Group 1 - The report indicates that the small-cap style outperformed last week, with the CSI 2000 index enhancement strategy achieving an excess return of 18.92% year-to-date [1] - The report tracks the performance of public index enhancement funds for major indices, including CSI 300, CSI 500, CSI 1000, and CSI 2000, as of July 11, 2025 [8] - The top three public funds for the CSI 300 index enhancement this year are: Anxin Quantitative Selected CSI 300 Index Enhancement A (003957.OF) with an excess return of 8.86%, Changxin CSI 300 Index Enhancement A (005137.OF) with 5.91%, and Changcheng Jiutai CSI 300 A (200002.OF) with 5.33% [9] Group 2 - For the CSI 500 index enhancement, the top three funds this year are: Zhongou CSI 500 Index Enhancement A (015453.OF) with 9.15%, Penghua CSI 500 Index Enhancement A (014344.OF) with 7.72%, and Baodao CSI 500 Index Enhancement A (006593.OF) with 7.46% [16] - The CSI 1000 index enhancement funds show the best performers as: Guojin CSI 1000 Index Enhancement A (017846.OF) with 13.65%, ICBC Credit Suisse CSI 1000 Index Enhancement A (016942.OF) with 13.62%, and Huitianfu CSI 1000 Index Enhancement A (017953.OF) with 11.89% [22] - The top three funds for the CSI 2000 index enhancement this year are: Huitianfu CSI 2000 Index Enhancement A (019318.OF) with 14.1%, Penghua CSI 2000 Index Enhancement A (017892.OF) with 13.04%, and Tianhong CSI 2000 Index Enhancement A (017547.OF) with 10.94% [27] Group 3 - The report highlights that the excess returns of various factors within the CSI indices are tracked, with significant factors identified for each index [7] - For the CSI 300, the best-performing factors last week were market capitalization, high-frequency minute data, and valuation [34] - In the CSI 500, the top factors were high-frequency minute data, growth, and market capitalization [42]

金融工程 | 动态跟踪 报告发布日期 2025 年 03 月 16 日 杨怡玲 yangyiling@orientsec.com.cn 执业证书编号：S0860523040002 研究结论 风格表现监控 ——东方因子周报 ⚫ 以沪深 300 指数为选股空间，最近一周，单季 ROE、一个月反转等因子表现较好， 而非流动性冲击、三个月换手等因子表现较差。最近一月，一个月反转、单季 ROA 等因子表现较好，而 BP、非流动性冲击等因子表现较差。 ⚫ 以中证 500 指数为选股空间，最近一周，预期 EPTTM、一个月反转等因子表现较 好，而单季营收同比增速、分析师认可度等因子表现较差。最近一月，高管薪酬、 一年动量等因子表现较好，而六个月 UMR、三个月换手等因子表现较差。 ⚫ 以中证 800 指数为选股空间，最近一周，一个月反转、预期 EPTTM 等因子表现较 好，而非流动性冲击、一个月换手等因子表现较差。最近一月，一个月反转、 PB_ROE_排序差等因子表现较好，而 BP、六个月 UMR 等因子表现较差。 ⚫ 以中证 1000 指数为选股空间，最近一周，一个月反转、预期 EPTTM 等因子表现较 好，而标准化预期 ...