市场环境因子跟踪周报（2025.05.09）：关税下调之后，市场分歧仍存-20250513

• The report covers the period from 2025.05.05 to 2025.05.09[10] Quantitative Factors and Construction Methods Stock Market Factors 1. Factor Name: Market Style Factors - Construction Idea: Track the performance and volatility of different market styles such as small-cap vs. large-cap and growth vs. value[11] - Construction Process: - Measure the performance of small-cap and large-cap stocks - Measure the performance of growth and value stocks - Calculate the volatility of these styles - Evaluation: The market style factors showed a strong performance for small-cap and growth styles, with low volatility[11][13] 2. Factor Name: Market Structure Factors - Construction Idea: Analyze the dispersion of excess returns among industry indices and the concentration of trading volume[11] - Construction Process: - Calculate the dispersion of excess returns among industry indices - Measure the proportion of trading volume of the top 100 stocks and the top 5 industries - Evaluation: The market structure factors indicated a decrease in the dispersion of excess returns and low concentration of trading volume[11][13] 3. Factor Name: Market Activity Factors - Construction Idea: Track the market's volatility and turnover rate[12] - Construction Process: - Measure the market's volatility - Calculate the turnover rate - Evaluation: The market activity factors showed a rapid decline in both volatility and turnover rate[12][13] Commodity Market Factors 1. Factor Name: Commodity Trend Strength - Construction Idea: Measure the trend strength of different commodity sectors[25] - Construction Process: - Calculate the trend strength for energy, black metals, non-ferrous metals, agricultural products, and precious metals - Evaluation: The trend strength was strong for energy and black metals, while weak for non-ferrous metals, agricultural products, and precious metals[25][28] 2. Factor Name: Basis Momentum - Construction Idea: Track the basis momentum of different commodity sectors[25] - Construction Process: - Measure the basis momentum for non-ferrous metals and agricultural products - Evaluation: The basis momentum remained high for non-ferrous metals and agricultural products[25][28] 3. Factor Name: Commodity Volatility - Construction Idea: Measure the volatility of different commodity sectors[25] - Construction Process: - Calculate the volatility for energy, black metals, non-ferrous metals, agricultural products, and precious metals - Evaluation: The volatility significantly decreased from high levels across all sectors[25][28] 4. Factor Name: Commodity Liquidity - Construction Idea: Track the liquidity of different commodity sectors[25] - Construction Process: - Measure the liquidity for energy, black metals, non-ferrous metals, agricultural products, and precious metals - Evaluation: The liquidity showed mixed performance across different sectors[25][28] Option Market Factors 1. Factor Name: Implied Volatility - Construction Idea: Measure the implied volatility of options on different indices[33] - Construction Process: - Calculate the implied volatility for options on the SSE 50 and CSI 1000 indices - Evaluation: The implied volatility for SSE 50 and CSI 1000 options significantly decreased, indicating a divergence in market views on small-cap stocks[33][34] Convertible Bond Market Factors 1. Factor Name: Convertible Bond Premium - Construction Idea: Measure the premium of convertible bonds[35] - Construction Process: - Calculate the premium for convertible bonds priced around 100 yuan - Evaluation: The premium showed a slight adjustment, with the market valuation at a moderately high level[35][37] Factor Backtesting Results 1. Market Style Factors: - Small-cap and growth styles showed strong performance with low volatility[11][13] 2. Market Structure Factors: - Decrease in excess return dispersion and low trading volume concentration[11][13] 3. Market Activity Factors: - Rapid decline in market volatility and turnover rate[12][13] 4. Commodity Trend Strength: - Strong trend for energy and black metals, weak for others[25][28] 5. Basis Momentum: - High basis momentum for non-ferrous metals and agricultural products[25][28] 6. Commodity Volatility: - Significant decrease in volatility across all sectors[25][28] 7. Commodity Liquidity: - Mixed liquidity performance across sectors[25][28] 8. Implied Volatility: - Significant decrease in implied volatility for SSE 50 and CSI 1000 options[33][34] 9. Convertible Bond Premium: - Slight adjustment in premium, moderately high market valuation[35][37]