流动性因子收益回升 金融工程周报 基金市场回顾： 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 权益市场风格 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 2026年3月2日 周度报告 截至2026/02/27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2.73%、-0.15%、3.56%。 公募基金市场方面，近一周增强指数策略收益表现偏强，周度 收益率为2.29%；中性策略产品涨多跌少；中长期纯债策略小 幅回撤，商品方面，近一周贵金属与有色金属ETF偏强运行， 其中黄金ETF净值上行3.04%。 相对强弱动量 数据来源：通联数据，国投期货 中信五风格方面，近一周周期与成长风格收益表现偏强，金融 风格有所回撤；风格轮动图显示近期稳定风格相对强弱走强， 消费与成长风格相对强弱动量环比下降。公募基金池方面，近 一周金融 风格基金风 格指数跑赢 基准，周度 超额收益率 为 1.65%，从基金风格系数走势来看市场对稳定与周期风格偏移 度小幅回升；本周拥挤度指标维 ...

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 ...

- The report tracks the performance of Guosen Financial Engineering's index enhancement portfolios, which are constructed based on benchmarks such as CSI 300, CSI 500, CSI 1000, and CSI A500 indices, aiming to consistently outperform their respective benchmarks [11][12][14] - The construction process of the index enhancement portfolios includes three main components: return prediction, risk control, and portfolio optimization [12] - The report monitors the performance of common stock selection factors across different stock selection spaces, including CSI 300, CSI 500, CSI 1000, CSI A500, and public fund heavy-holding indices, by constructing single-factor Maximized Factor Exposure (MFE) portfolios and tracking their relative excess returns [11][15][42] - The MFE portfolio construction process involves optimizing the portfolio to maximize single-factor exposure while controlling for various constraints such as industry exposure, style exposure, stock weight deviation, turnover rate, and component stock weight proportion [42][43][44] - The optimization model for MFE portfolios is expressed as follows: $\begin{array}{ll}max&f^{T}\ w\\ s.t.&s_{l}\leq X(w-w_{b})\leq s_{h}\\ &h_{l}\leq H(w-w_{b})\leq h_{h}\\ &w_{l}\leq w-w_{b}\leq w_{h}\\ &b_{l}\leq B_{b}w\leq b_{h}\\ &\mathbf{0}\leq w\leq l\\ &\mathbf{1}^{T}\ w=1\end{array}$ where `f` represents factor values, `w` is the stock weight vector, and constraints include style factor deviation, industry deviation, stock weight deviation, component stock weight proportion, and stock weight limits [42][43] - The report provides detailed performance tracking of single-factor MFE portfolios across different stock selection spaces, highlighting factors such as SP, SPTTM, EP, and others that performed well in specific indices like CSI 300, CSI 500, CSI 1000, CSI A500, and public fund heavy-holding indices [15][18][20][22][24][26] - The report also tracks the excess returns of public fund index enhancement products, including CSI 300, CSI 500, CSI 1000, and CSI A500, with detailed statistics on maximum, minimum, and median excess returns over different time periods [28][32][35][38][41]

1. Report Industry Investment Rating No investment rating for the industry is provided in the report. 2. Core Viewpoints of the Report - Risk preference recovery and the strengthening of the equity nature in the convertible bond market suggest that the liquidity style is expected to strengthen again. The convertible bond market has entered the "high-beta stage of a slow bull market", with the pricing logic shifting from "bond defense" to "equity elasticity". The liquidity factor is expected to strengthen once more [1]. - In the short - term, as the global market's expectation of recent liquidity tightness eases marginally, the correction space of the convertible bond market with sufficient incremental funds may be limited. Under the slow - bull expectation, the equity market's spring rally is in the making, and the convertible bond market still has structural opportunities [2][11]. - In the medium - term, the marginal improvement in liquidity and market structural characteristics highlight the allocation value of the liquidity style. The liquidity factor is expected to shift from "steady contribution" to "strong performance" [3][18]. - In the long - term, the convertible bond market shows obvious liquidity premium. The liquidity style has the best performance under a market - neutral condition [4][12]. 3. Summary According to the Table of Contents 3.1 Convertible Bond Weekly Thinking - From December 15th to December 19th, 2025, the small - and medium - cap stocks' trend was initially weak and then strong. The convertible bond market fluctuated upward following the underlying stocks. High - priced targets performed weakly, while low - priced convertible bonds performed strongly. The increase of convertible bonds was significantly lower than that of the underlying stocks due to the drag of high - priced convertible bonds. In terms of industries, the materials (+1.62%), optional consumption (+1.04%), and healthcare (+0.97%) sectors strengthened, while the finance (-0.43%) and information technology (-0.11%) sectors weakened [2][11]. - The Bank of Japan's interest rate hike was finalized this week, removing the suppressing factor for risk preference. The U.S. CPI data on Friday was lower than market expectations, providing more room for the subsequent monetary easing policy of the Federal Reserve [2][11]. 3.2 Convertible Bond Market Tracking 3.2.1 Convertible Bond Market Conditions - The report presents the performance of various convertible bond indices in different time periods (recent week, recent two weeks, since September, recent month, recent two months, recent half - year, and recent one - year), such as the Wind Convertible Bond Energy Index, Wind Convertible Bond Materials Index, etc [21]. 3.2.2 Convertible Bond Individual Securities - The report shows the top ten and bottom ten convertible bond individual securities in terms of price increase and decrease in the recent week, but specific names and data are not fully presented [22][24]. 3.2.3 Convertible Bond Valuation - The report provides the moving average trends of the conversion premium ratios of bond - like, balanced, and equity - like convertible bonds over the weeks [28][30][34]. 3.2.4 Convertible Bond Prices - The report shows the trends of the proportion of high - priced bonds and the median price of convertible bonds [31][32].

本文作者为创金合信基金首席经济学家魏凤春 自11月19日首席视点提出积极地等待后，市场处于相对僵持的状态。此后，我们陆续讨论了2026年流动 性、康波周期等五大周期，以及策略实施的问题。上期提出了锚定盈利、聚焦中游、工具适配的2026年 资产配置策略，其有效性根植于"风险溢价下行、盈利上行、结构分化"的三重共振。契合我们一直坚持 的"周期共振为锚、战略聚焦新动能、战术攻守兼备"的核心框架，在不确定性中锚定盈利确定性，在结 构分化中把握中游产业的稀缺价值。 在上述策略的实施中，还有一些基本的技术细节没有处理。这些细节对单一资产收益和风险边界的确 定，对股票、债券、黄金等不同资产性价比的认定具有决定性的作用，主要指资产配置的基准线。从宏 观策略的视角看，这些基准线由收益的基准线和风险的基准线组成。收益的基准线主要指基础因子中的 经济增长，GDP增长率和企业盈利率是最基本的分析因素。 风险的基准线主要指通货膨胀因子，CPI和PPI是主要观察对象。除此之外，无风险收益率是资产配置的 基准，这可以纳入流动性因子之中。投资者关注的流动性还包括资金的价格和资金的数量，资金的价格 包括贷款市场报价利率（LPR）以及人民币汇率 ...

Report Investment Rating - The report gives an operation rating of ★☆☆ for CITIC's five-style - stable [4] Core View - In the week ending November 21, 2025, the weekly returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were -5.12%, -0.02%, and -1.81% respectively. The equity strategy index in the public fund market weakened, short - term pure bonds had strong returns, convertible bond strategies had a pullback, and the returns of non - ferrous and precious metal ETFs and energy and chemical ETFs declined. In the CITIC five - style, all styles fell last Friday, with the cycle and growth styles performing weakly. The style timing signal favors the stable style this week [3][4] Section Summaries Fund Market Review - The equity strategy index in the public fund market weakened collectively in the past week, with the ordinary stock index falling 5.13%. Short - term pure bond returns were strong, convertible bond strategy returns pulled back, non - ferrous and precious metal ETF returns adjusted, and energy and chemical ETF net values continued to decline [4] Equity Market Style - **CITIC Five - Style Performance**: All five styles closed down last Friday, with the cycle and growth styles having weak returns. The style rotation chart shows that the relative strength and relative strength momentum of the five styles declined. In the public fund pool, the average performance of cycle and consumption style funds outperformed the benchmark in the past week. The market's deviation from the financial and growth styles increased. The crowding indicator changed little compared to last week, and the growth and cycle styles were in the lower quantile range in the past year [4] - **Neutral Strategy**: As of last week, the basis of IH and IF (futures - spot) declined and fell below the range of one standard deviation below the three - month average. In contrast, the basis of IC and IM showed an upward trend. Recently, the average premium rate index of ETFs corresponding to stock indices rebounded, with the premium rate indices of CSI 500 and CSI 1000 ETFs rising more significantly [4] - **Barra Factors**: In the past week, the leverage and intraday volatility factors had better returns, with a weekly excess return of 1.14%. The returns of medium - and long - term momentum factors continued to weaken. In terms of winning rates, the residual momentum factor increased slightly, and the growth factor decreased. The cross - section rotation speed of factors this week was the same as last week and was in the higher quantile range in the past year [4] - **Style Timing Model**: According to the latest scoring results of the style timing model, the cycle style declined this week, and the growth style rebounded slightly. The current signal favors the stable style. The return of the style timing strategy last week was -3.94%, with an excess return of 0.59% compared to the benchmark equal - weighted allocation [4]

- 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]