敬请阅读末页的重要说明 本周 Beta 与小市值风格强劲 ——因子周报 20250606 金融工程 1. 主要市场指数与风格表现回顾 2. 选股因子表现跟踪 沪深 300 股票池中，本周单季度 EP、单季度 ROE、单季度 ROA 因子表 现较好。中证 500 股票池中，本周单季度 ROE 同比、标准化预期外盈利、20 日反转因子表现较好。中证 800 股票池中，本周单季度 EP、单季度 ROE、单 季度 ROE 同比因子表现较好。中证 1000 股票池中，本周单季度 ROE 同比、 单季度 ROA 同比、单季度营业收入同比增速因子表现较好。沪深 300ESG 股 票池中，本周对数市值、单季度 EP、60 日偏度因子表现较好。全市场股票池 中，本周对数市值、20 日反转、20 日特异度因子表现较好。 3. 量化基金表现 指数增强型基金方面，本周沪深 300 指数增强产品超额收益的平均值为 0.08%，中证 500 指数增强产品超额收益的平均值为 0.07%，中证 1000 指数 增强产品超额收益的平均值为 0.31%。 主动量化基金中，本周业绩最好的为汇安成长优选 A（005550.OF）。对冲 型基金中，本 ...

Group 1 - The core viewpoint of the news is that both Huaxia Antai and Invesco Great Wall have announced scale control measures for their hedge fund strategies during the open subscription periods, indicating a cautious approach to fund management amid market fluctuations [1][2][5] - Huaxia Antai Hedge Strategy has set a total scale limit of 2.3 billion RMB for its open period from May 16 to May 22, 2025, to protect the interests of existing fund holders [2][5] - Invesco Great Wall's hedge strategy has a scale limit of 3 billion RMB for its upcoming open period from May 9 to May 15, 2025, also employing a "proportional confirmation" principle for subscription applications [5][6] Group 2 - Despite the positive performance of hedge funds this year, with an average return of 0.85% and nearly 80% achieving positive returns, the overall scale of hedge strategy funds has been shrinking since the second half of last year [7][8] - As of the end of the first quarter, the total scale of hedge strategy funds was approximately 5.5 billion RMB, a decrease of nearly 20% from the end of last year and over 35% compared to mid-last year [9] - The market environment has shown resilience, but the performance of hedge funds has been mixed, with smaller, high-growth stocks performing better than high-profit, low-valuation stocks, leading to a general underperformance of quantitative strategies [9]