20250628-天风证券-因子跟踪周报_小市值_Beta因子表现较好_7页_787kb

Financial Engineering Factor Tracking Weekly Report Summary

Date: June 28, 2025
Author: Wu Xianxing, Analyst

IC Performance

• Recent week: Small市值, Beta, and 1-month heterogeneity factors performed well (high IC); bp three-year percentile, dividend yield, and quarter ep factors underperformed.
• Recent month: Small市值, Beta, and 1-month heterogeneity factors strong; top five shareholders' shareholding ratio, consistent EPS change, and one-year momentum weak.
• Recent year: Small市值, one-month reversal, and Fama-French three-factor monthly residual volatility factors excel; one-year momentum, quarterly ROE, and quarterly ROA less effective.

Long-Only Portfolio Performance

• Recent week: Beta, small市值, and performance forecast accuracy factors led; financial report exceeding research forecast, standardized expected-outside earnings, and 90-day expectation adjustments underperformed.
• Recent month: Beta, small市值, and 1-month heterogeneity strong; standardized expected-outside earnings, bp three-year percentile, and one-month non-liquidity impact weaker.
• Recent year: Small市值, one-month turnover fluctuation, and one-month daily turnover key performers; standardized expected-outside earnings, 90-day expectation adjustments, and related factors lagged.

Risk and Notes

• Market environment changes risk; model based on historical data.
• Factors categorized into valuation, profitability, growth, dividends, reversal, turnover, and analyst metrics.

Disclaimer

• Full report disclosure required; summaries not exhaustive.