金融资金面跟踪：量化周报：指增超额收益有所回落，市场流动性边际下滑

Investment Rating - The industry investment rating is "Recommended," indicating an expected increase in the industry index exceeding the benchmark index by more than 5% in the next 3-6 months [18]. Core Insights - The report highlights a marginal decline in market liquidity, with a notable drop in trading activity across various indices. The performance of large-cap stocks, particularly the CSI 300, has been relatively stronger compared to mid and small-cap indices [4][5]. - The report also notes significant sector rotation, with consumer staples, utilities, and telecommunications services showing strong performance, while automotive and hardware sectors lagged [6]. Summary by Sections Market Performance - The average weekly/monthly/year-to-date returns for various strategies are as follows: - CSI 300 Enhanced Strategy: 0.1%/1.1%/0.5% [3] - CSI 500 Enhanced Strategy: -1.2%/2.4%/4.6% [3] - CSI 1000 Enhanced Strategy: -0.4%/0.6%/5.9% [3] - Market Neutral Strategy: -0.3%/0.9%/2.8% [3] Trading Volume - The average daily trading volume for major indices is reported as follows: - CSI 300: 2441/2852/3228 billion, with a week-on-week change of +4%/-52%/+38% [5] - CSI 500: 1708/2226/2357 billion, with a week-on-week change of -8%/-53%/+69% [5] - CSI 1000: 2391/3252/3372 billion, with a week-on-week change of -12%/-51%/+105% [5] Sector Performance - The top-performing sectors for the week include: - Consumer Staples: +3.6% - Utilities: +3.1% - Telecommunications Services: +2.4% [6] - The bottom-performing sectors include: - Automotive and Components: -3.7% - Hardware: -3.5% - Home Appliances: -3.4% [6] Regulatory Updates - New regulations on quantitative trading have been introduced, focusing on stricter management of high-frequency trading activities, including additional reporting requirements and differentiated fee structures [7].