市场中观因子跟踪周报（2025.04.27）：关税问题反复，大盘延续稳健-20250429

Quantitative Factors and Models Summary Stock Market Factors and Construction - Factor Name: Market Style Factors Construction Idea: Analyze the dominant market style trends, including size and value-growth preferences [10][13] Construction Process: - Size Style: Evaluate the preference for large-cap stocks over small-cap stocks - Value-Growth Style: Assess the inclination towards value stocks compared to growth stocks - Volatility Metrics: Measure the volatility of size and value-growth styles to track stability trends [10][13] Evaluation: The market style factors indicate a stable preference for large-cap and value stocks, with declining volatility in both dimensions [10][13] - Factor Name: Market Structure Factors Construction Idea: Examine the structural dynamics of the market, including industry performance and trading concentration [10][13] Construction Process: - Industry Excess Return Dispersion: Calculate the dispersion of excess returns across industry indices - Industry Rotation Speed: Measure the rate of industry rotation - Concentration Metrics: Analyze the trading concentration by evaluating the proportion of trading volume in the top 100 stocks and top 5 industries [10][13] Evaluation: The market structure factors reveal increased industry rotation and reduced trading concentration, indicating a more dispersed market environment [10][13] - Factor Name: Market Activity Factors Construction Idea: Assess the overall activity level in the market through volatility and turnover metrics [10][13] Construction Process: - Volatility: Track the decline in market volatility from previous high levels - Turnover Rate: Measure the reduction in market turnover rates [10][13] Evaluation: The market activity factors suggest a calmer market environment with reduced trading intensity [10][13] Commodity Market Factors and Construction - Factor Name: Commodity Trend Strength Construction Idea: Evaluate the trend strength across different commodity sectors [25][28] Construction Process: - Sector Analysis: Identify strong trends in energy and black metal sectors, and weaker trends in non-ferrous metals and agricultural products [25][28] Evaluation: The factor highlights sector-specific trend strength variations, with energy and black metals showing robust trends [25][28] - Factor Name: Basis Momentum Construction Idea: Measure the momentum of basis changes across commodity sectors [25][28] Construction Process: - Sector Basis Analysis: Track the highest basis momentum in non-ferrous metals and rapid declines in black metals [25][28] Evaluation: The factor reflects significant basis momentum differences across sectors, indicating varied market dynamics [25][28] - Factor Name: Commodity Volatility Construction Idea: Monitor the volatility levels across commodity sectors [25][28] Construction Process: - Sector Volatility Metrics: Evaluate the consistently high volatility across all commodity sectors [25][28] Evaluation: The factor suggests persistent uncertainty in commodity markets [25][28] - Factor Name: Commodity Liquidity Construction Idea: Assess the liquidity conditions across commodity sectors [25][28] Construction Process: - Sector Liquidity Metrics: Measure stable liquidity levels across all sectors [25][28] Evaluation: The factor indicates steady liquidity conditions in commodity markets [25][28] Option Market Factors and Construction - Factor Name: Implied Volatility Factors Construction Idea: Analyze implied volatility trends in major indices [32] Construction Process: - Indices Analysis: Track slight increases in implied volatility for SSE 50 and CSI 1000 indices - Volatility Curve: Compare far-month and near-month implied volatility differences - Skewness Metrics: Evaluate skewness advantages of put options over call options [32] Evaluation: The factors reveal market concerns for small-cap stocks and neutral sentiment for large-cap stocks [32] Convertible Bond Market Factors and Construction - Factor Name: Convertible Bond Premium Construction Idea: Assess valuation levels and trading activity in the convertible bond market [36] Construction Process: - Premium Metrics: Measure the average premium levels, slightly above the historical median - Low Premium Bond Count: Track the rebound in the number of bonds with low premiums - Market Turnover: Evaluate the increase in overall market turnover [36] Evaluation: The factors indicate stable valuation levels and improved trading activity in the convertible bond market [36] Factor Backtesting Results - Market Style Factors: - Size preference: Large-cap dominant [10][13] - Value preference: Value stocks dominant [10][13] - Volatility: Declining [10][13] - Market Structure Factors: - Industry dispersion: Increased [10][13] - Industry rotation: Faster [10][13] - Trading concentration: Reduced [10][13] - Market Activity Factors: - Volatility: Declining [10][13] - Turnover: Reduced [10][13] - Commodity Market Factors: - Trend strength: Sector-specific variations [25][28] - Basis momentum: Sector-specific variations [25][28] - Volatility: High across sectors [25][28] - Liquidity: Stable across sectors [25][28] - Option Market Factors: - Implied volatility: Slight increase [32] - Skewness: Put options advantage [32] - Convertible Bond Market Factors: - Premium levels: Stable, slightly above median [36] - Low premium bond count: Rebound [36] - Turnover: Increased [36]