金融工程研究：小市值因子回撤，其余常见选股因子普遍收益益为正

Group 1: Core Insights - The report highlights the performance of various quantitative stock portfolios, indicating a challenging week for aggressive and balanced portfolios with weekly returns of -5.91% and -6.29% respectively, while major indices showed mixed results [9][10] - The report emphasizes the relative performance of the aggressive and balanced portfolios against the CSI 500 index, with excess returns of -4.97% and -5.35% respectively during the week [9][10] - Year-to-date, the aggressive and balanced portfolios have shown cumulative returns of 18.61% and 7.68%, significantly outperforming the major indices [10] Group 2: Multi-Factor Portfolio Performance - The report details the performance of enhanced index portfolios, noting that the CSI 300 enhanced portfolio had a weekly return of -0.62%, underperforming the index by -0.63% [12][13] - The CSI 1000 enhanced portfolio, however, achieved a positive excess return of 0.70% despite a weekly return of -1.44% [12] - Cumulatively, the CSI 1000 enhanced portfolio has outperformed its index year-to-date with a return of 8.34% compared to the index's 5.21% [13] Group 3: Fund Holdings Performance - The report indicates that the unique holdings of high-performing funds yielded a weekly return of 0.31%, outperforming the total stock fund index by 1.94% [17] - Year-to-date, this fund's cumulative return stands at 8.22%, exceeding the total stock fund index's return of 4.49% [17] Group 4: Profitability, Growth, and Cash Flow Portfolio - The profitability, growth, and cash flow portfolio achieved a weekly return of 1.31%, significantly outperforming the CSI 300 index by 1.29% [19] - Cumulatively, this portfolio has returned 8.72% since the beginning of March, compared to the CSI 300 index's 0.65% [19] Group 5: Low Valuation Portfolio with Fundamental Support - The PB-profitability preferred portfolio reported a weekly return of -0.21%, underperforming the CSI 300 index by -0.22% [20] - However, this portfolio has shown a cumulative return of 5.21% since the beginning of March, outperforming the index [20] Group 6: Small Cap Value and Growth Portfolios - The small-cap value preferred portfolios had weekly returns of -2.81% and -4.17%, with the first portfolio outperforming the micro-cap index by 1.64% [25][26] - The small-cap growth portfolio achieved a weekly return of -2.83%, outperforming the micro-cap index by 1.62% [28] Group 7: Single Factor Performance - The report notes that large-cap stocks outperformed small-cap stocks, and low valuation stocks outperformed high valuation stocks in the style factor category [31] - In the technical factor category, reversal, turnover, and volatility factors contributed positively to returns [35] - The fundamental factor category showed positive contributions from ROE, SUE, and expected net profit adjustment factors [38]