证券研究报告 | 2025年10月11日 多因子选股周报 超额全线回暖，四大指增组合本周均跑赢基准 核心观点 金融工程周报 国信金工指数增强组合表现跟踪 因子表现监控 以沪深 300 指数为选股空间。最近一周，预期 EPTTM、一个月波动、BP 等因子表现较好，而单季营收同比增速、三个月机构覆盖、3 个月盈利上下 调等因子表现较差。 以中证 500 指数为选股空间。最近一周，SPTTM、预期 BP、单季 EP 等因 子表现较好，而一年动量、预期 PEG、标准化预期外收入等因子表现较差。 以中证 1000 指数为选股空间。最近一周，EPTTM、SPTTM、预期 EPTTM 等因子表现较好，而预期净利润环比、一年动量、单季营收同比增速等因子 表现较差。 以中证 A500 指数为选股空间。最近一周，单季 SP、SPTTM、一个月波动 等因子表现较好，而单季营收同比增速、一年动量、三个月机构覆盖等因子 表现较差。 以公募重仓指数为选股空间。最近一周，预期 EPTTM、单季 EP、一个月波 动等因子表现较好，而一年动量、单季营收同比增速、预期净利润环比等因 子表现较差。 公募基金指数增强产品表现跟踪 目前，公募基金沪深 ...

Group 1 - The core viewpoint of the article highlights the performance of various index-enhanced portfolios, indicating that the CSI 300 and CSI 500 index-enhanced portfolios achieved positive excess returns, while the CSI 1000 index-enhanced portfolio experienced a slight decline in excess returns this week [1][2][18]. Group 2 - The CSI 300 index-enhanced portfolio recorded an excess return of 0.44% this week and 0.80% year-to-date [1][2]. - The CSI 500 index-enhanced portfolio also achieved an excess return of 0.44% this week and 1.81% year-to-date [1][2]. - The CSI 1000 index-enhanced portfolio saw a decrease of 0.13% in excess return this week, with a year-to-date excess return of 0.50% [1][2]. Group 3 - In the CSI 300 component stocks, factors such as three-month turnover, dividend yield, and one-month turnover performed well [5]. - For the CSI 500 component stocks, factors like executive compensation, expected net profit month-on-month, and dividend yield showed strong performance [6]. - In the CSI 1000 component stocks, factors such as expected PEG, SPTTM, and one-month volatility performed well [10]. Group 4 - The public fund index-enhanced products for the CSI 300 had a maximum excess return of 1.67%, a minimum of -2.70%, and a median of 0.11% this week [18]. - The CSI 500 index-enhanced products had a maximum excess return of 1.55%, a minimum of -0.45%, and a median of 0.38% this week [19]. - The CSI 1000 index-enhanced products recorded a maximum excess return of 1.59%, a minimum of -0.87%, and a median of 0.30% this week [21].