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反转因子表现出色,四大指增组合本周均跑赢基准【国信金工】
量化藏经阁· 2026-02-08 07:08
Group 1 - The performance of the CSI 300 index enhanced portfolio showed an excess return of 0.24% this week and 3.21% year-to-date [6][18] - The CSI 500 index enhanced portfolio had an excess return of 0.53% this week but a negative return of -0.27% year-to-date [6][18] - The CSI 1000 index enhanced portfolio achieved an excess return of 1.63% this week and 3.92% year-to-date [6][18] - The CSI A500 index enhanced portfolio recorded an excess return of 0.40% this week and 3.28% year-to-date [6][18] Group 2 - In the CSI 300 component stocks, factors such as single-season SP, SPTTM, and single-season EP performed well [7][9] - For CSI 500 component stocks, factors like one-month volatility, three-month reversal, and one-month reversal showed strong performance [9][11] - In the CSI 1000 component stocks, one-month reversal, three-month reversal, and non-liquidity shock factors performed well [9][13] - The CSI A500 index component stocks saw good performance from one-month volatility, single-season EP, and three-month turnover factors [9][15] Group 3 - The CSI 300 index enhanced products had a maximum excess return of 1.24% and a minimum of -1.45% this week, with a median of 0.11% [22] - The CSI 500 index enhanced products had a maximum excess return of 1.27% and a minimum of -0.80% this week, with a median of 0.24% [23] - The CSI 1000 index enhanced products had a maximum excess return of 1.54% and a minimum of -0.91% this week, with a median of 0.22% [25] - The CSI A500 index enhanced products had a maximum excess return of 1.28% and a minimum of -1.99% this week, with a median of 0.14% [29]