> **来源：[研报客](https://pc.yanbaoke.cn)** # 招商因子周报 20260605 总结 ## 核心内容概述 本周A股市场主要宽基指数整体下跌，其中北证50表现突出，上涨4.42%。其他主要指数如创业板指、深证成指、沪深300等均出现不同程度的下跌。从行业表现来看，煤炭、通信、石油石化、机械、银行等板块表现较好，而电力设备及新能源、医药、食品饮料、建材、农林牧渔等行业表现较差。风格因子方面，市值因子与Beta因子表现尤为显著，小盘股与高Beta股票跑赢大盘股与低Beta股票。 ## 主要观点 - **宽基指数表现**：大部分宽基指数下跌，北证50为唯一上涨指数，涨幅达4.42%。近一月主要指数也以下跌为主，但创业板指上涨7.64%。 - **行业表现**：煤炭、通信、石油石化、机械、银行等行业表现领先，而电力设备及新能源、医药、食品饮料、建材、农林牧渔等行业表现落后。 - **风格因子表现**：市值因子与Beta因子在本周表现突出，市值因子多空收益为-2.57%，Beta因子多空收益为1.46%。过去一个月，Beta因子表现更为显著，多空收益达15.08%。 - **选股因子表现**：不同股票池中，表现较好的因子有所差异，如沪深300股票池中240日三因子模型残差波动率、BP、单季度ROE表现较好，而中证500股票池中240日偏度、240日三因子模型残差波动率、60日收益率标准差表现较好。 - **量化基金表现**：指数增强型基金超额收益不一，其中沪深300指数增强产品平均超额收益为0.11%，中证500指数增强产品为-0.18%，中证1000指数增强产品为-0.14%。主动量化基金中，德邦民裕进取量化精选A表现最佳，周度收益为4.50%；对冲型基金中，汇添富绝对收益策略A表现最佳，周度收益为1.31%。 - **招商证券量化指数增强组合表现**：沪深300指数增强组合近一周超额收益为-0.03%，中证500指数增强组合为-0.04%，中证800指数增强组合为-0.30%，中证1000指数增强组合为-0.22%，沪深300 ESG 股票池下的组合为-0.43%。 ## 关键信息 ### 宽基指数表现回顾 | 指数名称 | 近一周 | 近一月 | 近一年 | 近五年 | |----------|--------|--------|--------|--------| | 北证50 | 4.42% | -2.33% | -9.45% | - | | 中证2000 | -0.12% | -1.31% | 32.99% | 60.35% | | 中证1000 | -0.81% | -0.49% | 35.25% | 22.92% | | 上证指数 | -1.00% | -2.05% | 19.02% | 12.14% | | 中证500 | -1.30% | -1.18% | 43.00% | 23.28% | | 中证800 | -1.47% | -0.19% | 29.04% | -1.73% | | 沪深300 | -1.54% | 0.20% | 24.23% | -8.81% | | 深证成指 | -1.67% | 1.37% | 50.09% | 2.98% | | 创业板指 | -1.98% | 7.64% | 93.20% | 22.06% | ### 行业指数表现回顾 | 行业名称 | 近一周 | 近一月 | 近一年 | 近五年 | |----------|--------|--------|--------|--------| | 煤炭 | 6.98% | 3.48% | 42.65% | 122.50% | | 通信 | 3.88% | 25.28% | 203.59% | 337.27% | | 石油石化 | 2.37% | -11.48% | 28.92% | 40.34% | | 机械 | 1.34% | 1.68% | 49.03% | 49.13% | | 银行 | 1.06% | -1.26% | -3.19% | 27.34% | | 综合 | 0.76% | -10.25% | -6.04% | -30.07% | | 家电 | 0.03% | -2.55% | 9.07% | 15.46% | | 基础化工 | -0.01% | -7.02% | 46.61% | 15.79% | | 国防军工 | -0.05% | -7.82% | 23.29% | 25.88% | | 电子 | -0.80% | 16.31% | 109.80% | 97.40% | | 纺织服装 | -1.35% | -7.93% | 5.86% | -0.62% | | 轻工制造 | -1.37% | -9.32% | 11.07% | -14.02% | | 非银行金融 | -1.56% | -7.68% | -3.56% | -2.90% | | 建筑 | -1.86% | -7.60% | 6.02% | 18.83% | | 计算机 | -1.87% | -5.34% | 13.98% | 14.67% | | 汽车 | -1.92% | -5.95% | 5.29% | 38.71% | | 钢铁 | -2.03% | -12.53% | 12.18% | -3.74% | | 有色金属 | -2.07% | -8.61% | 84.51% | 111.27% | | 交通运输 | -2.20% | -4.49% | -2.91% | 1.30% | | 传媒 | -2.70% | -10.15% | 4.88% | 17.57% | | 消费者服务 | -2.88% | -11.56% | -11.47% | -64.26% | | 房地产 | -2.94% | -8.39% | -0.46% | -41.41% | | 电力及公用事业 | -3.14% | 2.08% | 16.05% | 40.99% | | 综合金融 | -3.46% | -14.64% | -16.43% | -15.26% | | 商贸零售 | -3.48% | -6.89% | -10.27% | -16.47% | | 农林牧渔 | -3.97% | -16.47% | -9.18% | -30.99% | | 建材 | -4.08% | 0.76% | 46.10% | -15.55% | | 食品饮料 | -4.10% | -9.14% | -16.82% | -48.96% | | 医药 | -4.41% | -11.06% | -7.45% | -44.31% | | 电力设备及新能源 | -4.86% | -5.31% | 54.17% | 28.10% | ### 风格因子表现回顾 | 因子名称 | 近一周多空收益 | 近一月多空收益 | |----------|----------------|----------------| | Beta因子 | 1.46% | 15.08% | | 流动性因子 | 1.34% | 5.98% | | 波动性因子 | 0.85% | 9.70% | | 动量因子 | 0.44% | 11.16% | | 非线性市值因子 | 0.24% | -1.40% | | 成长因子 | -0.52% | 1.51% | | 估值因子 | -0.60% | -8.78% | | 盈利因子 | -0.89% | 0.97% | | 杠杆因子 | -1.27% | -1.96% | | 市值因子 | -2.57% | 8.56% | ### 选股因子表现跟踪 #### 沪深300股票池 | 因子名称 | 最近一周 | 最近一月 | 最近一年 | 最近十年 | |----------|----------|----------|----------|----------| | 240日三因子模型残差波动率 | 0.92% | -1.87% | -10.94% | 2.23% | | BP | 0.84% | -1.27% | -3.25% | 2.79% | | 单季度ROE | 0.64% | 1.31% | 11.79% | 3.52% | | 60日换手率 | 0.61% | 0.26% | -7.80% | 2.04% | | 60日成交额 | 0.51% | -0.61% | -9.40% | 0.51% | | 单季度ROA | 0.40% | 3.40% | 16.80% | 3.98% | | 标准化预期外收入 | 0.40% | 1.91% | 12.41% | 3.86% | | 流动比率 | 0.28% | 0.74% | 8.86% | 2.48% | | 60日特异度 | 0.34% | -2.57% | -7.36% | 1.67% | | 20日三因子模型残差波动率 | 0.32% | -0.95% | -6.69% | -0.73% | | 60日换手率波动 | 0.25% | -0.44% | -5.96% | 1.95% | | 20日成交量比率 | 0.04% | -1.42% | -0.02% | 0.39% | | 单季度毛利率 | 0.03% | 0.36% | 9.65% | 1.76% | | 盈余质量 | 0.03% | -0.87% | -3.44% | 0.50% | | 60日成交量变异系数 | 0.03% | 1.90% | 4.44% | 0.66% | | 单季度营业利润率 | 0.03% | -0.79% | 2.79% | 1.29% | | 单季度净利润率 | 0.03% | 0.54% | 5.00% | 1.23% | | 单季度营业收入同比增速 | 0.03% | 1.52% | 20.74% | 3.65% | | 60日动量 | 0.03% | -0.61% | -0.51% | -0.22% | | 单季度营业利润同比增速 | 0.03% | -1.81% | 6.65% | 3.19% | | 20日成交量比率 | 0.03% | -2.70% | -2.17% | -0.37% | | 60日换手率 | 0.03% | -3.72% | -16.87% | 2.28% | | 20日换手率波动 | 0.03% | -4.84% | -22.89% | 1.26% | | 单季度ROE | 0.03% | -2.09% | 2.50% | 4.32% | | 20日非流动性冲击 | 0.03% | -1.50% | -13.00% | -0.13% | | 240日动量 | 0.03% | -1.92% | 10.34% | 1.08% | | 前五大股东持股比例 | 0.03% | -1.44% | -6.56% | 3.31% | | 单季度EP | 0.03% | -0.67% | 3.10% | 2.77% | | 60日偏度 | 0.03% | 2.53% | 3.42% | 1.84% | #### 中证500股票池 | 因子名称 | 最近一周 | 最近一月 | 最近一年 | 最近十年 | |----------|----------|----------|----------|----------| | 240日偏度 | -0.86% | 3.59% | 4.54% | 2.14% | | 240日三因子模型残差波动率 | 0.77% | 0.52% | -5.08% | 2.65% | | 60日收益率标准差 | 0.74% | -1.83% | -18.36% | 0.07% | | 20日成交量变异系数 | 0.58% | 2.32% | 2.24% | -1.70% | | 标准化预期外盈利 | 0.34% | -2.53% | 3.11% | 3.72% | | 标准化预期外收入 | 0.27% | -0.30% | 8.62% | 4.84% | | BP | 0.24% | -0.61% | 6.55% | 3.99% | | 60日成交量比率 | 0.05% | -1.42% | -0.02% | 0.39% | | 20日特异度 | 0.05% | -3.00% | -9.98% | -0.55% | | 单季度营业利润率 | 0.05% | -0.94% | 2.79% | 1.92% | | 60日非流动性冲击 | 0.05% | -0.27% | -4.41% | 0.22% | | 单季度营业收入同比增速 | 0.05% | 1.52% | 20.74% | 3.65% | | 单季度净利润率 | 0.05% | 0.54% | 5.00% | 1.23% | | 20日成交额 | 0.05% | -2.22% | -17.04% | 0.63% | | 单季度EP | 0.05% | -0.61% | 3.10% | 2.77% | | 60日特异度 | 0.05% | -1.07% | -3.57% | 0.83% | | 20日换手率波动 | 0.05% | -4.84% | -22.89% | 1.26% | | 单季度ROA | 0.05% | -1.32% | 6.39% | 1.72% | | 60日换手率波动 | 0.05% | -1.09% | -12.71% | 2.76% | | 20日非流动性冲击 | 0.05% | -1.50% | -13.00% | -0.13% | | 单季度毛利率 | 0.05% | -0.84% | 1.42% | 1.76% | | 60日偏度 | 0.05% | 0.86% | -1.65% | 0.98% | | 20日收益率标准差 | 0.05% | -4.83% | -19.09% | -1.84% | | 前五大股东持股比例 | 0.05% | 1.04% | -2.50% | 1.77% | | 单季度ROE | 0.05% | -1.32% | 6.39% | 1.72% | #### 中证800股票池 | 因子名称 | 最近一周 | 最近一月 | 最近一年 | 最近十年 | |----------|----------|----------|----------|----------| | BP | 0.97% | -1.10% | -5.71% | 2.87% | | 240日偏度 | 0.79% | 3.16% | 8.37% | 2.72% | | 240日三因子模型残差波动率 | 0.67% | -3.15% | -16.32% | 1.33% | | 流动比率 | 0.51% | 0.68% | 5.34% | 2.63% | | 60日收益率标准差 | 0.50% | -2.95% | -18.39% | -0.51% | | 股息率 | 0.38% | 0.38% | -0.54% | 3.06% | | 标准化预期外收入 | 0.30% | 1.76% | 13.48% | 4.50% | | 20日成交量变异系数 | 0.20% | 0.60% | -2.68% | -0.12% | | 20日特异度 | 0.18% | 2.52% | 2.46% | -0.03% | | 60日动量 | 0.17% | 1.63% | 5.94% | 0.47% | | 标准化预期外盈利 | 0.11% | -0.62% | 8.93% | 3.44% | | 单季度SP | 0.10% | -3.22% | -5.76% | -0.38% | | 120日三因子模型残差波动率 | 0.07% | -3.76% | -15.62% | 0.21% | | SP_TTM | -0.05% | -2.26% | -7.76% | -0.97% | | CFEV_TTM | -0.11% | -1.07% | -5.65% | 2.16% | | 60日换手率 | -0.18% | -2.33% | -12.85% | 2.75% | | 60日反转 | -0.20% | -1.01% | -8.82% | -1.87% | | 60日成交量比率 | -0.22% | -1.79% | -7.29% | -1.31% | | 60日成交量变异系数 | -0.23% | 2.19% | 11.88% | 2.76% | | 20日三因子模型残差波动率 | -0.30% | -2.38% | -15.08% | -1.90% | | 对数市值 | -0.32% | -2.70% | -5.20% | -2.38% | | 20日反转 | -0.35% | -2.70% | -14.01% | -2.79% | | 240日动量 | -0.39% | 2.89% | 10.34% | 1.69% | | 盈余公告次日开盘跳空超额 | -0.42% | -2.43% | 9.82% | 5.87% | | 单季度营业利润率 | -0.42% | -0.94% | 7.10% | 1.92% | | 60日换手率波动 | -0.43% | -1.09% | -12.71% | 2.76% | | 单季度净利润率 | -0.43% | 0.43% | 10.39% | 2.65% | | 盈余公告前隔夜动量 | -0.46% | -0.01% | 5.51% | 2.82% | | 单季度营业收入同比增速 | -0.46% | 0.83% | 21.87% | 5.19% | | 单季度EP | -0.48% | -1.32% | 6.39% | 1.72% | | 60日特异度 | -0.48% | -1.07% | -3.57% | 0.83% | | 120日成交量比率 | -0.49% | -3.88% | -8.02% | -0.70% | | 20日非流动性冲击 | -0.50% | -1.50% | -13.00% | -0.13% | | 60日偏度 | -0.51% | 0.86% | -1.65% | 0.98% | ## 风险提示 本报告结果基于历史数据统计、建模和测算，不考虑交易费率，且在政策或市场环境发生变化时，模型可能失效。投资者需注意市场变化可能带来的风险。