市场环境因子跟踪周报（2025.09.24）：假期临近，市场延续震荡-20250924

Quantitative Factors and Construction 1. Factor Name: Market Style Factors - Construction Idea: The market style factors track the performance and volatility of different market styles, such as large-cap vs. small-cap and value vs. growth, to identify prevailing market trends and shifts in investor preferences [12][14] - Construction Process: - Size Style: Measure the relative performance of small-cap stocks versus large-cap stocks - Value-Growth Style: Measure the relative performance of value-oriented stocks versus growth-oriented stocks - Volatility Metrics: Calculate the volatility of each style to assess the stability of the trend - Evaluation: These factors provide insights into the dominant market style and its stability, which can guide portfolio allocation strategies [12][14] 2. Factor Name: Market Structure Factors - Construction Idea: These factors analyze the dispersion and concentration of returns across industries and stocks to understand market breadth and sector rotation [12][14] - Construction Process: - Industry Excess Return Dispersion: Measure the spread of excess returns across industry indices - Sector Rotation Speed: Quantify the rate at which different sectors outperform or underperform - Stock Concentration: Calculate the proportion of total market turnover contributed by the top 100 stocks and the top 5 industries - Evaluation: These factors help identify whether the market is driven by a few sectors or stocks, or if performance is more evenly distributed [12][14] 3. Factor Name: Market Activity Factors - Construction Idea: These factors measure the overall activity and liquidity in the market, including volatility and turnover rates, to gauge investor participation and sentiment [13][14] - Construction Process: - Market Volatility: Calculate the standard deviation of market returns over a specific period - Turnover Rate: Measure the trading volume relative to the total market capitalization - Evaluation: These factors are useful for assessing market sentiment and liquidity conditions, which are critical for timing and risk management [13][14] 4. Factor Name: Commodity Market Factors - Construction Idea: These factors track trends, momentum, and liquidity in commodity markets to identify opportunities and risks in different commodity sectors [24][30] - Construction Process: - Trend Strength: Measure the directional movement in commodity prices for sectors like metals, energy, and agriculture - Basis Momentum: Calculate the change in the basis (spot price minus futures price) over time - Volatility: Assess the price fluctuations in commodity indices - Liquidity: Measure the trading volume and bid-ask spread in commodity markets - Evaluation: These factors provide a comprehensive view of commodity market dynamics, aiding in asset allocation and hedging strategies [24][30] 5. Factor Name: Option Market Factors - Construction Idea: These factors analyze implied volatility and skewness in option markets to infer market expectations and risk sentiment [33][34] - Construction Process: - Implied Volatility: Measure the market's expectation of future volatility for indices like SSE 50 and CSI 1000 - Option Skewness: Calculate the difference in implied volatility between out-of-the-money calls and puts to assess directional bias - Evaluation: These factors are valuable for understanding market sentiment and hedging demand, especially during periods of uncertainty [33][34] 6. Factor Name: Convertible Bond Market Factors - Construction Idea: These factors evaluate the valuation and liquidity of convertible bonds to identify market trends and investment opportunities [36][39] - Construction Process: - Conversion Premium: Measure the difference between the market price of the bond and its conversion value - Low Premium Proportion: Calculate the proportion of bonds with low conversion premiums - Market Liquidity: Assess the trading volume and turnover in the convertible bond market - Evaluation: These factors provide insights into the attractiveness and liquidity of convertible bonds, which are important for fixed-income and hybrid strategies [36][39] --- Backtesting Results of Factors 1. Market Style Factors - Size Style: Small-cap outperformed large-cap during the week [12][14] - Value-Growth Style: Growth stocks outperformed value stocks during the week [12][14] - Volatility: Size style volatility decreased, while value-growth style volatility increased [12][14] 2. Market Structure Factors - Industry Excess Return Dispersion: Remained stable compared to the previous week [12][14] - Sector Rotation Speed: Decreased compared to the previous week [12][14] - Stock Concentration: Top 100 stocks and top 5 industries maintained their turnover proportions [12][14] 3. Market Activity Factors - Market Volatility: Slightly decreased during the week [13][14] - Turnover Rate: Remained at a high level over the past year [13][14] 4. Commodity Market Factors - Trend Strength: Increased for metals and precious metals, decreased for energy commodities [24][30] - Basis Momentum: Declined across all commodity sectors [24][30] - Volatility: Increased slightly across all commodity sectors [24][30] - Liquidity: Showed mixed performance across different sectors [24][30] 5. Option Market Factors - Implied Volatility: SSE 50 and CSI 1000 remained in a range-bound state [33][34] - Option Skewness: Call skewness decreased, indicating reduced bullish sentiment [33][34] 6. Convertible Bond Market Factors - Conversion Premium: Stable for bonds priced around par value [36][39] - Low Premium Proportion: Increased significantly, indicating rising demand for low-premium bonds [36][39] - Market Liquidity: Maintained healthy trading levels [36][39]