权益因子观察周报第104期：上月小市值风格占优高频分钟、价量因子表现较好

国泰君安证券股...12-03

本报告导读：大类因子表现上，上周沪深300 内超额收益较好的是市值、公司治理、高频分钟。中证500 内较好的是市值、高频分钟、公司治理。中证1000 内较好的是盈利、超预期、高频分钟。中证2000 内较好的是市值、价量、分析师超预期。中证全指内较好的是市值、高频分钟、价量。沪深300 增强上周超额-0.32%；本年超额3.14%。中证500 增强上周超额0.2%；本年超额5.49%。中证1000...

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href=http://gu.qq.com/resources/shy/news/detail-v2/index.html#/?id=nesSN20241203112134abf18ce6&s=b><strong>国泰君安证券股...</strong></a>\n\n\n</h4>\n\n</header>\n<article>\n<div>\n<p>本报告导读：大类因子表现上，上周沪深300 内超额收益较好的是市值、公司治理、高频分钟。中证500 内较好的是市值、高频分钟、公司治理。中证1000 内较好的是盈利、超预期、高频分钟。中证2000 内较好的是市值、价量、分析师超预期。中证全指内较好的是市值、高频分钟、价量。沪深300 增强上周超额-0.32%；本年超额3.14%。中证500 增强上周超额0.2%；本年超额5.49%。中证1000...</p>\n\n<a 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the price-volume factor performed well","themeId":null,"isJumpTheme":false,"ttsUrl":null,"symbols_score_info":{"159680":1,"159982":0.9,"399300":0.9,"561300":1,"561950":1,"000852":0.9,"000905":0.9,"000001.SH":0.9},"content_text":"本报告导读：大类因子表现上，上周沪深300 内超额收益较好的是市值、公司治理、高频分钟。中证500 内较好的是市值、高频分钟、公司治理。中证1000 内较好的是盈利、超预期、高频分钟。中证2000 内较好的是市值、价量、分析师超预期。中证全指内较好的是市值、高频分钟、价量。沪深300 增强上周超额-0.32%；本年超额3.14%。中证500 增强上周超额0.2%；本年超额5.49%。中证1000增强上周超额0.79%；本年超额5.55%。中证2000 增强上周超额1.17%；本年超额 10.9%。投资要点：公募指数增强 基金表现。截至 2024 年 11 月 29 日,沪深 300 增强基金本年收益排名前三的是海富通沪深300 指数增强A（004513.OF）、易方达沪深300 精选增强A（010736.OF）、国泰沪深300ETF（561300.SH),超额分别为5.82%、4.76%、4.61%。中证500 增强基金本年排名前三的是招商中证500 增强策略ETF（561950.SH）、长信中证500 指数增强A （ 004945.OF）、国泰君安中证500A（014155.OF),超额分别为7.34%、6.25%、5.86%。中证1000 增强基金本年排名前三的是博时中证1000 指数增强A（016936.OF）、招商1000ETF 增强（159680.SZ）、泰国君安中证1000 指数增强A（015867.OF),超额分别为12%、11.42%、9.64%。国证2000 增强基金本年排名前三的是鑫元国证2000 指数增强A（018579.OF）、汇添富国证2000 指数增强A（019318.OF）、中欧国证2000 指数增强A（018663.OF),超额分别为8.1%、5.62%、4.61%。单因子表现。沪深300 内上周（2024-11-25 至2024-11-29）超额较好的因子是单季度扣非净利润、5 分钟特质残差的峰度、1 分钟收益率峰度。中证500 内较好的是过去90 日公告后报告上调比例、一个月涨跌幅、5 日持股比例变动。中证1000 内较好的是单季度GPOA、单季度营业收入同比增长率、标准化预期外归母净利润同比。中证2000 内较好的是20 日日均交易金额、过去90 日公告后报告上调-下调比例、分析师预测目标价收益率。中证全指内较好的是除去早盘30 分钟后的涨跌幅、过去90 日公告后报告上调比例、分析师预测营收增长率-FY3。大类因子表现。上周沪深300 内超额收益较好的是市值、公司治理、高频分钟。中证500 内较好的是市值、高频分钟、公司治理。中证1000 内较好的是盈利、超预期、高频分钟。中证2000 内较好的是市值、价量、分析师超预期。中证全指内较好的是市值、高频分钟、价量。指数增强组合表现。成分股内选股，截至2024 年11 月29 日，沪深300 指数增强策略上周收益1%，超额为-0.32%；本年收益18.8%，超额为3.14%，超额最大回撤为-6.51%。中证500 指数增强策略上周收益1.97%，超额收益为0.2%；本年收益13.67%，超额收益为5.49%，超额收益最大回撤为-5.99%。中证1000 指数增强策略上周收益3.42%，超额为0.79%；本年收益11.26%，超额为5.55%，超额最大回撤为-6.91%。中证2000 指数增强策略上周收益5.39%，超额为1.17%；本年收益13.77%，超额为10.9%，超额最大回撤为-3.92%。风险提示：量化模型基于历史数据构建，而历史规律存在失效风险。","kind":"news","is_publish_news":true,"is_publish_highlight":false,"is_publish_live":false,"is_publish_wemedia":null,"editions":null,"column":"","sentiment":"0","news_tag":"","news_rank":0,"symbols":[],"gpt_button":1},"commentList":[],"isCommentEnd":true,"newsSizeData":{"likeSize":0,"commentSize":0,"repostSize":0,"favoriteSize":0,"likeStatus":false,"favoriteStatus":false},"APP":{"userAgent":"Mozilla/5.0 AppleWebKit/537.36 (KHTML, like Gecko; compatible; ClaudeBot/1.0; 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权益因子观察周报第104期：上月小市值风格占优 高频分钟、价量因子表现较好

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权益因子观察周报第104期：上月小市值风格占优高频分钟、价量因子表现较好