市场环境因子跟踪周报（2025.09.17）：市场波动加剧，但上行趋势不变-20250917

Quantitative Factors and Construction Methods 1. Factor Name: Market Style Factor - Construction Idea: This factor tracks the market's preference for different styles, such as large-cap vs. small-cap and value vs. growth, as well as the volatility of these styles[13][15] - Construction Process: - Size Style: Measure the relative performance of small-cap stocks against large-cap stocks - Value-Growth Style: Measure the relative performance of growth stocks against value stocks - Volatility: Calculate the changes in the above style preferences over time to assess their stability[13][15] - Evaluation: The factor effectively captures the market's shifting preferences and provides insights into style rotations[13][15] 2. Factor Name: Market Structure Factor - Construction Idea: This factor evaluates the dispersion and rotation within industry indices, as well as the concentration of trading activity[13][15] - Construction Process: - Industry Dispersion: Calculate the excess return dispersion across industry indices - Industry Rotation: Measure the speed of rotation among industries - Trading Concentration: Assess the proportion of trading volume concentrated in the top 100 stocks and the top 5 industries[13][15] - Evaluation: The factor provides a comprehensive view of market dynamics, including sectoral shifts and trading behavior[13][15] 3. Factor Name: Market Activity Factor - Construction Idea: This factor tracks the overall market activity through volatility and turnover rates[14][15] - Construction Process: - Volatility: Measure the index-level volatility over the observation period - Turnover Rate: Calculate the turnover rate of the market index to gauge trading activity[14][15] - Evaluation: The factor is useful for understanding the market's risk appetite and liquidity conditions[14][15] 4. Factor Name: Commodity Market Factor - Construction Idea: This factor evaluates the performance and dynamics of commodity markets, focusing on trend strength, basis momentum, volatility, and liquidity[21][26] - Construction Process: - Trend Strength: Assess the strength of price trends in commodity sectors like metals and energy - Basis Momentum: Measure the changes in the basis (spot price vs. futures price) across sectors - Volatility: Calculate the price volatility for each commodity sector - Liquidity: Evaluate the trading liquidity and its fluctuations across sectors[21][26] - Evaluation: The factor provides a detailed view of commodity market conditions, highlighting sector-specific trends and risks[21][26] 5. Factor Name: Option Market Factor - Construction Idea: This factor analyzes the implied volatility and skewness in the options market, focusing on indices like SSE 50 and CSI 1000[30] - Construction Process: - Implied Volatility: Track the implied volatility levels for SSE 50 and CSI 1000 options - Skewness: Measure the skewness in the implied volatility distribution to assess market sentiment[30] - Evaluation: The factor captures market sentiment and risk perception, particularly in large-cap and small-cap indices[30] 6. Factor Name: Convertible Bond Market Factor - Construction Idea: This factor evaluates the performance and valuation of the convertible bond market, focusing on premium rates and trading activity[33] - Construction Process: - Premium Rates: Analyze the parity premium and low-premium bond proportions - Trading Activity: Measure the total trading volume and its changes over time[33] - Evaluation: The factor provides insights into the convertible bond market's valuation and liquidity conditions[33] --- Factor Backtesting Results 1. Market Style Factor - Size Style: Small-cap preference increased - Value-Growth Style: Growth style outperformed value - Volatility: Size style volatility increased, while value-growth style volatility decreased[15] 2. Market Structure Factor - Industry Dispersion: Increased - Industry Rotation: Accelerated - Trading Concentration: Top 100 stocks' trading share rose, while top 5 industries' share remained stable[15] 3. Market Activity Factor - Volatility: Increased - Turnover Rate: Increased[15] 4. Commodity Market Factor - Trend Strength: Metals and energy sectors strengthened - Basis Momentum: Declined across all sectors - Volatility: Declined in the black sector, stable in others - Liquidity: Fluctuated but remained stable overall[26] 5. Option Market Factor - Implied Volatility: SSE 50 remained stable, CSI 1000 declined - Skewness: CSI 1000 skewness and implied volatility recovered quickly[30] 6. Convertible Bond Market Factor - Premium Rates: Parity premium remained stable, low-premium bond proportion unchanged - Trading Activity: Slight decline in trading volume, but still supported[33]