金融工程市场跟踪周报20241221：持续看好红利配置价值

• The report discusses the "Volume Timing Signal" model, which indicates cautious market sentiment across major indices as of December 20, 2024[28][29] - The "HS300 Upward Stock Count Ratio" factor is introduced, calculated as the proportion of HS300 constituent stocks with positive returns over the past N days. This factor is used to gauge market sentiment, with higher ratios indicating optimism[29][30] - The "Momentum Sentiment Indicator" is derived by smoothing the upward stock count ratio using two different window periods (N1=50, N2=35). When the short-term smoothed line exceeds the long-term smoothed line, it signals a bullish market sentiment[31][36] - The "Eight Moving Average Sentiment Indicator" is discussed, which uses eight moving averages (8, 13, 21, 34, 55, 89, 144, 233) to assess HS300 index trends. The indicator assigns values based on the position of the index relative to these averages, helping to identify sentiment zones[37][42] - The report evaluates "Cross-sectional Volatility" as a measure of Alpha environment. Recent data shows an improvement in Alpha conditions for HS300 and CSI1000 indices, while CSI500's Alpha environment weakened[41][44] - "Time-series Volatility" is analyzed, showing a decline for HS300 and CSI500 indices but an increase for CSI1000, indicating mixed Alpha conditions[44][47] - The report highlights the "Fund Concentration Degree" factor, calculated as the standard deviation of cross-sectional returns of concentrated fund portfolios. Lower standard deviation indicates higher concentration, while higher values suggest fund dispersion[91][93]