市场环境因子跟踪周报（2025.05.16）：赚钱效应偏弱，小盘或将面临调整-20250521

• The report tracks various market environment factors for the week of May 12, 2025, to May 16, 2025[2][10] - The report includes a detailed analysis of stock market factors, commodity market factors, options market factors, and convertible bond market factors[7][11][28][36][38] - The stock market factors include market style, market structure, and market activity, with specific metrics such as size and value-growth style volatility, industry index excess return dispersion, and turnover rate[11][12][13] - The commodity market factors include trend strength, basis momentum, volatility, and liquidity, with specific metrics such as the trend strength of energy and black metal sectors, and the volatility of precious metals, non-ferrous metals, and agricultural products[28][30] - The options market factors include implied volatility levels and skewness of call and put options for the SSE 50 and CSI 1000 indices, indicating potential adjustment risks for small-cap stocks[36][37] - The convertible bond market factors include pure bond premium rate, conversion premium rate, and trading volume, with specific metrics such as the stability of the pure bond premium rate and the increase in the proportion of low conversion premium rate bonds[38][39][41] Quantitative Models and Construction Methods 1. Stock Market Factors - Factor Name: Market Style - Construction Idea: Track the performance and volatility of different market styles such as size and value-growth - Construction Process: - Measure the performance of large-cap vs. small-cap stocks - Measure the performance of value vs. growth stocks - Calculate the volatility of these styles over the week - Evaluation: The market style showed a preference for small-cap and growth stocks, with increased volatility from low levels[11][13] 2. Commodity Market Factors - Factor Name: Trend Strength - Construction Idea: Assess the strength of trends in various commodity sectors - Construction Process: - Analyze the price trends in energy, black metals, non-ferrous metals, agricultural products, and precious metals - Calculate the trend strength for each sector - Evaluation: Energy and black metal sectors continued to show strong trends, while other sectors had weaker trends[28][30] 3. Options Market Factors - Factor Name: Implied Volatility and Skewness - Construction Idea: Track the implied volatility and skewness of call and put options to gauge market sentiment - Construction Process: - Measure the implied volatility levels of SSE 50 and CSI 1000 indices - Calculate the skewness of call and put options for these indices - Evaluation: The implied volatility and skewness indicated potential adjustment risks for small-cap stocks[36][37] 4. Convertible Bond Market Factors - Factor Name: Conversion Premium Rate - Construction Idea: Monitor the premium rates and trading volume of convertible bonds - Construction Process: - Track the pure bond premium rate and conversion premium rate - Measure the trading volume of convertible bonds - Evaluation: The market showed stability in pure bond premium rates and an increase in low conversion premium rate bonds[38][39][41] Backtesting Results of Factors 1. Stock Market Factors - Size Style Volatility: Increased from low levels[11][13] - Value-Growth Style Volatility: Increased from low levels[11][13] - Industry Index Excess Return Dispersion: Decreased[11][13] - Turnover Rate: Decreased[12][13] 2. Commodity Market Factors - Trend Strength: Strong in energy and black metal sectors[28][30] - Volatility: Low in precious metals, non-ferrous metals, and agricultural products; high in energy and black metal sectors[28][30] - Liquidity: Best in the energy sector[28][30] 3. Options Market Factors - Implied Volatility: Stabilized after a mid-week jump[36][37] - Skewness: Increased for both call and put options in SSE 50; increased for put options in CSI 1000[36][37] 4. Convertible Bond Market Factors - Pure Bond Premium Rate: Stable[38][39][41] - Conversion Premium Rate: Stable[38][39][41] - Trading Volume: Reached the median level of the past year[38][39][41]