市场环境因子跟踪周报（2025.06.20）：贴水逐步收敛，小盘性价比上升-20250625

• The report tracks multiple quantitative factors across different markets, including equity market factors, commodity market factors, options market factors, and convertible bond market factors[7] Quantitative Factors and Construction Equity Market Factors - Factor Name: Market Style Factors - Construction Idea: Tracks the dominance of large-cap vs. small-cap and value vs. growth styles in the market[11][13] - Construction Process: - Large-cap vs. small-cap style: Evaluates the relative performance of large-cap stocks compared to small-cap stocks - Value vs. growth style: Assesses the relative performance of value-oriented stocks compared to growth-oriented stocks - Volatility metrics: Tracks the fluctuation in style dominance over time[11][13] - Evaluation: The market style is currently skewed towards large-cap and value stocks, with reduced volatility in style dominance[13] - Factor Name: Market Structure Factors - Construction Idea: Measures the dispersion and rotation within industry indices and stock concentration in trading[11][13] - Construction Process: - Industry index excess return dispersion: Tracks the spread of returns across different industry indices - Industry rotation speed: Measures the rate at which industries gain or lose prominence - Stock concentration: Evaluates the trading concentration of the top 100 stocks and the top 5 industries[11][13] - Evaluation: Industry return dispersion is at a one-year low, while industry rotation speed has increased. Stock concentration remains stable at low levels[13] - Factor Name: Market Activity Factors - Construction Idea: Tracks overall market volatility and turnover rates[12][13] - Construction Process: - Index volatility: Measures the fluctuation in market indices - Index turnover rate: Tracks the frequency of stock trading within indices[12][13] - Evaluation: Market volatility is at a one-year low, while turnover rates have slightly increased[13] Commodity Market Factors - Factor Name: Commodity Futures Factors - Construction Idea: Tracks trends, volatility, and liquidity across commodity sectors[28][31] - Construction Process: - Trend strength: Measures the directional movement in sectors like black metals, precious metals, and agricultural products - Volatility: Tracks the fluctuation in commodity prices - Liquidity: Assesses the ease of trading in different commodity sectors - Basis momentum: Evaluates the change in the basis (difference between spot and futures prices) for sectors like precious metals and non-ferrous metals[28][31] - Evaluation: Precious metals and non-ferrous metals show declining basis momentum, while agricultural products exhibit stronger trends. Liquidity in the energy sector is at a one-year high[31] Options Market Factors - Factor Name: Implied Volatility and Skewness - Construction Idea: Tracks implied volatility levels and skewness in options markets[36] - Construction Process: - Implied volatility: Measures the market's expectation of future volatility for indices like SSE 50 and CSI 1000 - Skewness: Evaluates the asymmetry in the distribution of returns, particularly for put options[36] - Evaluation: CSI 1000 implied volatility remains at historically low levels, and skewness for put options has increased, indicating reduced concerns over small-cap risks[36] Convertible Bond Market Factors - Factor Name: Convertible Bond Valuation Factors - Construction Idea: Tracks valuation metrics and trading activity in the convertible bond market[38] - Construction Process: - Premium rate: Measures the difference between the bond price and its conversion value - Trading activity: Tracks the turnover and liquidity in the convertible bond market - Credit spread: Evaluates the difference in yields between convertible bonds and risk-free bonds[38] - Evaluation: Premium rates have risen to near-May peaks, while low-premium bonds have decreased in proportion. Credit spreads have slightly narrowed[38] Backtesting Results Equity Market Factors - Market Style Factors: - Large-cap dominance observed - Value style outperformed growth style - Style volatility reduced to a one-year low[13] - Market Structure Factors: - Industry return dispersion at a one-year low - Increased industry rotation speed - Stable stock concentration at low levels[13] - Market Activity Factors: - Volatility at a one-year low - Slight increase in turnover rates[13] Commodity Market Factors - Commodity Futures Factors: - Decline in trend strength for black and precious metals - Increase in agricultural product trends - Energy sector liquidity at a one-year high - Decline in basis momentum for precious and non-ferrous metals[31] Options Market Factors - Implied Volatility and Skewness: - CSI 1000 implied volatility at historical lows - Increased skewness for put options, indicating reduced small-cap risk concerns[36] Convertible Bond Market Factors - Convertible Bond Valuation Factors: - Premium rates near May peaks - Decrease in low-premium bonds - Slight narrowing of credit spreads[38]