市场环境因子跟踪周报（2025.05.30）：股指期货深度贴水，小盘调整压力上升-20250604

Quantitative Factors and Models Summary Quantitative Factors and Construction Methods 1. Factor Name: Market Style Factor Construction Idea: This factor tracks the market's preference for small-cap versus large-cap stocks and growth versus value stocks over the observed period Construction Process: - The factor is divided into two dimensions: size (small-cap vs. large-cap) and style (growth vs. value) - The factor measures the relative performance of small-cap stocks compared to large-cap stocks and growth stocks compared to value stocks - Observations include the directional bias (e.g., small-cap preference) and the volatility of these style preferences Evaluation: The factor indicates a market preference for small-cap and growth stocks, but with increased volatility, suggesting instability in market style trends [11][12] 2. Factor Name: Market Structure Factor Construction Idea: This factor evaluates the dispersion and concentration of returns across industries and stocks to assess market structure dynamics Construction Process: - Industry excess return dispersion is calculated to measure the spread of returns across different sectors - Metrics such as the proportion of rising constituent stocks and the turnover concentration of the top 100 stocks and top 5 industries are tracked - Changes in these metrics are used to infer market structure stability and concentration trends Evaluation: The factor shows a decline in industry return dispersion and a slight increase in stock and industry concentration, indicating a more concentrated market structure [11][12] 3. Factor Name: Market Activity Factor Construction Idea: This factor measures market activity through volatility and turnover rates Construction Process: - Index volatility is calculated to assess market fluctuations - Turnover rates, particularly for indices like the SSE 50, are tracked to gauge trading activity - Observations include changes in these metrics over time Evaluation: The factor reveals a slight increase in market volatility but a continued decline in turnover rates, especially for the SSE 50, indicating reduced market activity [11][12] 4. Factor Name: Commodity Market Factors Construction Idea: These factors analyze trends, momentum, volatility, and liquidity in commodity markets Construction Process: - Trend Strength: Tracks the continuation of trends in sectors like energy and metals - Basis Momentum: Measures the momentum of basis changes, with specific focus on sectors like agriculture and metals - Volatility: Assesses the level of price fluctuations in different commodity sectors - Liquidity: Evaluates the trading activity and ease of transactions in commodity markets Evaluation: The factors highlight strong trends in energy and metals, low basis momentum in agriculture, high volatility in energy, and strong liquidity in energy and metals [23][27] 5. Factor Name: Option Market Factors Construction Idea: These factors assess market sentiment and risk expectations through option pricing metrics Construction Process: - Implied Volatility: Tracks the implied volatility of options on indices like SSE 50 and CSI 1000 - Skewness: Measures the relative pricing of put options versus call options to infer market sentiment - Open Interest: Monitors changes in open interest to gauge market positioning Evaluation: The factors suggest stable short-term sentiment but highlight potential downside risks for small-cap stocks based on skewness and rising open interest in put options [33][34] 6. Factor Name: Convertible Bond Market Factors Construction Idea: These factors analyze valuation and liquidity dynamics in the convertible bond market Construction Process: - Valuation Metrics: Tracks metrics like the premium rate of bonds near par value and the proportion of low-premium bonds - Liquidity Metrics: Monitors trading volume and credit spreads Evaluation: The factors indicate a slight recovery in valuation metrics but a rise in low-premium bonds, with stable trading volumes and narrowing credit spreads [35][37] Factor Backtesting Results 1. Market Style Factor: - Small-cap preference observed - Growth style preference observed - Increased volatility in both dimensions [11][12] 2. Market Structure Factor: - Industry return dispersion decreased - Stock and industry concentration slightly increased [11][12] 3. Market Activity Factor: - Market volatility slightly increased - Turnover rates decreased, especially for SSE 50 [11][12] 4. Commodity Market Factors: - Strong trends in energy and metals - Low basis momentum in agriculture - High volatility in energy - Strong liquidity in energy and metals [23][27] 5. Option Market Factors: - Stable implied volatility for SSE 50 and CSI 1000 - Skewness favors put options for CSI 1000 - Rising open interest in put options for CSI 1000 [33][34] 6. Convertible Bond Market Factors: - Premium rates near par value slightly recovered - Proportion of low-premium bonds increased - Trading volumes stable - Credit spreads narrowed [35][37]