Core Insights - Dazhihui's stock increased by 5.02% to 16.52 CNY per share, with a trading volume of 1.471 billion CNY and a turnover rate of 4.62%, resulting in a total market capitalization of 32.861 billion CNY [1] Company Overview - Shanghai Dazhihui Co., Ltd. was established on December 14, 2000, and listed on January 28, 2011. The company specializes in internet financial information services, focusing on three main business segments: securities information services, big data and data engineering services, and overseas business [1] - The revenue composition of Dazhihui includes: - Financial information and data PC terminal services: 50.75% - Hong Kong stock service system: 15.50% - Advertising and internet business promotion services: 13.73% - Comprehensive services for securities companies: 11.56% - Other segments: 3.54% (mobile terminal services: 3.32%, live social platform: 0.57%, insurance brokerage: 0.44%) [1] Fund Holdings - Guolianan Fund has a significant holding in Dazhihui, with its Guolianan CSI 1000 Index Enhanced A fund (016962) holding 100,100 shares, accounting for 0.8% of the fund's net value, making it the second-largest holding. The estimated floating profit for today is approximately 79,100 CNY [2] - The Guolianan CSI 1000 Index Enhanced A fund was established on December 5, 2022, with a current size of 106 million CNY. Year-to-date returns are 33.19%, ranking 1490 out of 4221 in its category, while the one-year return is 60.9%, ranking 1141 out of 3836 [2] Fund Manager Information - The fund manager of Guolianan CSI 1000 Index Enhanced A is Zhang Zhenyuan, who has been in the position for 11 years and 302 days, managing assets totaling 40.822 billion CNY, with the best fund return during his tenure being 387.76% and the worst being -35.8% [3] - Co-manager Zhang Yeyuan has been in the role for 1 year and 26 days, managing assets of 12.7 million CNY, with the best return of 70.71% and the worst return of 70.35% during his tenure [3]

数据显示，国联安基金旗下1只基金位居赛微电子十大流通股东。国联安中证全指半导体产品与设备 ETF联接A（007300）二季度增持49.55万股，持有股数543.24万股，占流通股的比例为0.91%。根据测 算，今日浮盈赚取约771.41万元。连续3天上涨期间浮盈赚取1722.08万元。 国联安中证全指半导体产品与设备ETF联接A（007300）成立日期2019年6月26日，最新规模16.69亿。 今年以来收益36.93%，同类排名1144/4222；近一年收益113.21%，同类排名235/3813；成立以来收益 176.44%。 国联安中证全指半导体产品与设备ETF联接A（007300）基金经理为黄欣、章椹元。 9月22日，赛微电子涨5.37%，截至发稿，报27.86元/股，成交6.88亿元，换手率4.21%，总市值203.99亿 元。赛微电子股价已经连续3天上涨，区间累计涨幅13.62%。 资料显示，北京赛微电子股份有限公司位于北京市西城区裕民路18号北环中心A座2607室(德胜园区),北 京市北京经济技术开发区科创八街21号院1号楼，成立日期2008年5月15日，上市日期2015年5月14日， 公司主营 ...

9月18日，赛微电子涨5.19%，截至发稿，报26.53元/股，成交11.42亿元，换手率7.50%，总市值194.26 亿元。 资料显示，北京赛微电子股份有限公司位于北京市西城区裕民路18号北环中心A座2607室(德胜园区),北 京市北京经济技术开发区科创八街21号院1号楼，成立日期2008年5月15日，上市日期2015年5月14日， 公司主营业务涉及MEMS工艺开发及晶圆制造、GaN外延材料生长及芯片设计。主营业务收入构成为： MEMS晶圆制造54.30%，MEMS工艺开发39.14%，其他4.90%，半导体设备1.67%。 从赛微电子十大流通股东角度 数据显示，国联安基金旗下1只基金位居赛微电子十大流通股东。国联安中证全指半导体产品与设备 ETF联接A（007300）二季度增持49.55万股，持有股数543.24万股，占流通股的比例为0.91%。根据测 算，今日浮盈赚取约711.65万元。 国联安中证全指半导体产品与设备ETF联接A（007300）成立日期2019年6月26日，最新规模16.69亿。 今年以来收益37.14%，同类排名1210/4222；近一年收益113.8%，同类排名230/3804； ...

Quantitative Factors and Construction Methods - **Factor Name**: Single-quarter ROE **Construction Idea**: This factor measures the return on equity (ROE) for a single quarter, reflecting the profitability of a company relative to its equity base[2][18] **Construction Process**: The formula for single-quarter ROE is: $ Quart\_ROE = \frac{Net\ Income \times 2}{Beginning\ Equity + Ending\ Equity} $ Here, "Net Income" represents the net profit for the quarter, and "Beginning Equity" and "Ending Equity" are the equity values at the start and end of the quarter, respectively[18] **Evaluation**: This factor performed well in the CSI All Share Index space during the past week, indicating its effectiveness in identifying profitable stocks[2][42] - **Factor Name**: Single-quarter ROA **Construction Idea**: This factor evaluates the return on assets (ROA) for a single quarter, assessing how efficiently a company utilizes its assets to generate profits[18] **Construction Process**: The formula for single-quarter ROA is: $ Quart\_ROA = \frac{Net\ Income \times 2}{Beginning\ Assets + Ending\ Assets} $ "Net Income" is the quarterly net profit, while "Beginning Assets" and "Ending Assets" are the total assets at the start and end of the quarter, respectively[18] **Evaluation**: This factor also demonstrated strong performance in the CSI All Share Index space over the past week, highlighting its utility in asset efficiency analysis[2][42] - **Factor Name**: Standardized Unexpected Earnings (SUE) **Construction Idea**: This factor captures the deviation of actual earnings from expected earnings, standardized by the standard deviation of expected earnings, to measure earnings surprises[18] **Construction Process**: The formula for SUE is: $ SUE = \frac{Actual\ Earnings - Expected\ Earnings}{Standard\ Deviation\ of\ Expected\ Earnings} $ "Actual Earnings" refers to the reported earnings, while "Expected Earnings" and their standard deviation are derived from analyst forecasts[18] **Evaluation**: This factor showed significant positive performance in the National SME Index (CSI 2000) and the ChiNext Index spaces, indicating its effectiveness in identifying earnings surprises[36][39] Factor Backtesting Results - **Single-quarter ROE**: - CSI All Share Index: Weekly return of 1.46%, monthly return of 1.95%, annualized return over the past year of -1.73%, and historical annualized return of 4.88%[42][43] - **Single-quarter ROA**: - CSI All Share Index: Weekly return of 1.09%, monthly return of 1.33%, annualized return over the past year of 0.27%, and historical annualized return of 4.14%[42][43] - **Standardized Unexpected Earnings (SUE)**: - National SME Index (CSI 2000): Weekly return of 6.41%, monthly return of 19.22%, annualized return over the past year of 32.33%, and historical annualized return of 10.98%[36] - ChiNext Index: Weekly return of 7.76%, monthly return of 26.34%, annualized return over the past year of 44.74%, and historical annualized return of 7.82%[39] Composite Factor Portfolio Construction - **MFE Portfolio Construction**: **Idea**: The Maximized Factor Exposure (MFE) portfolio is designed to maximize the exposure to a single factor while controlling for constraints such as industry and style exposures, stock weight deviations, and turnover[55][59] **Optimization Model**: The optimization problem is formulated as: $ \begin{array}{ll} max & f^{T}w \\ s.t. & s_{l} \leq X(w-w_{b}) \leq s_{h} \\ & h_{l} \leq H(w-w_{b}) \leq h_{h} \\ & w_{l} \leq w-w_{b} \leq w_{h} \\ & b_{l} \leq B_{b}w \leq b_{h} \\ & 0 \leq w \leq l \\ & 1^{T}w = 1 \\ & \Sigma|w-w_{0}| \leq to_{h} \end{array} $ Here, $f$ represents the factor values, $w$ is the weight vector, and the constraints include style, industry, stock weight, and turnover limits[55][58] **Evaluation**: The MFE portfolio approach ensures that factor effectiveness is tested under realistic constraints, making it a robust method for evaluating factor performance[55][59] MFE Portfolio Backtesting Results - **CSI 300 Index**: - Weekly excess return: Maximum 1.05%, minimum -0.81%, median 0.00%[46][49] - Monthly excess return: Maximum 3.00%, minimum -1.15%, median 0.30%[46][49] - **CSI 500 Index**: - Weekly excess return: Maximum 1.00%, minimum -0.08%, median 0.40%[50][52] - Monthly excess return: Maximum 2.73%, minimum -0.42%, median 0.99%[50][52] - **CSI 1000 Index**: - Weekly excess return: Maximum 0.82%, minimum -0.26%, median 0.28%[53][54] - Monthly excess return: Maximum 3.52%, minimum -0.08%, median 1.72%[53][54]