需求主导的高位再吸筹

• The report introduces a "three-dimensional timing framework" for market analysis, which includes divergence, liquidity, and prosperity indices. This framework is used to assess market trends and predict future movements, indicating a mid-term bullish outlook for the CSI 300 index[7][12][16] - The "Hotspot Trend ETF Strategy" is constructed by selecting ETFs with simultaneous upward trends in their highest and lowest prices. Further filtering is done based on the steepness of the regression coefficients of these prices over the past 20 days. A support-resistance factor is then created, and the top 10 ETFs with the highest turnover rates in the past 5 and 20 days are selected to form a risk-parity portfolio[29][30][33] - The "Funds Flow Resonance Strategy" combines financing net purchases and active large-order funds flow. The financing factor is defined as the market-neutralized financing net purchase minus net short selling, with a 50-day average and two-week rate of change. The active large-order factor is based on the net inflow ranking of industry transaction volumes over the past year, with a 10-day average. The strategy excludes extreme industries and large financial sectors to improve stability. Since 2018, this strategy has achieved an annualized excess return of 13.5% and an IR of 1.7[37][40] - The report tracks multiple style factors, including beta, growth, and value. Beta and growth factors recorded positive returns, with growth achieving a monthly return of 4.74%. Conversely, the value factor showed negative returns, underperforming high-valuation stocks[43][44] - Alpha factors are analyzed across different dimensions, such as time and market capitalization. Factors like "fund holdings relative to float shares" and "top ten holdings relative to net asset value" performed well, achieving weekly excess returns of over 1%. Additionally, research and development-related factors showed strong performance across various indices, with higher excess returns observed in small-cap stocks[47][48][50] - The report highlights the weekly performance of style factors, with beta achieving a return of 2.19%, growth at 1.51%, and value at -1.42%. Other factors like size, momentum, and liquidity also showed varying levels of performance[43][44]