流动性因子超额回落 金融工程周报 基金市场回顾： 权益市场风格 2025年11月24日 操作评级 中信五风格-稳定★☆☆ 金融工程组 张婧婕 Z0022617 010-58747784 gtaxinstitute@essence.com.cn 本报告版权属于国投期货有限公司 1 不可作为投资依据，转载请注明出处 周度报告 截至2025/11/21当周，通联全A（沪深京）、中证综合债与南 华商品指数周度涨跌幅分别为-5.12%、-0.02%、-1.81%。 公募基金市场方面，近一周权益策略指数集体走弱，其中普通 股票指数下跌5.13%；短期纯债收益偏强，转债策略收益回撤， 有色与贵金属ETF收益回调，能化ETF净值持续走低。 【近期市场收益】 -10.00% -5.00% 0.00% 5.00% 10.00% 15.00% 20.00% 周度收益率 月度收益率 季度收益率 半年度收益率 通联全A（沪深京） 中证综合债（净） 南华商品 数据来源：通联数据，国投期货 -1 0 1 2 3 4 0 500 1000 1500 2000 单月（左轴、柱状图） 月度环比（右轴） 单位：亿元 【近一年公募基金产品成立规模】 ...

- 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]