金融工程市场跟踪周报：市场或转向风格均衡-20250707

• The report discusses a "Volume Timing Signal" model, which indicates a bullish view for the SSE 50 index, while other broad-based indices are in a cautious zone as of July 4, 2025[2][23][24] - The "HS300 Upward Stock Proportion Sentiment Indicator" is introduced, which calculates the proportion of HS300 constituent stocks with positive returns over a specific period. This indicator is used to gauge market sentiment, identifying optimistic or overheated market conditions. The formula is: $ HS300\ Upward\ Stock\ Proportion = \frac{\text{Number of HS300 stocks with positive returns in N days}}{\text{Total HS300 stocks}} $[24][25] - The "Momentum Sentiment Indicator" is constructed by smoothing the HS300 upward stock proportion indicator over two different time windows (N1=50, N2=35). A bullish signal is generated when the short-term smoothed line exceeds the long-term smoothed line[28][29] - The "Moving Average Sentiment Indicator" is based on the eight moving averages (8, 13, 21, 34, 55, 89, 144, 233). The indicator assigns values based on the number of moving averages above or below the HS300 closing price. A bullish signal is triggered when the number of moving averages below the price exceeds five[33][34][35] - The "Cross-Sectional Volatility" factor is analyzed, showing an increase in cross-sectional volatility for HS300, CSI500, and CSI1000 constituent stocks in the short term, indicating an improved Alpha environment. The recent quarterly average cross-sectional volatility for HS300 is 1.66%, CSI500 is 1.88%, and CSI1000 is 2.22%[39][44] - The "Time-Series Volatility" factor is also examined, revealing a decline in time-series volatility for HS300 and CSI500, suggesting a deteriorating Alpha environment. The recent quarterly average time-series volatility for HS300 is 0.52%, CSI500 is 0.41%, and CSI1000 is 0.25%[44][47] - The "Fund Concentration Dispersion Indicator" is used to monitor the degree of fund concentration. It is calculated as the standard deviation of cross-sectional returns of concentrated fund portfolios. A lower standard deviation indicates higher concentration, while a higher standard deviation suggests dispersion. The indicator showed a slight increase in dispersion in the last week[86][88]