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]

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]

Group 1 - The core viewpoint of the article emphasizes the expectation of a spring market rally, with potential positive news from both policy and fundamental aspects in the coming months, despite a possible short-term correction before the Spring Festival [5] - The momentum effect is observed in the market, with both momentum and profitability factors yielding positive returns of 0.51%, while Beta and liquidity factors recorded negative returns of -0.81% and -0.41% respectively [5] - A slight increase in the overall A-share market is noted, with major indices showing cautious signals as ETF funds continue to experience net outflows [5][9] Group 2 - Geopolitical uncertainties are driving oil prices upward, with Brent and WTI crude oil futures prices reported at $69.83 and $65.74 per barrel, reflecting increases of 6.7% and 7.3% respectively [7] - The chemical industry is experiencing a recovery, supported by steady macroeconomic data and recent policies aimed at reducing carbon emissions and environmental protection, which are benefiting leading enterprises in the sector [8] - A new policy document aimed at improving the capacity pricing mechanism for power generation has been released, which is expected to promote orderly and fair competition in the energy storage industry [8]

- The momentum factor and profitability factor both achieved positive returns of 0.51% in the overall market stock pool this week, indicating a momentum effect in the market[1][18] - The Beta factor and liquidity factor recorded negative returns of -0.81% and -0.41%, respectively, while other style factors showed average performance[1][18] - In the CSI 300 stock pool, the best-performing factors this week were the P/E ratio factor (1.70%), net profit margin TTM (1.03%), and operating profit margin TTM (1.02%)[1][12] - The worst-performing factors in the CSI 300 stock pool were the post-morning return factor (-3.58%), momentum spring factor (-3.50%), and 5-day reversal factor (-2.98%)[1][12] - In the CSI 500 stock pool, the best-performing factors this week were the inverse P/S ratio TTM (3.25%), inverse P/E ratio TTM (2.67%), and P/E ratio factor (2.45%)[1][14] - The worst-performing factors in the CSI 500 stock pool were the 5-minute return skewness factor (-3.71%), 6-day moving average of transaction amount (-2.69%), and 5-day reversal factor (-2.40%)[1][14] - In the liquidity 1500 stock pool, the best-performing factors this week were the operating cash flow ratio (2.27%), momentum-adjusted small orders (1.65%), and single-quarter ROA (1.62%)[2][16] - The worst-performing factors in the liquidity 1500 stock pool were the 5-minute return skewness factor (-3.03%), morning return factor (-2.65%), and 5-day average turnover rate (-2.21%)[2][16] - The PB-ROE-50 portfolio achieved positive excess returns in the CSI 500 stock pool this week, with an excess return of 0.59%[2][23] - The PB-ROE-50 portfolio recorded an excess return of -0.50% in the CSI 800 stock pool and -2.81% in the overall market stock pool[2][23] - The public fund research stock selection strategy and private fund research tracking strategy both recorded negative excess returns this week, with the public fund strategy achieving -4.21% and the private fund strategy achieving -1.85% relative to the CSI 800[2][25] - The block trade portfolio achieved a positive excess return of 0.06% relative to the CSI All Share Index this week[2][30] - The directed issuance portfolio achieved a positive excess return of 0.13% relative to the CSI All Share Index this week[2][35]

Quantitative Models and Construction Methods 1. **Model Name**: CSI 300 Enhanced Portfolio - **Model Construction Idea**: The model aims to achieve excess returns over the CSI 300 Index by leveraging quantitative strategies and factor-based stock selection - **Model Construction Process**: The model is constructed by selecting stocks from the CSI 300 Index based on specific quantitative factors and optimizing the portfolio to maximize excess returns while managing risk. The exact factors and optimization techniques are not detailed in the report - **Model Evaluation**: The model has shown consistent performance in generating excess returns over the CSI 300 Index in the year-to-date period[5][9][15] 2. **Model Name**: CSI 500 Enhanced Portfolio - **Model Construction Idea**: The model seeks to outperform the CSI 500 Index by utilizing quantitative strategies and factor-based stock selection - **Model Construction Process**: Stocks are selected from the CSI 500 Index based on quantitative factors, and the portfolio is optimized to achieve excess returns while controlling risk. Specific details of the factors and optimization are not provided in the report - **Model Evaluation**: The model's performance has been mixed, with negative excess returns in the year-to-date period[5][9][15] 3. **Model Name**: CSI 1000 Enhanced Portfolio - **Model Construction Idea**: The model aims to generate excess returns over the CSI 1000 Index through quantitative strategies and factor-based stock selection - **Model Construction Process**: Stocks are selected from the CSI 1000 Index using quantitative factors, and the portfolio is optimized to maximize excess returns while managing risk. Specific details of the factors and optimization are not provided in the report - **Model Evaluation**: The model has demonstrated positive excess returns in the year-to-date period[5][9][15] 4. **Model Name**: PB-Profit Combination Portfolio - **Model Construction Idea**: The portfolio combines price-to-book (PB) ratio and profitability factors to identify undervalued stocks with strong earnings potential - **Model Construction Process**: The portfolio is constructed by selecting stocks with low PB ratios and high profitability metrics. The exact methodology for combining these factors is not detailed in the report - **Model Evaluation**: The portfolio has shown strong performance, with significant positive excess returns over the CSI 300 Index in the year-to-date period[5][31][33] 5. **Model Name**: GARP Portfolio - **Model Construction Idea**: The portfolio follows the Growth at a Reasonable Price (GARP) strategy, focusing on stocks with a balance of growth and valuation metrics - **Model Construction Process**: Stocks are selected based on a combination of growth and valuation factors. The specific factors and their weights are not detailed in the report - **Model Evaluation**: The portfolio has achieved significant positive excess returns over the CSI 300 Index in the year-to-date period[5][35] 6. **Model Name**: Small-Cap Value Portfolio 1 - **Model Construction Idea**: The portfolio targets small-cap stocks with value characteristics, aiming to outperform the micro-cap index - **Model Construction Process**: Stocks are selected based on small-cap and value factors. The exact methodology for combining these factors is not detailed in the report - **Model Evaluation**: The portfolio has underperformed the micro-cap index in the year-to-date period[5][37] 7. **Model Name**: Small-Cap Value Portfolio 2 - **Model Construction Idea**: Similar to Small-Cap Value Portfolio 1, this portfolio focuses on small-cap stocks with value characteristics - **Model Construction Process**: Stocks are selected based on small-cap and value factors. The exact methodology for combining these factors is not detailed in the report - **Model Evaluation**: The portfolio has outperformed the micro-cap index in the year-to-date period[5][39] 8. **Model Name**: Small-Cap Growth Portfolio - **Model Construction Idea**: The portfolio targets small-cap stocks with growth characteristics, aiming to outperform the micro-cap index - **Model Construction Process**: Stocks are selected based on small-cap and growth factors. The exact methodology for combining these factors is not detailed in the report - **Model Evaluation**: The portfolio has underperformed the micro-cap index in the year-to-date period[5][41] --- Model Backtesting Results 1. **CSI 300 Enhanced Portfolio** - Weekly return: -0.39% - Weekly excess return: -0.47% - Year-to-date return: 6.85% - Year-to-date excess return: 5.20%[9][15] 2. **CSI 500 Enhanced Portfolio** - Weekly return: -1.74% - Weekly excess return: 0.82% - Year-to-date return: 11.11% - Year-to-date excess return: -1.01%[9][15] 3. **CSI 1000 Enhanced Portfolio** - Weekly return: -0.97% - Weekly excess return: 1.58% - Year-to-date return: 11.99% - Year-to-date excess return: 3.31%[9][15] 4. **PB-Profit Combination Portfolio** - Weekly return: 0.92% - Weekly excess return: 0.84% - Year-to-date return: 6.17% - Year-to-date excess return: 4.52%[31][33] 5. **GARP Portfolio** - Weekly return: 0.95% - Weekly excess return: 0.87% - Year-to-date return: 11.43% - Year-to-date excess return: 9.78%[35] 6. **Small-Cap Value Portfolio 1** - Weekly return: -2.44% - Weekly excess return: -1.29% - Year-to-date return: 7.89% - Year-to-date excess return: -2.83%[37] 7. **Small-Cap Value Portfolio 2** - Weekly return: -1.64% - Weekly excess return: -0.48% - Year-to-date return: 12.37% - Year-to-date excess return: 1.66%[39] 8. **Small-Cap Growth Portfolio** - Weekly return: -2.07% - Weekly excess return: -0.92% - Year-to-date return: 9.13% - Year-to-date excess return: -1.59%[41] --- Quantitative Factors and Construction Methods 1. **Factor Name**: Market Capitalization (Size) Factor - **Construction Idea**: Small-cap stocks tend to outperform large-cap stocks over time - **Construction Process**: Stocks are ranked by market capitalization, and the top 10% (smallest) and bottom 10% (largest) are selected to form long and short portfolios, respectively. The difference in returns between these portfolios represents the factor's performance - **Evaluation**: The factor has shown mixed performance across different indices and time periods[43][44][45] 2. **Factor Name**: Price-to-Book (PB) Factor - **Construction Idea**: Low PB stocks are expected to outperform high PB stocks - **Construction Process**: Stocks are ranked by PB ratio, and the top 10% (lowest PB) and bottom 10% (highest PB) are selected to form long and short portfolios, respectively. The difference in returns between these portfolios represents the factor's performance - **Evaluation**: The factor has shown strong performance in the short term but mixed results in the year-to-date period[43][44][45] 3. **Factor Name**: Price-to-Earnings (PE_TTM) Factor - **Construction Idea**: Low PE stocks are expected to outperform high PE stocks - **Construction Process**: Stocks are ranked by PE ratio, and the top 10% (lowest PE) and bottom 10% (highest PE) are selected to form long and short portfolios, respectively. The difference in returns between these portfolios represents the factor's performance - **Evaluation**: The factor has shown positive short-term performance but mixed year-to-date results[43][44][45] 4. **Factor Name**: Reversal Factor - **Construction Idea**: Stocks with recent underperformance are expected to outperform in the short term - **Construction Process**: Stocks are ranked by recent performance, and the top 10% (worst performers) and bottom 10% (best performers) are selected to form long and short portfolios, respectively. The difference in returns between these portfolios represents the factor's performance - **Evaluation**: The factor has shown positive short-term performance but negative year-to-date results[49][50] 5. **Factor Name**: Turnover Factor - **Construction Idea**: Stocks with lower turnover rates are expected to outperform those with higher turnover rates - **Construction Process**: Stocks are ranked by turnover rate, and the top 10% (lowest turnover) and bottom 10% (highest turnover) are selected to form long and short portfolios, respectively. The difference in returns between these portfolios represents the factor's performance - **Evaluation**: The factor has shown strong short-term performance but negative year-to-date results[49][50] 6. **Factor Name**: Volatility Factor - **Construction Idea**

1. Report Industry Investment Rating - The operation rating for CITIC Five-Style - Stable is ☆☆★ [2] 2. Core Viewpoints - As of the week ending on January 23, 2026, the weekly returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were 1.75%, 0.21%, and 2.08% respectively [3] - In the public fund market, the enhanced index strategy performed strongly in the past week, with a weekly return of 1.82%. Most neutral strategy products had positive returns, and the convertible bond strategy outperformed the pure bond strategy. Among the commodity ETFs, the return of non-ferrous metals ETFs had a slight correction, while the return of energy and chemical ETFs rebounded, with a weekly return of 3.48% [3] - Among the CITIC Five-Styles, the financial style declined in the past week, while the other styles rose. The style rotation chart showed that the relative strength of the stable and cyclical styles strengthened recently, and the relative strength momentum of the financial and cyclical styles increased month-on-month [3] - In the public fund pool, the financial and consumer fund style indexes outperformed the benchmark in the past week, with the financial style fund index having an excess return of 2.72%. The market's deviation from the consumer style continued to decline according to the trend of the fund style coefficient. The crowding indicator decreased slightly this week, and the cyclical and financial styles are currently in a historically high crowding range [3] - Among the Barra factors, the medium - long - term momentum and residual volatility factors had better performance in the past week, with weekly excess returns of 1.98% and 1.69% respectively. The returns of the profitability and leverage factors continued to decline. In terms of win - rate, the low - volatility factors strengthened marginally, and the dividend factor performed weakly recently. The cross - section rotation speed of the factors decreased month - on - month this week and is currently in a low - percentile range in the past year [3] - According to the latest scoring results of the style timing model, the growth style decreased month - on - month this week, and the current signal favors the stable style. The return of the style timing strategy last week was 1.81%, with an excess return of 0.56% compared to the benchmark balanced allocation [3] 3. Summary by Related Catalogs Fund Market Review - The enhanced index strategy in the public fund market performed strongly in the past week, with a weekly return of 1.82%. Most neutral strategy products had positive returns, and the convertible bond strategy outperformed the pure bond strategy. Among the commodity ETFs, the return of non - ferrous metals ETFs had a slight correction, while the return of energy and chemical ETFs rebounded, with a weekly return of 3.48% [3] CITIC Five - Style Analysis - Among the CITIC Five - Styles, the financial style declined in the past week, while the other styles rose. The style rotation chart showed that the relative strength of the stable and cyclical styles strengthened recently, and the relative strength momentum of the financial and cyclical styles increased month - on - month [3] - In the public fund pool, the financial and consumer fund style indexes outperformed the benchmark in the past week, with the financial style fund index having an excess return of 2.72%. The market's deviation from the consumer style continued to decline according to the trend of the fund style coefficient. The crowding indicator decreased slightly this week, and the cyclical and financial styles are currently in a historically high crowding range [3] Barra Factor Analysis - Among the Barra factors, the medium - long - term momentum and residual volatility factors had better performance in the past week, with weekly excess returns of 1.98% and 1.69% respectively. The returns of the profitability and leverage factors continued to decline. In terms of win - rate, the low - volatility factors strengthened marginally, and the dividend factor performed weakly recently. The cross - section rotation speed of the factors decreased month - on - month this week and is currently in a low - percentile range in the past year [3] Style Timing Model - According to the latest scoring results of the style timing model, the growth style decreased month - on - month this week, and the current signal favors the stable style. The return of the style timing strategy last week was 1.81%, with an excess return of 0.56% compared to the benchmark balanced allocation [3]

Group 1 - The core viewpoint of the article emphasizes that "technology first" is the strongest theme driving the current bull market, supported by three long-term advantageous conditions: (1) relative profit advantage; (2) overseas mapping; (3) global semiconductor cycle resonance upward [1] - The "profit recovery" slow bull market presents cyclical opportunities primarily focused on PPI, with two key indicators providing leading signals for the marginal recovery of PPI [1] - The performance of dividend styles is expected to surpass that of 2025 in 2026, indicating a shift from valuation-driven bull markets to slow bull markets, transitioning from industry Beta investments to factor investments [1] Group 2 - In 2026, it is crucial to focus on factors with the strongest effectiveness in performance periods, particularly the profit factor: marginal changes in profit growth (△g), profit growth, and revenue growth [1] - From an annual effectiveness perspective, revenue growth, profit growth, ROE, and ROIC are identified as the most effective profit factors [1]

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].

Report Industry Investment Rating - The operation rating for CITIC's five - style stability is ★☆☆, indicating a bullish bias but with limited operability in the market [4] Core Viewpoints - In the week ending November 7, 2025, the weekly returns of Tonglian All - A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were 0.63%, - 0.01%, and - 0.47% respectively. In the public fund market, convertible bond products performed well, the common stock strategy index declined slightly, neutral strategy products mostly rose, non - ferrous metal ETFs weakened slightly, and soybean meal ETFs had better returns. Among CITIC's five styles, only the consumer style declined last Friday, while the stable and cyclical styles were strong. The style rotation chart showed that the relative strength of the growth style decreased, and the relative strength momentum of the financial style rebounded marginally. The average returns of various style funds in the public fund pool underperformed the benchmark index. The market's deviation towards the financial style decreased. The congestion index dropped, with the growth style congestion falling to the medium - percentile range of the past year. In the neutral strategy, the contract basis weakened slightly last week, with the current IH basis close to 1 standard deviation below the three - month average. The average premium rates of IC and IM corresponding index ETFs rebounded to the medium - percentile range of the past three months. The profit factor had a good return performance in the past week, with a weekly excess return of 0.97%, and the excess of the growth factor was significantly compressed. The win - rate of the residual momentum factor decreased, but the factor itself strengthened. The cross - section rotation speed of factors rebounded slightly this week, currently at the medium - percentile range of the past year. According to the latest scoring results of the style timing model, the financial style declined marginally this week, the consumer style strengthened slightly, and the current signal favored the stable style. The return of the style timing strategy last week was 1.85%, with an excess return of 0.97% compared to the benchmark balanced allocation [4] Summary by Relevant Catalogs Fund Market Review - The weekly returns of Tonglian All - A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were 0.63%, - 0.01%, and - 0.47% respectively [4] - In the public fund market, convertible bond products performed well, the common stock strategy index declined slightly, neutral strategy products mostly rose, non - ferrous metal ETFs weakened slightly, and soybean meal ETFs had better returns [4] Equity Market Style - Among CITIC's five styles, only the consumer style declined last Friday, while the stable and cyclical styles were strong. The style rotation chart showed that the relative strength of the growth style decreased, and the relative strength momentum of the financial style rebounded marginally [4] - The average returns of various style funds in the public fund pool underperformed the benchmark index. The market's deviation towards the financial style decreased. The congestion index dropped, with the growth style congestion falling to the medium - percentile range of the past year [4] Neutral Strategy - The contract basis weakened slightly last week, with the current IH basis close to 1 standard deviation below the three - month average. The average premium rates of IC and IM corresponding index ETFs rebounded to the medium - percentile range of the past three months [4] Barra Factor - The profit factor had a good return performance in the past week, with a weekly excess return of 0.97%, and the excess of the growth factor was significantly compressed. The win - rate of the residual momentum factor decreased, but the factor itself strengthened. The cross - section rotation speed of factors rebounded slightly this week, currently at the medium - percentile range of the past year [4] Style Timing Model - According to the latest scoring results of the style timing model, the financial style declined marginally this week, the consumer style strengthened slightly, and the current signal favored the stable style. The return of the style timing strategy last week was 1.85%, with an excess return of 0.97% compared to the benchmark balanced allocation [4]