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].

Group 1 - The core viewpoint of the article highlights the performance of various market factors, indicating a mixed performance across different stock pools with specific factors yielding positive or negative returns [2][3][5]. Group 2 - In the overall market, the profitability factor achieved a positive return of 0.54%, while the residual volatility and beta factors gained 0.28% and 0.23% respectively, indicating a small-cap style market performance [2]. - In the CSI 300 stock pool, the best-performing factors included the price-to-earnings (P/E) ratio (2.85%) and the TTM inverse P/E ratio (2.32%), while the worst performers were the 5-minute return skew (-1.53%) and gross profit margin TTM (-1.03%) [3]. - The CSI 500 stock pool saw the ROIC enhancement factor perform well with a return of 1.46%, while the worst performers included the 5-day reversal (-1.25%) [3]. - The liquidity 1500 stock pool had the TTM inverse P/E ratio as the best performer (1.30%), while early morning return factors showed negative performance [3]. Group 3 - The fundamental factors showed varied performance across industries, with net asset growth rate and net profit growth rate factors performing consistently well in the telecommunications, beauty care, and commercial trade sectors [5]. - Valuation factors, particularly the earnings yield (EP) factor, performed well in the telecommunications, oil and petrochemical, and steel industries [5]. - The small-cap style was notably significant in the beauty care, media, and computer industries this week [5]. Group 4 - The PB-ROE-50 combination achieved positive excess returns across stock pools, with the CSI 500 pool gaining 1.34% and the CSI 800 pool gaining 1.37% [6]. - The public fund research selection strategy and private fund research tracking strategy both recorded negative excess returns relative to the CSI 800, with losses of -1.58% and -1.45% respectively [7]. - The block trading combination underperformed relative to the CSI All Index, with an excess return of -0.62% [8]. - The targeted issuance combination achieved positive excess returns relative to the CSI All Index, with a gain of 1.17% [9].

Core Insights - The report explores the construction and application of a style factor system for A-shares, focusing on four dimensions: market capitalization, valuation, profitability, and momentum [2][9][12] - A-shares have exhibited different dominant factors over various periods, with profitability leading from 2013 to 2014, small-cap factors from 2015 to 2016, valuation from 2016 to 2018, and a return to profitability dominance from 2019 to early 2021 [2][24][27] - The report predicts a resurgence of high valuation factors starting in 2025, driven by expectations of weak profit recovery and strong policy support [2][27] Style Factor Construction and Performance - The style factor system is constructed using a bottom-up approach, assigning style labels to each stock based on their factor indicators [9][12] - The performance of the style factors shows that small-cap stocks have generally outperformed large-cap stocks since 2010, with a notable fivefold return from small-cap strategies [12][17] - Valuation factors indicate that low valuation styles have been particularly strong, especially during specific periods such as 2017-2018 and 2022-2024 [14][15] Influencing Factors of Style Factors - Profitability factors are highly correlated with economic cycles, showing better performance during economic upturns [45][46] - Valuation factors are closely linked to market sentiment, with high valuation stocks performing better during periods of positive sentiment [49][50] - Market capitalization factors are significantly influenced by remaining liquidity, with small-cap factors performing strongly in liquidity-rich environments [53][54] Application of Style Factor System - The report establishes an A-share style investment system based on the identified style factors, suggesting that the current dominant styles are high profitability, high valuation, and small-cap [2][27] - The analysis indicates that the A-share market has not fully priced in the expected profit recovery, suggesting potential upside for high profitability and high valuation factors [2][27] - Different asset types exhibit varying dominant style factors, with emerging growth assets showing significant small-cap advantages and dividend assets reflecting low valuation strengths [29][33]