低频选股因子周报（2025.12.31-2026.01.09） [Table_Authors] 郑雅斌(分析师) 2026 年首周，沪深 300 指数增强组合超额收益 1.90% 本报告导读： 上周，大市值、高估值风格占优，低频量价因子普遍回撤。量化股票组合中，沪深 300 指数增强组合周超额收益 1.90%。 投资要点： 风险提示：市场环境变动风险，有效因子变动风险。 | | 021-23219395 | | --- | --- | | | zhengyabin@gtht.com | | 登记编号 | S0880525040105 | | | 罗蕾(分析师) | | | 021-23185653 | | | luolei@gtht.com | | 登记编号 | S0880525040014 | [Table_Report] 相关报告 2025 年成长、分析师因子表现较好，中证 2000 指数增强策略全年超额 27.77% 2026.01.09 绝对收益产品及策略周报（251229-251231） 2026.01.08 行业主题 ETF 流动性月报（2025.12） 2026.01.08 低频选股因子周报（2 ...

低频选股因子周报（2025.12.26-2025.12.31） [Table_Authors] 郑雅斌(分析师) 2025 年，沪深 300 指数增强组合累计超额 8.82% 投资要点： 风险提示：市场环境变动风险，有效因子变动风险。 | | 021-23219395 | | --- | --- | | | zhengyabin@gtht.com | | 登记编号 | S0880525040105 | | | 罗蕾(分析师) | | | 021-23185653 | | | luolei@gtht.com | | 登记编号 | S0880525040014 | [Table_Report] 相关报告 高频选股因子周报（20251229-20251231） 2026.01.02 上周小市值风格表现不佳，成长因子表现较好 2025.12.31 绝对收益产品及策略周报（251222-251226） 2025.12.31 红利风格择时周报（1222-1226） 2025.12.30 风格 Smart beta 组合跟踪周报（2025.12.22- 2025.12.26） 2025.12.30 本报告导读： 上周，量价 ...

- The reversal factor performed relatively well, with the GARP portfolio achieving a weekly return of 3.28% from August 1, 2025, to August 8, 2025[1] - The cumulative return of the GARP portfolio in 2025 was 28.2%[1] - The PB-profit combination had a weekly return of 2.86%, with a cumulative return of 20.53% in 2025[5][9] - The small-cap growth portfolio had a weekly return of 4.87%, with a cumulative return of 56.37% in 2025[5][9] - The small-cap value preferred portfolio 1 had a weekly return of 3.67%, with a cumulative return of 48.10% in 2025[5][9] - The small-cap value preferred portfolio 2 had a weekly return of 5.00%, with a cumulative return of 56.61% in 2025[5][9] - The performance of the multi-factor portfolios showed that the aggressive portfolio and the balanced portfolio had weekly returns of 3.37% and 3.19%, respectively[10][11] - The aggressive portfolio and the balanced portfolio had cumulative returns of 61.10% and 49.08% in 2025, respectively[11] - The enhanced CSI 300 portfolio had a weekly return of 1.43%, with a cumulative return of 11.18% in 2025[14][15] - The enhanced CSI 500 portfolio had a weekly return of 2.17%, with a cumulative return of 14.96% in 2025[14][15] - The enhanced CSI 1000 portfolio had a weekly return of 2.01%, with a cumulative return of 22.07% in 2025[14][15] - The performance of the style factors showed that small-cap stocks outperformed large-cap stocks, and high-valuation stocks outperformed low-valuation stocks[5][43] - The performance of the technical factors showed that the reversal factor contributed positive returns, with a weekly long-short return of 0.98%[5][46][48] - The performance of the fundamental factors showed that the SUE factor and the expected net profit adjustment factor contributed positive returns, with weekly long-short returns of 0.51% and 0.34%, respectively[5][50][52]