量化观市：维持对业绩预期关注,静待降准降息落地

• The macro timing strategy model recommends a 30% equity position for March, with a signal strength of 0% for economic growth and 60% for monetary liquidity. The model's return from the beginning of 2025 to now is -1.16%, compared to the Wind All A Index return of -2.32%[4][23][24] - The micro-cap stock timing model uses two mid-term risk warning indicators: the 10-year government bond yield year-over-year indicator and the volatility congestion degree year-over-year indicator. As of October 15, 2024, the volatility congestion degree indicator has fallen below the threshold, and the risk warning signal has been lifted. The 10-year government bond yield year-over-year indicator value is -20.45%, not triggering the risk control threshold of 0.3%[4][26][27] - Eight major stock selection factors were tracked in different stock pools (All A-shares, CSI 300, CSI 500, and CSI 1000). The value factor performed best in the CSI 300 stock pool, the market value factor also had good positive returns, and the quality factor performed relatively well in the All A-shares stock pool. Other factors performed generally, with the volatility factor showing significant negative returns. The trend of factor long-short returns showed that the quality factor achieved certain positive returns in the All A-shares stock pool last week[34][37][38] - The quantitative bond selection factors for convertible bonds include the stock consensus expectation, stock growth, stock financial quality, stock value, and bond valuation factors. Last week, these factors achieved positive long-short returns[40][43][44] - The IC mean values and long-short returns of the major factors are as follows: - Consensus expectation factor: All A-shares 1.60%, CSI 300 3.52%, CSI 500 5.84%, CSI 1000 5.47% - Market value factor: All A-shares -20.37%, CSI 300 -16.32%, CSI 500 -3.55%, CSI 1000 3.71% - Growth factor: All A-shares 11.18%, CSI 300 16.57%, CSI 500 10.31%, CSI 1000 11.31% - Reversal factor: All A-shares 6.36%, CSI 300 -8.94%, CSI 500 6.38%, CSI 1000 17.28% - Quality factor: All A-shares 18.93%, CSI 300 10.55%, CSI 500 21.02%, CSI 1000 19.95% - Technical factor: All A-shares 12.70%, CSI 300 28.25%, CSI 500 20.64%, CSI 1000 27.04% - Value factor: All A-shares 10.50%, CSI 300 3.04%, CSI 500 3.04%, CSI 1000 12.49% - Volatility factor: All A-shares 16.77%, CSI 300 4.16%, CSI 500 13.71%, CSI 1000 28.76%[37][38][39] - The long-short returns of the major factors are as follows: - Consensus expectation factor: All A-shares 0.69%, CSI 300 -0.40%, CSI 500 7.48%, CSI 1000 2.79% - Market value factor: All A-shares 19.73%, CSI 300 9.15%, CSI 500 9.42%, CSI 1000 6.44% - Growth factor: All A-shares 5.84%, CSI 300 6.63%, CSI 500 -3.69%, CSI 1000 1.57% - Reversal factor: All A-shares 8.34%, CSI 300 -0.11%, CSI 500 3.45%, CSI 1000 11.05% - Quality factor: All A-shares 6.91%, CSI 300 4.91%, CSI 500 2.41%, CSI 1000 -1.73% - Technical factor: All A-shares 5.71%, CSI 300 -0.19%, CSI 500 -5.30%, CSI 1000 8.45% - Value factor: All A-shares -1.43%, CSI 300 -1.45%, CSI 500 -5.06%, CSI 1000 -5.94% - Volatility factor: All A-shares 5.18%, CSI 300 3.68%, CSI 500 -8.11%, CSI 1000 5.09%[37][38][39]