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].

Quantitative Factors and Construction Methods Factor Name: BP - Construction Idea: Current net asset divided by current total market value[13] - Construction Process: $ BP = \frac{Current \ Net \ Asset}{Current \ Total \ Market \ Value} $[13] Factor Name: BP Three-Year Percentile - Construction Idea: Stock's current BP in the last three years percentile[13] - Construction Process: $ BP \ Three-Year \ Percentile = \frac{Current \ BP}{BP \ in \ Last \ Three \ Years} $[13] Factor Name: Quarterly EP - Construction Idea: Quarterly net profit divided by net asset[13] - Construction Process: $ Quarterly \ EP = \frac{Quarterly \ Net \ Profit}{Net \ Asset} $[13] Factor Name: Quarterly EP One-Year Percentile - Construction Idea: Stock's current quarterly EP in the last one year percentile[13] - Construction Process: $ Quarterly \ EP \ One-Year \ Percentile = \frac{Current \ Quarterly \ EP}{Quarterly \ EP \ in \ Last \ One \ Year} $[13] Factor Name: Quarterly SP - Construction Idea: Quarterly operating income divided by net asset[13] - Construction Process: $ Quarterly \ SP = \frac{Quarterly \ Operating \ Income}{Net \ Asset} $[13] Factor Name: Quarterly SP One-Year Percentile - Construction Idea: Stock's current quarterly SP in the last one year percentile[13] - Construction Process: $ Quarterly \ SP \ One-Year \ Percentile = \frac{Current \ Quarterly \ SP}{Quarterly \ SP \ in \ Last \ One \ Year} $[13] Factor Name: Quarterly Asset Turnover Rate - Construction Idea: Quarterly operating income divided by total asset[13] - Construction Process: $ Quarterly \ Asset \ Turnover \ Rate = \frac{Quarterly \ Operating \ Income}{Total \ Asset} $[13] Factor Name: Quarterly Gross Profit Margin - Construction Idea: Quarterly gross profit divided by quarterly sales income[13] - Construction Process: $ Quarterly \ Gross \ Profit \ Margin = \frac{Quarterly \ Gross \ Profit}{Quarterly \ Sales \ Income} $[13] Factor Name: Quarterly ROA - Construction Idea: Quarterly net profit divided by total asset[13] - Construction Process: $ Quarterly \ ROA = \frac{Quarterly \ Net \ Profit}{Total \ Asset} $[13] Factor Name: Quarterly ROE - Construction Idea: Quarterly net profit divided by net asset[13] - Construction Process: $ Quarterly \ ROE = \frac{Quarterly \ Net \ Profit}{Net \ Asset} $[13] Factor Name: Quarterly Net Profit Year-on-Year Growth - Construction Idea: Quarterly net profit year-on-year growth rate[13] - Construction Process: $ Quarterly \ Net \ Profit \ Year-on-Year \ Growth = \frac{Current \ Quarterly \ Net \ Profit - Last \ Year \ Quarterly \ Net \ Profit}{Last \ Year \ Quarterly \ Net \ Profit} $[13] Factor Name: Quarterly Revenue Year-on-Year Growth - Construction Idea: Quarterly revenue year-on-year growth rate[13] - Construction Process: $ Quarterly \ Revenue \ Year-on-Year \ Growth = \frac{Current \ Quarterly \ Revenue - Last \ Year \ Quarterly \ Revenue}{Last \ Year \ Quarterly \ Revenue} $[13] Factor Name: Quarterly ROE Year-on-Year Growth - Construction Idea: Quarterly ROE year-on-year growth rate[13] - Construction Process: $ Quarterly \ ROE \ Year-on-Year \ Growth = \frac{Current \ Quarterly \ ROE - Last \ Year \ Quarterly \ ROE}{Last \ Year \ Quarterly \ ROE} $[13] Factor Name: Standardized Unexpected Earnings - Construction Idea: Current quarterly net profit minus the average quarterly net profit growth rate of the past eight quarters divided by the standard deviation of the quarterly net profit growth rate of the past eight quarters[13] - Construction Process: $ Standardized \ Unexpected \ Earnings = \frac{Current \ Quarterly \ Net \ Profit - (Last \ Year \ Quarterly \ Net \ Profit + Average \ Quarterly \ Net \ Profit \ Growth \ Rate \ of \ Past \ Eight \ Quarters)}{Standard \ Deviation \ of \ Quarterly \ Net \ Profit \ Growth \ Rate \ of \ Past \ Eight \ Quarters} $[13] Factor Name: Standardized Unexpected Revenue - Construction Idea: Current quarterly revenue minus the average quarterly revenue growth rate of the past eight quarters divided by the standard deviation of the quarterly revenue growth rate of the past eight quarters[13] - Construction Process: $ Standardized \ Unexpected \ Revenue = \frac{Current \ Quarterly \ Revenue - (Last \ Year \ Quarterly \ Revenue + Average \ Quarterly \ Revenue \ Growth \ Rate \ of \ Past \ Eight \ Quarters)}{Standard \ Deviation \ of \ Quarterly \ Revenue \ Growth \ Rate \ of \ Past \ Eight \ Quarters} $[13] Factor Name: Dividend Yield - Construction Idea: Recent annual dividend divided by current market value[13] - Construction Process: $ Dividend \ Yield = \frac{Recent \ Annual \ Dividend}{Current \ Market \ Value} $[13] Factor Name: Performance Forecast Accuracy - Construction Idea: Single quarter performance forecast upper limit minus single quarter performance forecast lower limit divided by the average of the single quarter performance forecast upper limit and lower limit multiplied by -1[13] - Construction Process: $ Performance \ Forecast \ Accuracy = \frac{Single \ Quarter \ Performance \ Forecast \ Upper \ Limit - Single \ Quarter \ Performance \ Forecast \ Lower \ Limit}{(Single \ Quarter \ Performance \ Forecast \ Upper \ Limit + Single \ Quarter \ Performance \ Forecast \ Lower \ Limit)/2} \times (-1) $[13] Factor Name: Top Five Shareholders' Holding Ratio Sum - Construction Idea: Sum of the squares of the top five shareholders' holding ratios[13] - Construction Process: $ Top \ Five \ Shareholders' \ Holding \ Ratio \ Sum = \sum_{i=1}^{5} (Holding \ Ratio_i)^2 $[13] Factor Name: 90-Day Analyst Coverage - Construction Idea: Analyst coverage in the past 90 days[13] - Construction Process: $ 90-Day \ Analyst \ Coverage = \frac{Number \ of \ Analysts \ Covering \ the \ Stock \ in \ the \ Past \ 90 \ Days}{Total \ Number \ of \ Analysts} $[13] Factor Name: Consensus Expected Net Profit Compound Growth Rate - Construction Idea: Consensus expected net profit three-year compound growth rate[13] - Construction Process: $ Consensus \ Expected \ Net \ Profit \ Compound \ Growth \ Rate = \frac{Consensus \ Expected \ Net \ Profit \ in \ Three \ Years}{Current \ Net \ Profit} $[13] Factor Name: Consensus Expected EPS Change - Construction Idea: Consensus expected EPS divided by the average consensus expected EPS in the last 120 days[13] - Construction Process: $ Consensus \ Expected \ EPS \ Change = \frac{Consensus \ Expected \ EPS}{Average \ Consensus \ Expected \ EPS \ in \ the \ Last \ 120 \ Days} $[13] Factor Name: 90-Day Net Upward Revision Ratio - Construction Idea: Ratio of analysts who revised earnings forecasts upward minus the ratio of analysts who revised earnings forecasts downward in the past 90 days[13] - Construction Process: $ 90-Day \ Net \ Upward \ Revision \ Ratio = \frac{Number \ of \ Analysts \ Revising \ Upward}{Total \ Number \ of \ Analysts} - \frac{Number \ of \ Analysts \ Revising \ Downward}{Total \ Number \ of \ Analysts} $[13] Factor Name: 90-Day Expected Adjustment Mean - Construction Idea: Average adjustment magnitude of analysts' earnings forecasts in the past 90 days[13] - Construction Process: $ 90-Day \ Expected \ Adjustment \ Mean = \frac{Sum \ of \ Analysts' \ Earnings \ Forecast \ Adjustments \ in \ the \ Past \ 90 \ Days}{Total \ Number \ of \ Analysts} $[13] Factor Name: Financial Report Exceeding Research Report Expectation Degree - Construction Idea: Degree to which the financial report exceeds the research report expectation within 5 days of the financial report release[13] - Construction Process: $ Financial \ Report \ Exceeding \ Research \ Report \ Expectation \ Degree = \frac{Financial \ Report \ Value - Research \ Report \ Expectation}{Research \ Report \ Expectation} $[13] Factor Name: Standardized Unexpected Earnings Based on Consensus Expectation - Construction Idea: Quarterly net profit minus quarterly consensus expected net profit divided by the consensus expected net profit dispersion[13] - Construction Process: $ Standardized \ Unexpected \ Earnings \ Based \ on \ Consensus \ Expectation = \frac{Quarterly \ Net \ Profit - Quarterly \ Consensus \ Expected \ Net \ Profit}{Consensus \ Expected \ Net \ Profit \ Dispersion} $[13] Factor Name: 1-Month Turnover Rate and Average Price Correlation - Construction Idea: Correlation coefficient between stock turnover rate and average price in the past 20 trading days[13] - Construction Process: $ 1-Month \ Turnover \ Rate \ and \ Average \ Price \ Correlation = \frac{Cov(Turnover \ Rate, \ Average \ Price)}{Std(Turnover \ Rate)

Quantitative Factors and Construction Methods 1. Factor Name: Small Market Cap - **Factor Construction Idea**: This factor captures the size effect, where smaller market capitalization stocks tend to outperform larger ones over time [13] - **Factor Construction Process**: The factor is calculated as the logarithm of the market capitalization of a stock [13] - **Factor Evaluation**: The factor demonstrated strong performance in recent periods, particularly over the past week, month, and year [8][10] 2. Factor Name: Beta - **Factor Construction Idea**: This factor measures the sensitivity of a stock's returns to market returns, capturing systematic risk [13] - **Factor Construction Process**: Beta is calculated as the regression coefficient of a stock's returns against market returns over the past 490 trading days [13] - **Factor Evaluation**: The factor showed strong performance in recent periods, particularly over the past week and month [8][10] 3. Factor Name: 1-Month Specificity - **Factor Construction Idea**: This factor measures the idiosyncratic component of stock returns, independent of systematic factors [13] - **Factor Construction Process**: It is calculated as \( 1 - R^2 \), where \( R^2 \) is derived from regressing daily stock returns against the Fama-French three-factor model over the past 20 trading days [13] - **Factor Evaluation**: The factor exhibited strong performance in the past week, month, and year [8][10] 4. Factor Name: 1-Month Reversal - **Factor Construction Idea**: This factor captures the short-term reversal effect, where stocks with poor recent performance tend to rebound [13] - **Factor Construction Process**: It is calculated as the cumulative return of a stock over the past 20 trading days [13] - **Factor Evaluation**: The factor performed well over the past year [8][10] 5. Factor Name: Fama-French 1-Month Residual Volatility - **Factor Construction Idea**: This factor measures the residual volatility of stock returns after accounting for systematic factors [13] - **Factor Construction Process**: It is calculated as the standard deviation of residuals from regressing daily stock returns against the Fama-French three-factor model over the past 20 trading days [13] - **Factor Evaluation**: The factor demonstrated strong performance over the past year [8][10] --- Factor Backtesting Results 1. Small Market Cap - **IC Performance**: Weekly IC: 15.09%, Monthly IC: 6.09%, Yearly IC: 3.61%, Historical IC: 2.20% [9] - **Excess Return Performance**: Weekly: 1.67%, Monthly: 2.75%, Yearly: 18.13%, Historical Cumulative: 66.36% [11] 2. Beta - **IC Performance**: Weekly IC: 13.20%, Monthly IC: 5.67%, Yearly IC: 1.79%, Historical IC: 0.38% [9] - **Excess Return Performance**: Weekly: 1.85%, Monthly: 2.84%, Yearly: 9.25%, Historical Cumulative: -8.52% [11] 3. 1-Month Specificity - **IC Performance**: Weekly IC: 11.75%, Monthly IC: 6.36%, Yearly IC: 3.19%, Historical IC: 2.40% [9] - **Excess Return Performance**: Weekly: 1.38%, Monthly: 1.99%, Yearly: 9.59%, Historical Cumulative: 16.77% [11] 4. 1-Month Reversal - **IC Performance**: Weekly IC: 9.55%, Monthly IC: 3.46%, Yearly IC: 3.54%, Historical IC: 2.23% [9] - **Excess Return Performance**: Weekly: 1.25%, Monthly: 0.32%, Yearly: 4.73%, Historical Cumulative: -0.81% [11] 5. Fama-French 1-Month Residual Volatility - **IC Performance**: Weekly IC: 4.67%, Monthly IC: 5.09%, Yearly IC: 3.37%, Historical IC: 2.54% [9] - **Excess Return Performance**: Weekly: 0.44%, Monthly: 1.59%, Yearly: 9.67%, Historical Cumulative: 19.58% [11]

Quantitative Factors and Construction Methods Factor Name: Beta - Construction Idea: Measures the sensitivity of a stock's returns to market returns[14] - Construction Process: Calculated using the weighted regression of individual stock returns against market returns over the last 490 trading days[14] - Evaluation: Beta factor performed well in the recent week[8][10] Factor Name: Turnover Rate and Average Price Correlation (1 Month) - Construction Idea: Measures the correlation between turnover rate and average price over the past month[13] - Construction Process: Calculated as the correlation coefficient between turnover rate and average price over the past 20 trading days[13] - Evaluation: This factor showed good performance in the recent week and month[8][10] Factor Name: Turnover Rate Volatility (1 Month) - Construction Idea: Measures the volatility of turnover rate over the past month[13] - Construction Process: Calculated as the standard deviation of turnover rate over the past 20 trading days[13] - Evaluation: This factor performed well in the recent month and year[8][10] Factor Name: Reversal (1 Month) - Construction Idea: Measures the cumulative returns over the past month[13] - Construction Process: Calculated as the cumulative returns over the past 20 trading days[13] - Evaluation: This factor showed good performance in the recent week and month[8][10] Factor Name: Specificity (1 Month) - Construction Idea: Measures the specificity of stock returns relative to the Fama-French three-factor model[13] - Construction Process: Calculated as 1 minus the R-squared value from the regression of daily returns against the Fama-French three factors over the past 20 trading days[13] - Evaluation: This factor performed well in the recent year[8][10] Factor Name: Residual Volatility (Fama-French Three-Factor Model, 1 Month) - Construction Idea: Measures the residual volatility of stock returns relative to the Fama-French three-factor model[13] - Construction Process: Calculated as the standard deviation of residuals from the regression of daily returns against the Fama-French three factors over the past 20 trading days[13] - Evaluation: This factor showed good performance in the recent year[8][10] Factor Name: Excess Return Volatility (1 Month) - Construction Idea: Measures the volatility of excess returns over the past month[13] - Construction Process: Calculated as the standard deviation of excess returns over the past 20 trading days[13] - Evaluation: This factor performed well in the recent year[8][10] Factor Name: Small Market Capitalization - Construction Idea: Measures the logarithm of market capitalization[13] - Construction Process: Calculated as the logarithm of market capitalization[13] - Evaluation: This factor showed good performance in the recent week and year[8][10] Factor Backtesting Results Information Coefficient (IC) Performance - Beta: Recent week IC: 13.69%, Recent month IC: 0.85%, Recent year IC: 1.73%, Historical IC: 0.44%[9] - Turnover Rate and Average Price Correlation (1 Month): Recent week IC: 11.30%, Recent month IC: 7.07%, Recent year IC: 2.49%, Historical IC: 1.70%[9] - Turnover Rate Volatility (1 Month): Recent week IC: 6.15%, Recent month IC: 5.29%, Recent year IC: 2.99%, Historical IC: 2.51%[9] - Reversal (1 Month): Recent week IC: 11.08%, Recent month IC: 4.52%, Recent year IC: 2.87%, Historical IC: 2.15%[9] - Specificity (1 Month): Recent week IC: 11.05%, Recent month IC: 3.76%, Recent year IC: 3.63%, Historical IC: 2.41%[9] - Residual Volatility (Fama-French Three-Factor Model, 1 Month): Recent week IC: 5.42%, Recent month IC: 3.27%, Recent year IC: 3.62%, Historical IC: 2.48%[9] - Excess Return Volatility (1 Month): Recent week IC: -0.20%, Recent month IC: 1.88%, Recent year IC: 3.29%, Historical IC: 2.18%[9] - Small Market Capitalization: Recent week IC: 7.12%, Recent month IC: 2.70%, Recent year IC: 2.03%, Historical IC: 1.89%[9] Long Portfolio Performance - Beta: Recent week excess return: 1.08%, Recent month excess return: -0.75%, Recent year excess return: 6.46%, Historical cumulative excess return: -5.34%[11] - Turnover Rate and Average Price Correlation (1 Month): Recent week excess return: 1.08%, Recent month excess return: 2.92%, Recent year excess return: 2.72%, Historical cumulative excess return: 16.63%[11] - Turnover Rate Volatility (1 Month): Recent week excess return: 0.93%, Recent month excess return: 1.96%, Recent year excess return: 10.68%, Historical cumulative excess return: 32.01%[11] - Reversal (1 Month): Recent week excess return: 0.37%, Recent month excess return: 0.22%, Recent year excess return: 0.75%, Historical cumulative excess return: -1.18%[11] - Specificity (1 Month): Recent week excess return: 0.67%, Recent month excess return: 0.67%, Recent year excess return: 10.17%, Historical cumulative excess return: 16.91%[11] - Residual Volatility (Fama-French Three-Factor Model, 1 Month): Recent week excess return: 0.34%, Recent month excess return: 0.82%, Recent year excess return: 8.10%, Historical cumulative excess return: 18.57%[11] - Excess Return Volatility (1 Month): Recent week excess return: 0.02%, Recent month excess return: 0.09%, Recent year excess return: 7.20%, Historical cumulative excess return: 10.83%[11] - Small Market Capitalization: Recent week excess return: 0.95%, Recent month excess return: 0.12%, Recent year excess return: 10.84%, Historical cumulative excess return: 59.20%[11]