東方因子周報(bào)：Beta風(fēng)格領(lǐng)銜非流動(dòng)性沖擊因子表現(xiàn)出色

色風(fēng)格表現(xiàn)監(jiān)控本周市場正收益風(fēng)格集中在Beta風(fēng)格上好，而一年動(dòng)量、標(biāo)準(zhǔn)化預(yù)期外收入等因子表現(xiàn)較差。最近一月，特異度、一個(gè)月反轉(zhuǎn)等因子表現(xiàn)較好，而一年動(dòng)量、標(biāo)準(zhǔn)化因子表現(xiàn)較好，而單季營利同比增速、EPTTM一年分位點(diǎn)等l以中證800指數(shù)為選股空間，最近一周，三個(gè)月而預(yù)期凈利潤環(huán)比、一年動(dòng)量等因子表現(xiàn)較差。最近一月，特異度、三個(gè)月反轉(zhuǎn)等現(xiàn)較好，而單季ROE、一年動(dòng)量等因子表現(xiàn)較差。最近一月，DELTAROA、標(biāo)準(zhǔn)較好，而單季超預(yù)期幅度、盈余公告開盤跳空超額等因子表現(xiàn)較差。最近一月，標(biāo)準(zhǔn)化預(yù)期外盈利、DELTAROE等因子表現(xiàn)較l以創(chuàng)業(yè)板指指數(shù)為選股空間，最近一周，公募持股市值、三個(gè)月?lián)Q手等因子表現(xiàn)較好，而單季營收同比增速、標(biāo)準(zhǔn)化預(yù)期外收入等因子表現(xiàn)較差。最近一月，三個(gè)月?lián)Q手、非流動(dòng)性沖擊等因子表現(xiàn)較好，而單季營收同比增速、分析師認(rèn)可度等因子l以中證全指指數(shù)為選股空間，最近一周，非流動(dòng)性沖擊、三個(gè)月反轉(zhuǎn)等因子表現(xiàn)較好，而分析師認(rèn)可度、3個(gè)月盈利上下調(diào)等因子表現(xiàn)較差。最近一月，三個(gè)月反公募基金指數(shù)增強(qiáng)產(chǎn)品表現(xiàn)跟蹤l滬深300指數(shù)增強(qiáng)產(chǎn)品最近一周：超額收益最高1.86%，最低-0.99%，中位數(shù)增強(qiáng)A、安信量化精選滬深300指數(shù)增強(qiáng)A、海富通滬深l中證500指數(shù)增強(qiáng)產(chǎn)品最近一周：超額收益最高0.55%，最低-1.82%，中位數(shù)-l中證1000指數(shù)增強(qiáng)產(chǎn)品最近一周：超額收益最高0.54%，最低-2.25%，中位數(shù)-楊怡玲yangyiling@執(zhí)業(yè)證書編號(hào)：S08605230400證監(jiān)會(huì)印發(fā)促進(jìn)資本市場指數(shù)化行動(dòng)方案，QDII基金降費(fèi)潮來襲股債恒定比例指數(shù)發(fā)布，去年新增72家合格境外投資ABCM：基于神經(jīng)網(wǎng)絡(luò)的alpha因子和beta因子協(xié)同挖掘模型：——因子選股系列之一一〇DFQ機(jī)器學(xué)習(xí)行業(yè)輪動(dòng)模型：——量化策略系列之八2025-02-092025-01-282024-12-032024-11-19有關(guān)分析師的申明，見本報(bào)告最后部分。其他重要信息披露見分析師申明之后部分，或請(qǐng)與您的投資代表聯(lián)系。并請(qǐng)閱讀本證券研究報(bào)告最后一頁的免責(zé)申明。2目錄 4 5 5 6 7 8 9 10 12 13 14 14 16 有關(guān)分析師的申明，見本報(bào)告最后部分。其他重要信息披露見分析師申明之后部分，或請(qǐng)與您的投資代表聯(lián)系。并請(qǐng)閱讀本證券研究報(bào)告最后一頁的免責(zé)申明。3 4 4 5 6 7 8 9 10 12 13 14 15有關(guān)分析師的申明，見本報(bào)告最后部分。其他重要信息披露見分析師申明之后部分，或請(qǐng)與您的投資代表聯(lián)系。并請(qǐng)閱讀本證券研究報(bào)告最后一頁的免責(zé)申明。4一、風(fēng)格因子近期表現(xiàn)本周市場動(dòng)態(tài)顯示，Beta因子以4.15%的正收益表現(xiàn)最為突出，但低于上周的8.17%。較上周的4.63%有所回落。Growth因子本周收益為2.76%，較上周-1.07%有所改善。SOE因子本周收益為0.03%，較上周的1.01%益為-3.21%，較上周的-3.89%有所提升。Value因子本周收8.17%近一年趨勢(shì)近十年趨勢(shì)今年以來歷史年化上一周近一周8.17%近一年趨勢(shì)近十年趨勢(shì)今年以來歷史年化上一周近一周近一月近一年BetaLiquidityVolatilityGrowthTrendCertaintySOECubicsizeSizeValue17.52%10.70%16.78%14.77%50.22%30.80%0.76%-3.64%6.49%4.63%0.73%-0.60%-1.07%1.01%-1.79%-3.89%-5.33%-13.14%2.70%11.33%-2.89%7.89%-1.54%30.25%11.26%-1.46%14.25%BetaLiquidityVolatilityGrowthTrendCertaintySOECubicsizeSizeValue17.52%10.70%16.78%14.77%50.22%30.80%0.76%-3.64%6.49%4.63%0.73%-0.60%-1.07%1.01%-1.79%-3.89%-5.33%-13.14%2.70%11.33%-2.89%7.89%-1.54%30.25%11.26%-1.46%14.25%4.27%-20.74%-6.38%-1.15%-0.90%-46.87%-7.75%-3.10%-11.48%-8.31%-51.12%-25.93%-6.83%-7.44%-28.98%7.47% -3.10%-11.48%-8.31%-51.12%-25.93%-6.83%-7.44%-28.98%7.47%數(shù)據(jù)來源：Wind、東方證券研究所SOESOESizeLiquiditySizeLiquidityValueBetaCubicSizeGrowthBetaCubicSizeGrowthTrendTrendTTM的3年復(fù)合增速VolatilityCertaintyCertainty金持倉比例數(shù)據(jù)來源：Wind、朝陽永續(xù)、東方證券研究所有關(guān)分析師的申明，見本報(bào)告最后部分。其他重要信息披露見分析師申明之后部分，或請(qǐng)與您的投資代表聯(lián)系。并請(qǐng)閱讀本證券研究報(bào)告最后一頁的免責(zé)申明。5二、因子表現(xiàn)監(jiān)控中證1000、國證2000、創(chuàng)業(yè)板指、中證下表是指數(shù)增強(qiáng)因子庫，包括估值、成長、盈利、分析師預(yù)期、景氣度、分紅、公司治理、因子計(jì)算方式凈資產(chǎn)/總市值分析師一致預(yù)期BP單季度歸母凈利潤/總市值歸母凈利潤TTM/總市值單季度營業(yè)收入/總市值營業(yè)收入TTM/總市值當(dāng)前EPTTM在過去一年的分位點(diǎn)一致預(yù)期滾動(dòng)PE倒數(shù)一致預(yù)期滾動(dòng)PE/個(gè)股滾動(dòng)凈利復(fù)合增長率全市場PB排序-單季ROE排序單季度凈利潤同比增長率單季度營業(yè)收入同比增長率單季度營業(yè)利潤同比增長率（單季實(shí)際凈利-預(yù)期凈利）/預(yù)期凈利標(biāo)準(zhǔn)差（單季實(shí)際營收-預(yù)期營收）/預(yù)期營收標(biāo)準(zhǔn)差單季凈資產(chǎn)收益率-去年同期凈資產(chǎn)收益率單季總資產(chǎn)收益率-去年同期總資產(chǎn)收益率單季度凈利潤/分析師預(yù)期單季度凈利潤-1單季凈利潤*2/（期初凈資產(chǎn)+期末凈資產(chǎn)）單季凈利潤*2/（期初總資產(chǎn)+期末總資產(chǎn)）過去3個(gè)月撰寫研報(bào)的機(jī)構(gòu)數(shù)量（認(rèn)可業(yè)績分析師數(shù)-不認(rèn)可業(yè)績分析師數(shù)）/覆蓋分析當(dāng)前一致預(yù)期滾動(dòng)凈利/3月前一致預(yù)期凈利-1當(dāng)前一致預(yù)期ROE-3個(gè)月前一致預(yù)期ROE過去3個(gè)月(上調(diào)家數(shù)-下調(diào)家數(shù))/總家數(shù)+總家數(shù)/10000單季凈利同比增速-上季度單季凈利同比增速最近四個(gè)季度預(yù)案分紅金額/總市值公司前三高管的薪酬盈余公告次日開盤漲跌幅-中證500開盤漲跌幅盈余公告次日最低價(jià)超額過去20個(gè)交易日換手率均值過去60個(gè)交易日換手率均值過去20個(gè)交易日日度漲跌幅絕對(duì)值比成交額的均值1-過去20日Fama-French三因子回歸擬合度過去20個(gè)交易日日內(nèi)真實(shí)波幅均值過去60個(gè)交易日日內(nèi)真實(shí)波幅均值過去20個(gè)交易日漲跌幅過去60個(gè)交易日漲跌幅剔除近1個(gè)月的過去一年漲跌幅一個(gè)月窗口下風(fēng)險(xiǎn)調(diào)整后的UMR動(dòng)量三個(gè)月窗口下風(fēng)險(xiǎn)調(diào)整后的UMR動(dòng)量六個(gè)月窗口下風(fēng)險(xiǎn)調(diào)整后的UMR動(dòng)量十二個(gè)月窗口下風(fēng)險(xiǎn)調(diào)整后的UMR動(dòng)量過去半年報(bào)/年報(bào)中主動(dòng)股基持股市值類別估值成長盈利分析師預(yù)期景氣分紅公司治理PEAD流動(dòng)性波動(dòng)反轉(zhuǎn)與動(dòng)量機(jī)構(gòu)Quart_EPQuart_SPPB_ROE_RANKYOY_Quart_NPYOY_Quart_ORYOY_Quart_OPSUESURUE_PERCANA_RECMNPYOY_CHANGEMANAGER_SALARYAOGALGREVERSE_1MREVERSE_3M賬面市值比預(yù)期BP單季度市盈率倒數(shù)滾動(dòng)市盈率倒數(shù)單季度市銷率倒數(shù)滾動(dòng)市銷率倒數(shù)一致預(yù)期滾動(dòng)市盈率倒數(shù)一致預(yù)期滾動(dòng)PEGPB與ROE的rank差單季度凈利潤同比增速單季度營業(yè)收入同比增速單季度營業(yè)利潤同比增速標(biāo)準(zhǔn)化預(yù)期外盈利標(biāo)準(zhǔn)化預(yù)期外收入單季凈資產(chǎn)收益率同比變化單季總資產(chǎn)收益率同比變化單季凈利潤超預(yù)期幅度單季度凈資產(chǎn)收益率單季度總資產(chǎn)收益率分析師覆蓋度分析師認(rèn)可度預(yù)期凈利潤環(huán)比增幅預(yù)期滾動(dòng)ROE三個(gè)月環(huán)比分析師上下調(diào)數(shù)量差占比單季凈利同比增速環(huán)比變化股息率高管薪酬盈余公告次日開盤跳空超額盈余公告次日最低價(jià)超額一個(gè)月日均換手三個(gè)月日均換手一個(gè)月非流動(dòng)性沖擊特異度一個(gè)月真實(shí)波動(dòng)率三個(gè)月真實(shí)波動(dòng)率一個(gè)月反轉(zhuǎn)三個(gè)月反轉(zhuǎn)一年動(dòng)量一個(gè)月UMR三個(gè)月UMR六個(gè)月UMR一年UMR公募持股市值數(shù)據(jù)來源：Wind、朝陽永續(xù)、東方證券研究所有關(guān)分析師的申明，見本報(bào)告最后部分。其他重要信息披露見分析師申明之后部分，或請(qǐng)與您的投資代表聯(lián)系。并請(qǐng)閱讀本證券研究報(bào)告最后一頁的免責(zé)申明。6滬深300樣本空間中的因子表現(xiàn)l最近一月，特異度、一個(gè)月反轉(zhuǎn)、三個(gè)月機(jī)構(gòu)覆蓋等因子表現(xiàn)較好，而一年動(dòng)量、標(biāo)準(zhǔn)化預(yù)l今年以來，特異度、三個(gè)月機(jī)構(gòu)覆蓋、三個(gè)月反轉(zhuǎn)等因子表現(xiàn)較好，而一年動(dòng)量、預(yù)期最近一周因子方向反向正向正向反向正向最近一周因子方向反向正向正向反向正向正向反向反向正向正向正向正向正向正向反向正向正向正向正向正向正向反向反向正向正向正向正向正向正向正向正向正向正向正向正向正向反向正向正向正向正向正向正向正向最近一月0.55%0.43%0.15%0.26%0.75%0.48%1.67%-0.13%0.46%0.45%-0.49%0.62%1.73%0.85%2.60%0.05%0.11%0.36%0.07%-0.16%0.04%-0.50%1.76%-0.11%-0.81%-0.54%-0.59%-0.18%-0.18%-0.33%0.23%-1.61%-0.58%-1.38%-0.73%-0.95%-0.57%-0.66%-0.60%0.14%-1.61%-1.50%-1.63%-2.98%近1年年化3.50%2.86%3.75%5.41%0.39%3.22%4.12%2.73%5.84%1.38%5.81%3.54%4.09%2.18%0.28%3.09%6.29%1.34%3.91%1.34%2.85%2.68%1.46%-0.23%3.51%5.65%0.58%4.11%3.91%3.28%4.00%2.52%-1.41%0.74%3.92%5.15%2.05%0.12%2.60%7.28%-3.10%-4.60%3.33%-0.88%今年以來0.65%1.26%0.57%0.64%1.42%0.36%2.29%-0.09%0.46%1.03%0.43%1.53%2.41%1.86%2.45%0.45%1.12%0.83%0.49%1.20%-0.54%-0.31%1.53%0.32%-0.09%0.29%-0.14%-0.49%-0.53%-0.83%0.75%-0.27%0.50%-0.23%0.35%0.18%0.73%0.28%1.10%0.28%-1.03%-1.19%-0.30%-1.95%因子名稱一個(gè)月波動(dòng)三個(gè)月UMR一年UMR三個(gè)月波動(dòng)一個(gè)月UMRPB_ROE__排序差三個(gè)月反轉(zhuǎn)一個(gè)月?lián)Q手非流動(dòng)性沖擊盈余公告開盤跳空超額六個(gè)月UMR單季ROA三個(gè)月機(jī)構(gòu)覆蓋單季ROE特異度EPTTMEPTTM一年分位點(diǎn)盈余公告最低價(jià)跳空超額單季EP公募持股市值預(yù)期BP三個(gè)月?lián)Q手一個(gè)月反轉(zhuǎn)單季超預(yù)期幅度股息率單季凈利同比增速環(huán)比變化預(yù)期EPTTMSPTTM單季SPBP分析師認(rèn)可度DELTAROA單季凈利同比增速DELTAROE標(biāo)準(zhǔn)化預(yù)期外盈利3個(gè)月盈利上下調(diào)預(yù)期PEG單季營利同比增速單季營收同比增速高管薪酬預(yù)期凈利潤環(huán)比預(yù)期ROE環(huán)比變化標(biāo)準(zhǔn)化預(yù)期外收入一年動(dòng)量1.89%4.91%4.56%2.87%2.82%5.23%1.55%2.67%0.48%2.69%5.48%3.60%2.62%4.27%1.45%4.89%2.98%3.71%5.62%2.68%3.77%3.29%0.74%3.62%4.89%2.40%4.15%3.67%3.85%3.47%3.38%4.01%3.24%3.44%4.23%4.66%2.91%2.58%3.38%2.99%1.41%2.53%4.36%1.93%0.94%0.82%0.82%0.80%0.76%0.75%0.72%0.66%0.65%0.56%0.55%0.46%0.44%0.43%0.40%0.40%0.37%0.29%0.27%0.26%0.25%0.22%0.22%1.89%4.91%4.56%2.87%2.82%5.23%1.55%2.67%0.48%2.69%5.48%3.60%2.62%4.27%1.45%4.89%2.98%3.71%5.62%2.68%3.77%3.29%0.74%3.62%4.89%2.40%4.15%3.67%3.85%3.47%3.38%4.01%3.24%3.44%4.23%4.66%2.91%2.58%3.38%2.99%1.41%2.53%4.36%1.93%數(shù)據(jù)來源：Wind、朝陽永續(xù)、東方證券研究所有關(guān)分析師的申明，見本報(bào)告最后部分。其他重要信息披露見分析師申明之后部分，或請(qǐng)與您的投資代表聯(lián)系。并請(qǐng)閱讀本證券研究報(bào)告最后一頁的免責(zé)申明。7中證500樣本空間中的因子表現(xiàn)l最近一周，預(yù)期PEG、單季凈利同比增速環(huán)比變化、單季營收同比增速等因子表現(xiàn)較好，最近一月3.04%1.44%2.99%2.41%0.30%-0.22%0.13%-0.47%-0.06%1.93%-0.12%最近一月3.04%1.44%2.99%2.41%0.30%-0.22%0.13%-0.47%-0.06%1.93%-0.12%-1.01%-0.82%0.09%1.84%-1.08%-1.76%-1.96%-1.18%-2.32%-2.54%-1.87%0.53%-1.62%-3.99%-0.50%-1.44%-0.46%-3.47%-3.24%-0.82%-0.28%-4.16%-3.18%-4.25%-4.42%-0.72%-1.60%-1.68%-4.73%-2.72%-2.69%-2.66%-2.28%近1年年化-1.03%1.03%2.27%3.53%0.06%0.55%5.81%1.35%4.18%-2.65%-0.48%-5.57%-5.33%3.32%6.75%0.45%2.83%2.01%6.21%-14.22%1.62%6.05%3.72%-4.27%-6.00%3.23%0.13%8.85%1.48%-6.13%3.54%2.43%3.19%5.26%-4.99%-6.95%4.06%1.68%-0.19%-2.74%-6.59%-1.20%-0.63%-0.94%今年以來4.17%1.31%3.39%3.52%-0.15%-0.72%0.58%-0.91%0.71%1.67%-0.46%0.57%1.15%0.79%1.22%-1.21%-1.87%-2.06%-1.14%-1.97%-1.46%-0.71%1.59%-1.04%-3.00%0.74%-0.90%0.60%-2.58%-2.90%0.36%0.57%-3.36%-2.94%-3.18%-3.34%-0.33%-0.87%0.19%-3.67%-0.90%-0.82%-1.59%-1.90%因子方向最近一周2.07%0.97%0.79%0.79%0.55%0.53%0.47%0.46%0.27%0.17%0.17%0.12%0.09%0.08%-0.01%-0.06%-0.10%-0.15%-0.22%-0.25%-0.33%-0.41%-0.42%-0.58%-0.59%-0.59%-0.68%-0.71%-0.79%-0.87%-1.01%-1.01%-1.01%-1.02%-1.03%-1.03%-1.04%-1.12%-1.13%-1.31%-1.32%-1.53%-1.62%-2.02%因子名稱預(yù)期PEG單季凈利同比增速環(huán)比變化單季營收同比增速三個(gè)月反轉(zhuǎn)預(yù)期凈利潤環(huán)比SPTTM盈余公告最低價(jià)跳空超額單季SP預(yù)期ROE環(huán)比變化一個(gè)月反轉(zhuǎn)高管薪酬三個(gè)月機(jī)構(gòu)覆蓋公募持股市值一年動(dòng)量特異度一個(gè)月UMR預(yù)期BPBPPB_ROE__排序差非流動(dòng)性沖擊預(yù)期EPTTM單季EPDELTAROA三個(gè)月UMR三個(gè)月?lián)Q手單季超預(yù)期幅度盈余公告開盤跳空超額標(biāo)準(zhǔn)化預(yù)期外收入EPTTM一個(gè)月?lián)Q手3個(gè)月盈利上下調(diào)DELTAROE三個(gè)月波動(dòng)一個(gè)月波動(dòng)股息率六個(gè)月UMR單季凈利同比增速標(biāo)準(zhǔn)化預(yù)期外盈利分析師認(rèn)可度一年UMR單季ROE單季ROAEPTTM一年分位點(diǎn)單季營利同比增速2.55%2.46%3.18%0.38%2.93%3.73%6.85%4.92%1.93%-0.30%1.68%5.57%1.53%2.92%2.48%5.49%3.76%4.34%7.96%0.66%3.95%7.50%7.73%6.09%5.08%8.22%7.05%5.23%5.83%5.10%6.43%7.76%3.99%2.47%6.82%5.81%7.36%8.60%7.89%5.14%5.48%4.66%5.95%5.63%反向正向正向反向正向正向正向正向正向反向正向正向正向正向反向正向正向正向正向正向正向正向2.55%2.46%3.18%0.38%2.93%3.73%6.85%4.92%1.93%-0.30%1.68%5.57%1.53%2.92%2.48%5.49%3.76%4.34%7.96%0.66%3.95%7.50%7.73%6.09%5.08%8.22%7.05%5.23%5.83%5.10%6.43%7.76%3.99%2.47%6.82%5.81%7.36%8.60%7.89%5.14%5.48%4.66%5.95%5.63%數(shù)據(jù)來源：Wind、朝陽永續(xù)、東方證券研究所有關(guān)分析師的申明，見本報(bào)告最后部分。其他重要信息披露見分析師申明之后部分，或請(qǐng)與您的投資代表聯(lián)系。并請(qǐng)閱讀本證券研究報(bào)告最后一頁的免責(zé)申明。8中證800樣本空間中的因子表現(xiàn)l最近一周，三個(gè)月反轉(zhuǎn)、預(yù)期PEG、特異度等因子表現(xiàn)較好，而預(yù)期凈利潤環(huán)比、一年動(dòng)l最近一月，特異度、三個(gè)月反轉(zhuǎn)、一個(gè)月反轉(zhuǎn)等因子表現(xiàn)較好，而標(biāo)準(zhǔn)化預(yù)期外盈利、預(yù)期最近一周今年以來歷史年化近一年趨勢(shì)近十年趨勢(shì)近1年年化最近一月因子方向4.02%因子名稱最近一周今年以來歷史年化近一年趨勢(shì)近十年趨勢(shì)近1年年化最近一月因子方向4.02%三個(gè)月反轉(zhuǎn)預(yù)期PEG特異度PB_ROE__排序差單季SP三個(gè)月UMR單季凈利同比增速環(huán)比變化一個(gè)月波動(dòng)SPTTM一個(gè)月UMR一個(gè)月反轉(zhuǎn)三個(gè)月波動(dòng)預(yù)期EPTTMEPTTM預(yù)期BP股息率非流動(dòng)性沖擊六個(gè)月UMR單季EP盈余公告最低價(jià)跳空超額一年UMR一個(gè)月?lián)Q手BP單季營收同比增速三個(gè)月?lián)Q手DELTAROA盈余公告開盤跳空超額三個(gè)月機(jī)構(gòu)覆蓋公募持股市值高管薪酬DELTAROE分析師認(rèn)可度EPTTM一年分位點(diǎn)預(yù)期ROE環(huán)比變化標(biāo)準(zhǔn)化預(yù)期外收入單季凈利同比增速單季ROE單季超預(yù)期幅度單季營利同比增速3個(gè)月盈利上下調(diào)單季ROA標(biāo)準(zhǔn)化預(yù)期外盈利一年動(dòng)量預(yù)期凈利潤環(huán)比3.16%1.40%3.32%7.82%-0.07%2.22%2.75%1.74%1.60%1.94%6.35%4.35%1.98%-0.92%3.44%3.13%2.56%-4.66%-4.68%3.22%1.77%0.04%2.50%-1.48%-3.62%-0.27%4.77%-1.33%0.46%2.20%-0.03%1.50%1.46%6.78%2.86%-1.81%3.85%-0.31%2.56%4.05%-7.31%-0.64%-0.57%-2.47%5.23%0.07%1.47%-1.17%2.35% 2.79% 0.01% -0.22%0.75%0.31% -0.26%-0.71%0.91%0.83%0.76%0.73%0.57%0.33%0.28%0.28%0.28%0.28%7.93%-0.07%0.32%-0.43%0.02%-0.36%-0.23%0.21%1.48%-1.24%-0.66%-0.66%-0.75%-0.99%-0.47%-2.11%-0.84%-0.64%-1.91%-1.22%三個(gè)月反轉(zhuǎn)預(yù)期PEG特異度PB_ROE__排序差單季SP三個(gè)月UMR單季凈利同比增速環(huán)比變化一個(gè)月波動(dòng)SPTTM一個(gè)月UMR一個(gè)月反轉(zhuǎn)三個(gè)月波動(dòng)預(yù)期EPTTMEPTTM預(yù)期BP股息率非流動(dòng)性沖擊六個(gè)月UMR單季EP盈余公告最低價(jià)跳空超額一年UMR一個(gè)月?lián)Q手BP單季營收同比增速三個(gè)月?lián)Q手DELTAROA盈余公告開盤跳空超額三個(gè)月機(jī)構(gòu)覆蓋公募持股市值高管薪酬DELTAROE分析師認(rèn)可度EPTTM一年分位點(diǎn)預(yù)期ROE環(huán)比變化標(biāo)準(zhǔn)化預(yù)期外收入單季凈利同比增速單季ROE單季超預(yù)期幅度單季營利同比增速3個(gè)月盈利上下調(diào)單季ROA標(biāo)準(zhǔn)化預(yù)期外盈利一年動(dòng)量預(yù)期凈利潤環(huán)比3.16%1.40%3.32%7.82%-0.07%2.22%2.75%1.74%1.60%1.94%6.35%4.35%1.98%-0.92%3.44%3.13%2.56%-4.66%-4.68%3.22%1.77%0.04%2.50%-1.48%-3.62%-0.27%4.77%-1.33%0.46%2.20%-0.03%1.50%1.46%6.78%2.86%-1.81%3.85%-0.31%2.56%4.05%-7.31%-0.64%-0.57%-2.47%5.23%0.07%1.47%-1.17%2.35% 2.79% 0.01% -0.22%0.75%0.31% -0.26%-0.71%0.91%0.83%0.76%0.73%0.57%0.33%0.28%0.28%0.28%0.28%7.93%-0.07%0.32%-0.43%0.02%-0.36%-0.23%0.21%1.48%-1.24%-0.66%-0.66%-0.75%-0.99%-0.47%-2.11%-0.84%-0.64%-1.91%-1.22%-1.64%0.11%-1.67%-1.43%0.29%0.85%-0.81%-1.09%-1.37%-0.97%-2.19%-1.87%-1.14%-1.05%-1.36%-1.74%-0.93%-1.60%-2.44%-1.96%-2.30%4.76%5.83%2.55%2.82% -0.59%3.47% 4.92% 4.47% 6.73% -0.28%6.07%0.44% -0.77% -0.30% -0.47% -1.14% -0.33% -0.35% -1.18% -0.12% -0.11% -1.25% -1.04% -1.97% 1.74% -1.45%0.57% 1.77%0.45%0.27% -0.57%0.13% -1.91% -0.51% -0.14%0.57% -0.70% -0.60%0.64% -0.01% -0.78% -1.21%-2.15%7.72%5.27%4.45%3.34%4.12%2.52%4.39%5.70%5.39%3.55%1.37%2.56% 4.46% 5.37%4.10%2.27%4.62%4.31%4.80%4.52%3.13%5.42%4.00%5.35%1.68%2.61%0.05%0.03%0.01%0.01%-0.10%-0.11%-0.14%-0.14%-0.20%-0.25%-0.39%-0.42%-0.44%-0.48%-0.60%-0.61%-0.62%-0.67%-0.70%-0.73%-0.73%-0.74%-0.81%-0.87%-0.97%數(shù)據(jù)來源：Wind、朝陽永續(xù)、東方證券研究所有關(guān)分析師的申明，見本報(bào)告最后部分。其他重要信息披露見分析師申明之后部分，或請(qǐng)與您的投資代表聯(lián)系。并請(qǐng)閱讀本證券研究報(bào)告最后一頁的免責(zé)申明。9中證1000樣本空間中的因子表現(xiàn)l最近一月，DELTAROA、標(biāo)準(zhǔn)化預(yù)期外盈利、預(yù)期凈利潤環(huán)比等因子表現(xiàn)較好，而單季l今年以來，DELTAROA、DELTAROE、預(yù)期凈利潤環(huán)最近一周1.60%1.13%0.99%0.75%0.70%0.62%0.56%0.47%0.45%0.43%0.32%最近一周1.60%1.13%0.99%0.75%0.70%0.62%0.56%0.47%0.45%0.43%0.32%0.32%0.12%0.07%0.02%-0.03%-0.09%-0.15%-0.29%-0.32%-0.36%-0.37%-0.40%-0.40%-0.42%-0.53%-0.56%-0.57%-0.63%-0.68%-0.69%-0.76%-0.79%-0.87%-0.91%-1.05%-1.13%-1.21%-1.23%-1.23%-1.50%-1.56%-1.83%-2.18%近1年年化-2.66%5.48%-4.10%0.67%6.13%-12.08%-8.60%1.59%2.23%0.25%8.06%6.40%3.46%-0.08%0.41%10.42%2.56%-2.24%5.75%6.60%-2.33%5.51%7.06%0.32%-4.66%0.78%3.99%-3.78%-7.75%-5.68%2.53%-5.24%8.70%5.92%-0.10%-8.93%-2.31%0.80%-1.84%5.35%5.49%-3.22%4.77%-6.04%最近一月0.57%1.36%-0.01%-0.38%1.54%1.14%-0.61%-0.86%0.30%-1.08%1.89%-0.78%-0.77%1.10%-2.10%-0.22%-0.37%1.77%1.26%-0.15%-2.92%1.68%-0.08%-0.09%-0.38%-3.50%-1.41%-1.49%-1.65%-2.08%0.05%-3.41%-0.99%-0.19%-1.77%-1.22%-4.33%-1.47%-3.64%-1.57%-1.55%-2.17%-2.99%-4.50%因子方向今年以來-0.09%2.24%-0.22%-0.67%2.86%0.76%0.84%-0.86%-0.08%-0.11%3.31%0.03%-0.30%0.97%-1.98%1.47%1.83%2.19%1.31%0.92%-2.31%2.46%1.13%0.57%0.73%-2.97%-0.45%-1.32%-1.63%-1.52%0.88%-2.86%-0.07%1.48%-1.23%-0.45%-3.49%-0.44%-2.53%0.32%-0.48%-0.24%-1.93%-2.47%因子名稱預(yù)期BPEPTTM一年分位點(diǎn)BPSPTTMDELTAROE一個(gè)月反轉(zhuǎn)非流動(dòng)性沖擊單季SP特異度預(yù)期EPTTMDELTAROAPB__ROE__排序差高管薪酬三個(gè)月反轉(zhuǎn)六個(gè)月UMR預(yù)期PEG分析師認(rèn)可度標(biāo)準(zhǔn)化預(yù)期外盈利單季凈利同比增速環(huán)比變化單季營利同比增速股息率預(yù)期凈利潤環(huán)比單季凈利同比增速單季營收同比增速三個(gè)月機(jī)構(gòu)覆蓋三個(gè)月波動(dòng)單季EP三個(gè)月?lián)Q手一個(gè)月UMR一個(gè)月?lián)Q手標(biāo)準(zhǔn)化預(yù)期外收入一年UMR預(yù)期ROE環(huán)比變化3個(gè)月盈利上下調(diào)三個(gè)月UMR公募持股市值一個(gè)月波動(dòng)盈余公告開盤跳空超額EPTTM盈余公告最低價(jià)跳空超額單季超預(yù)期幅度單季ROA一年動(dòng)量單季ROE2.97%7.01%2.95%3.98%9.47%-1.93%2.77%5.18%5.35%3.51%8.31%11.37%2.80%-0.91%12.13%3.76%7.95%8.81%3.42%5.86%6.48%5.12%7.90%4.67%6.49%3.99%11.56%7.25%6.57%7.22%5.61%7.82%3.38%10.57%9.68%1.90%2.24%7.97%6.95%8.65%10.99%7.26%-0.54%8.35%正向正向正向正向正向反向正向正向反向正向正向正向正向反向正向反向正向正向正向正向正向正向2.97%7.01%2.95%3.98%9.47%-1.93%2.77%5.18%5.35%3.51%8.31%11.37%2.80%-0.91%12.13%3.76%7.95%8.81%3.42%5.86%6.48%5.12%7.90%4.67%6.49%3.99%11.56%7.25%6.57%7.22%5.61%7.82%3.38%10.57%9.68%1.90%2.24%7.97%6.95%8.65%10.99%7.26%-0.54%8.35%據(jù)來源：Wind、朝陽永續(xù)、東方證券研究所有關(guān)分析師的申明，見本報(bào)告最后部分。其他重要信息披露見分析師申明之后部分，或請(qǐng)與您的投資代表聯(lián)系。并請(qǐng)閱讀本證券研究報(bào)告最后一頁的免責(zé)申明。國證2000樣本空間中的因子表現(xiàn)l最近一周，DELTAROE、分析師認(rèn)可度、最近一周0.91%0.84%0.73%0.69%0.68%最近一周0.91%0.84%0.73%0.69%0.68%0.62%0.57%0.41%0.34%0.34%0.29%因子方向正向正向正向反向正向反向正向正向正向正向正向正向反向正向正向正向正向反向反向正向正向正向正向正向正向正向正向正向正向反向正向反向正向正向正向正向反向正向正向正向正向正向正向正向最近一月1.81%0.60%1.01%2.09%4.38%2.28%1.22%0.94%0.35%近1年年化今年以來2.84%0.07%0.73%1.36%4.60%3.54%1.56%1.22%2.47%0.05%0.36%0.11%0.71%0.74%0.12%2.08%因子名稱DELTAROE分析師認(rèn)可度SPTTM特異度EPTTM一年分位點(diǎn)三個(gè)月反轉(zhuǎn)單季SP標(biāo)準(zhǔn)化預(yù)期外盈利預(yù)期BPDELTAROABP非流動(dòng)性沖擊一個(gè)月?lián)Q手預(yù)期凈利潤環(huán)比單季營利同比增速高管薪酬P(guān)B__ROE__排序差一個(gè)月反轉(zhuǎn)三個(gè)月?lián)Q手三個(gè)月機(jī)構(gòu)覆蓋單季凈利同比增速環(huán)比變化一年動(dòng)量EPTTM單季營收同比增速預(yù)期ROE環(huán)比變化一年UMR三個(gè)月UMR六個(gè)月UMR標(biāo)準(zhǔn)化預(yù)期外收入預(yù)期PEG單季凈利同比增速一個(gè)月波動(dòng)單季EP預(yù)期EPTTM公募持股市值一個(gè)月UMR三個(gè)月波動(dòng)股息率單季ROE盈余公告最低價(jià)跳空超額單季ROA3個(gè)月盈利上下調(diào)盈余公告開盤跳空超額單季超預(yù)期幅度7.10%4.77%6.91%6.83%-1.14%6.50%9.95%7.42%7.20%7.63%2.44%9.97%3.59%5.54%1.29%-1.59%7.14%4.40%-3.67%4.68%4.50%8.28%4.44%7.75%8.81%2.94%6.92%1.93%7.76%5.05%6.25%8.90%8.52% 10.17% 7.10%4.77%6.91%6.83%-1.14%6.50%9.95%7.42%7.20%7.63%2.44%9.97%3.59%5.54%1.29%-1.59%7.14%4.40%-3.67%4.68%4.50%8.28%4.44%7.75%8.81%2.94%6.92%1.93%7.76%5.05%6.25%8.90%8.52%數(shù)據(jù)來源：Wind、朝陽永續(xù)、東方證券研究所有關(guān)分析師的申明，見本報(bào)告最后部分。其他重要信息披露見分析師申明之后部分，或請(qǐng)與您的投資代表聯(lián)系。并請(qǐng)閱讀本證券研究報(bào)告最后一頁的免責(zé)申明。l最近一周，公募持股市值、三個(gè)月?lián)Q手、非流動(dòng)性沖擊等因子表現(xiàn)較好，而單季營收同比增l最近一月，三個(gè)月?lián)Q手、非流動(dòng)性沖擊、一個(gè)月?lián)Q手等因子表現(xiàn)較好，而單季營收l今年以來，三個(gè)月?lián)Q手、公募持股市值、非流動(dòng)性沖擊等因子表現(xiàn)較好，而單季營收同比增最近一月3.80%4.32%4.15%3.89%3.47%3.76%3.14%3.51%2.64%1.90%2.02%最近一月3.80%4.32%4.15%3.89%3.47%3.76%3.14%3.51%2.64%1.90%2.02%1.41%0.87%1.55%1.67%1.15%1.59%0.36%0.42%1.58%0.30%0.46%0.90%0.39%0.02%-0.41%0.82%0.74%0.81%0.27%-0.80%-1.98%0.97%-1.30%-0.88%-0.87%-1.49%-2.22%-2.09%-1.84%-2.62%-1.66%-2.16%-3.57%因子方向近1年年化-2.53%15.34%18.61%9.01%-0.62%4.32%5.28%-1.27%-3.88%1.39%6.26%16.16%2.47%3.25%37.37%9.36%8.01%29.34%0.48%7.28%22.52%-6.38%5.24%16.05%0.05%-3.60%-5.58%-4.66%-6.72%-4.68%2.14%-12.63%-3.62%2.96%5.60%14.50%4.21%-5.19%19.68%-10.30%22.81%-6.13%-1.06%13.93%今年以來3.95%4.16%3.91%3.56%3.04%3.53%3.06%3.38%2.30%2.68%2.52%1.97%0.89%1.78%1.31%1.59%1.19%0.65%0.64%1.59%0.57%0.73%0.54%1.01%0.63%-0.15%0.57%0.92%0.84%0.60%0.10%-1.56%0.43%-0.74%-0.92%-0.74%-1.24%-2.18%-1.89%-0.76%-1.76%-1.25%-1.51%-3.04%最近一周3.37%2.80%2.72%2.72%2.58%2.52%2.30%2.25%1.85%1.68%1.60%1.51%1.18%0.91%0.91%0.88%0.80%0.67%0.65%0.61%0.54%0.53%0.51%0.49%0.38%0.20%0.16%0.07%-0.01%-0.15%-0.53%-0.54%-0.58%-0.59%-0.82%-0.98%-1.00%-1.01%-1.29%-1.70%-1.71%-1.72%-1.74%-2.15%因子名稱公募持股市值三個(gè)月?lián)Q手非流動(dòng)性沖擊一個(gè)月?lián)Q手三個(gè)月UMR一年UMR六個(gè)月UMR三個(gè)月波動(dòng)一個(gè)月UMR預(yù)期PEG預(yù)期凈利潤環(huán)比標(biāo)準(zhǔn)化預(yù)期外盈利EPTTM一年分位點(diǎn)股息率盈余公告最低價(jià)跳空超額預(yù)期ROE環(huán)比變化BPDELTAROADELTAROE單季超預(yù)期幅度單季EP單季ROA預(yù)期BP一年動(dòng)量單季ROE盈余公告開盤跳空超額一個(gè)月波動(dòng)SPTTM三個(gè)月反轉(zhuǎn)單季SP預(yù)期EPTTM三個(gè)月機(jī)構(gòu)覆蓋特異度EPTTM一個(gè)月反轉(zhuǎn)單季凈利同比增速環(huán)比變化單季凈利同比增速高管薪酬P(guān)B__ROE__排序差3個(gè)月盈利上下調(diào)分析師認(rèn)可度單季營利同比增速標(biāo)準(zhǔn)化預(yù)期外收入單季營收同比增速0.32%4.14%2.50%3.34%3.69%3.37%3.70%1.40%3.63%1.41%2.50%6.28%5.35%1.74%6.85%2.65%0.15%5.54%4.06%4.55%5.71%4.06%0.47%3.16%4.28%2.15%1.07%-1.00%1.33%-0.78%1.57%3.18%1.42%3.18%2.61%1.63%3.22%0.98%3.80%1.54%4.97%2.22%2.57%3.09%正向反向正向反向正向正向正向反向正向反向正向正向正向正向正向正向正向正向正向正向正向正向0.32%4.14%2.50%3.34%3.69%3.37%3.70%1.40%3.63%1.41%2.50%6.28%5.35%1.74%6.85%2.65%0.15%5.54%4.06%4.55%5.71%4.06%0.47%3.16%4.28%2.15%1.07%-1.00%1.33%-0.78%1.57%3.18%1.42%3.18%2.61%1.63%3.22%0.98%3.80%1.54%4.97%2.22%2.57%3.09%數(shù)據(jù)來源：Wind、朝陽永續(xù)、東方證券研究所有關(guān)分析師的申明，見本報(bào)告最后部分。其他重要信息披露見分析師申明之后部分，或請(qǐng)與您的投資代表聯(lián)系。并請(qǐng)閱讀本證券研究報(bào)告最后一頁的免責(zé)申明。l最近一周，非流動(dòng)性沖擊、三個(gè)月反轉(zhuǎn)、特異度等因子表現(xiàn)較好，而分析師認(rèn)可度、3個(gè)月l最近一月，三個(gè)月反轉(zhuǎn)、特異度、一個(gè)月反轉(zhuǎn)等因子表現(xiàn)較好，而分析師認(rèn)可度、EPTTM、0.71%0.41%0.34%0.34%0.33%0.33%0.71%0.41%0.34%0.34%0.33%0.33%0.29%0.29%0.22%0.21%0.12%0.06%0.02%4.13%2.25%2.41%2.59%3.13%0.93%0.73%0.71%2.23%0.41%0.68%0.49%0.44%0.48%0.54%0.04%3.83%2.76%3.24%0.62%2.80%0.24%2.33%4.35%0.03%0.25%5.33%0.67%2.88%0.73%2.24%0.70%3.74%3.30%2.33%0.99%0.14%0.38%0.04%SPTTM一年UMR單季SP預(yù)期BPDELTAROEPB_ROE__排序差單季EPBP盈余公告最低價(jià)跳空超額預(yù)期PEG三個(gè)月UMR一個(gè)月波動(dòng)一個(gè)月UMR六個(gè)月UMR預(yù)期EPTTMEPTTM一年分位點(diǎn)EPTTMDELTAROA單季凈利同比增速環(huán)比變化預(yù)期ROE環(huán)比變化單季ROA標(biāo)準(zhǔn)化預(yù)期外盈利單季ROE單季超預(yù)期幅度標(biāo)準(zhǔn)化預(yù)期外收入3個(gè)月盈利上下調(diào)4.00%6.05%5.41%6.19%4.68%3.46%4.71%8.25%4.86%4.36%4.22%0.06%8.00%3.59%3.28%4.91%0.80%2.47%2.31%4.66%0.61%0.06%4.08%3.46%4.08%6.42%5.08%5.16%6.68%2.77%9.01%4.01%4.00%6.05%5.41%6.19%4.68%3.46%4.71%8.25%4.86%4.36%4.22%0.06%8.00%3.59%3.28%4.91%0.80%2.47%2.31%4.66%0.61%0.06%4.08%3.46%4.08%6.42%5.08%5.16%6.68%2.77%9.01%4.01%數(shù)據(jù)來源：Wind、朝陽永續(xù)、東方證券研究所有關(guān)分析師的申明，見本報(bào)告最后部分。其他重要信息披露見分析師申明之后部分，或請(qǐng)與您的投資代表聯(lián)系。并請(qǐng)閱讀本證券研究報(bào)告最后一頁的免責(zé)申明。三、公募基金指數(shù)增強(qiáng)產(chǎn)品表現(xiàn)跟蹤我們對(duì)統(tǒng)計(jì)區(qū)間內(nèi)上市滿三個(gè)月的公募基金指數(shù)增強(qiáng)產(chǎn)品的超額收益進(jìn)行跟蹤，主要包括滬深滬深300指數(shù)增強(qiáng)產(chǎn)品表現(xiàn)今年以來近一年來最近一月最近一周最近一季分位點(diǎn)今年以來近一年來最近一月最近一周最近一季分位點(diǎn)1.86%13.97%3.19%7.18%1.86%13.97%3.19%7.18%2.81% 1.36%0.97%0.55%0.29%0.15%2.81% 1.36%0.97%0.55%0.29%0.15% -0.04% -0.17% -0.44% -0.52%-0.96%5%3.65%5.38%3.88%2.87%1.73%1.02%0.67%1.58%1.43%0.93%0.76%0.54%0.36%0.28%0.21%0.07%3.43%2.94%2.27%1.92%1.62%1.34%0.52%0.38%0.18%0.09%0.05% 0.00% -0.05% -0.17% -0.24% -0.33% -0.69%-0.99%1.16%-0.17%-0.92%-1.94%1.16%-0.17%-0.92%-1.94%-4.05%-6.46%0.77%0.77%0.20%-0.49%-0.69%-1.16%0.20%-0.49%-0.69%-1.16%-0.25%-1.30%-2.57%-0.25%-1.30%-2.57%-0.71%數(shù)據(jù)來源：Wind、朝陽永續(xù)、東方證券研究所l最近一周，滬深300指數(shù)增強(qiáng)基金中前三名分別為：易方達(dá)滬深有關(guān)分析師的申明，見本報(bào)告最后部分。其他重要信息披露見分析師申明之后部分，或請(qǐng)與您的投資代表聯(lián)系。并請(qǐng)閱讀本證券研究報(bào)告最后一頁的免責(zé)申明。中證500指數(shù)增強(qiáng)產(chǎn)品表現(xiàn)min今年以來近一年來最近一周最近一月最近一季分位點(diǎn)數(shù)據(jù)來源：Wind、朝陽永續(xù)、東方證券研究所有關(guān)分析師的申明，見本報(bào)告最后部分。其他重要信息披露見分析師申明之后部分，或請(qǐng)與您的投資代表聯(lián)系。并請(qǐng)閱讀本證券研究報(bào)告最后一頁的免責(zé)申明。中證1000指數(shù)增強(qiáng)產(chǎn)品表現(xiàn)今年以來今年以來min0.54%0.17%0.09%-0.12%-0.20%-0.36%-0.46%-0.58%-0.64%-0.66%-0.80%-1.43%-2.25%1.00%0.82%0.42%-0.01%-0.15%-0.60%-0.80%-1.02%-1.51%-1.77%-2.30%-2.73%-4.23%9.78%9.78%8.18%6.78%5.95%5.10%5.00%4.70%4.34%3.79%3.29%2.90%2.60%1.94%2.00%1.71%1.47%0.90%0.55%0.23%0.05%-0.13%-0.37%-0.53%-1.36%-1.76%-3.00%17.60%17.60%14.39%11.45%7.81%6.22%5.67%4.55%2.85%1.00% -0.20% -1.19% -2.55%-7.43%數(shù)據(jù)來源：Wind、朝陽永續(xù)、東方證券研究所有關(guān)分析師的申明，見本報(bào)告最后部分。其他重要信息披露見分析師申明之后部分，或請(qǐng)與您的投資代表聯(lián)系。并請(qǐng)閱讀本證券研究報(bào)告最后一頁的免責(zé)申明。因子MFE組合構(gòu)建方式我們?cè)趯?shí)際構(gòu)建指數(shù)增強(qiáng)組合時(shí)可能有多種約束條件，例如控制組合相對(duì)于基準(zhǔn)指數(shù)的行業(yè)暴露、檢驗(yàn)統(tǒng)計(jì)指標(biāo)，并不能充分準(zhǔn)確反映每個(gè)因子在構(gòu)建不同指數(shù)增強(qiáng)組合以及滿足這些實(shí)際約束條件下的實(shí)際有效性，我們將組合優(yōu)化的目標(biāo)函數(shù)修改為最大化單因子暴露，其他約束條件和我們常見的風(fēng)格約束保持一致，由此可以得到控制了行業(yè)暴露、風(fēng)格暴露等約束下的最大化單因子暴maxfTw該優(yōu)化模型的目標(biāo)函數(shù)為最大化單因子暴露，其中f為因子取值，fTw為組合在因子上的加權(quán)暴露，w為待求解的股票權(quán)重向量。模型的約束條件包括組合在風(fēng)格因子上的偏離度、行業(yè)偏離度、個(gè)股偏離度、成分股權(quán)重占比控制、個(gè)股權(quán)l(xiāng)