金融工程周报：动量因子延续强势-20250922

Report Investment Rating - The operation rating for CITIC Five-Style - Growth is ★☆☆, indicating a bullish bias but with limited operability in the market [5] Core Viewpoints - In the week ending September 19, 2025, the weekly returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were -0.27%, -0.03%, and 0.24% respectively. The growth and cyclical styles of CITIC Five-Style closed up, while the others closed down. The growth style continued to strengthen in terms of indicator momentum [5] - Among public funds, the ordinary stock strategy performed well with a weekly return of 0.48%. The convertible bond strategy in the bond strategy weakened, and the pure bond strategy's return rebounded. The net value of the soybean meal ETF declined by 2.68%, and the return of the precious metal ETF slightly corrected [5] - In the neutral strategy, the basis of IH, IF, and IC contracts was within 1 standard deviation of the three - month average, and the IM contract was below -1 standard deviation of the three - month average, indicating that the hedging cost was still at a relatively high level [5] - The short - term momentum factor had a good performance with a weekly excess return of 1.84%. The leverage and ALPHA factors continued to weaken, and the winning rate of the dividend factor rebounded month - on - month [5] - According to the latest score of the style timing model, the growth style rebounded this week, while the consumption and stable styles weakened, and the current signal favored the growth style [5] Summary by Directory Fund Market Review - The ordinary stock strategy in the public fund market performed well with a weekly return of 0.48%. The convertible bond strategy in the bond strategy weakened, and the pure bond strategy's return rebounded. The net value of the soybean meal ETF declined by 2.68%, and the precious metal ETF's return slightly corrected [5] - The financial - style funds in the public fund pool had excellent excess performance with a weekly excess return of 3.14%. The product's deviation from the growth style increased marginally, and the overall market indicator of the crowding degree declined slightly this week. The financial style was in a historically high - crowding range [5] Equity Market Strategy - In the neutral strategy, as of last Friday, the basis of IH, IF, and IC contracts was within 1 standard deviation of the three - month average, and the IM contract was below -1 standard deviation of the three - month average, indicating a relatively high hedging cost. The premium rates of the spot index ETFs corresponding to IH and IF were in the high quantile range of the past three months, while those of IC and IM were in the medium quantile range [5] - The short - term momentum factor had a weekly excess return of 1.84%. The leverage and ALPHA factors continued to weaken, and the winning rate of the dividend factor rebounded month - on - month. The cross - section rotation speed of factors rebounded month - on - month and was currently in the low - to - medium quantile range of the past year [5] - According to the style timing model, the growth style rebounded this week, the consumption and stable styles weakened, and the signal favored the growth style. The return of the style timing strategy last week was -1.72%, and the excess return compared to the benchmark balanced allocation was -0.71% [5]