth factor achieved positive returns of 0.12% and 0.04% respectively, while the liquidity factor, beta factor, and size factor achieved significant negative returns of -0.56%, -0.52%, and -0.40% respectively[18][20] - In the CSI 500 stock pool, the best-performing factors this week were gross profit margin TTM (1.65%), single-quarter ROA (1.40%), and single-quarter total asset gross profit margin (1.26%)[14][15] - In the liquidity 1500 stock pool, the best-performing factors this week were 5-day average turnover rate (0.45%), 5-minute return skewness (0.36%), and downside volatility ratio (0.33%)[16][17] - In the CSI 500 stock pool, the worst-performing factors this week were single-quarter net profit year-on-year growth rate (-0.42%), 5-day reversal (-0.49%), and post-morning return factor (-0.64%)[14][15] - In the liquidity 1500 stock pool, the worst-performing factors this week were momentum spring factor (-1.07%), 5-day reversal (-1.11%), and single-quarter net profit year-on-year growth rate (-1.19%)[16][17] - In the CSI 300 stock pool, the best-performing factors this week were net profit gap (1.30%), 5-day exponential moving average of trading volume (1.15%), and total asset gross profit margin TTM (1.02%)[12][13] - In the CSI 300 stock pool, the worst-performing factors this week were logarithmic market value factor (-1.02%), momentum spring factor (-1.12%), and post-morning return factor (-1.29%)[12][13] - The net asset growth rate factor performed well in the comprehensive industry, and the net profit growth rate factor performed well in the steel industry[21][22] - The BP factor performed well in the beauty and personal care industry, and the EP factor performed well in the coal industry[21][22]