中银量化大类资产跟踪：微盘股回撤，拥挤度下行，处于历较低位置

• The report does not contain any specific quantitative models or factors for analysis[1][2][3] - The report provides a detailed overview of A-share market trends, including style performance, crowding levels, valuation metrics, and fund flows[20][26][36] - Style crowding levels and excess cumulative net values are calculated using z-score standardization of daily turnover rates over historical data, with a rolling window of 6 years for crowding levels and cumulative net values relative to Wind All A Index[123][124] - Institutional research activity percentile is calculated using z-score standardization of daily institutional research counts over rolling historical windows of 6 years for long-term and 3 years for short-term[125] - The report highlights the relationship between U.S. bond yields and style indices, noting deviations from historical patterns in recent weeks[47][49][50] - Fund flow analysis indicates that active equity funds are in a long-term decline phase, with reversal outperforming momentum over the long term, but recent trends show deviations from this pattern[51][52] - A-share valuation metrics show PE_TTM at historically high percentiles, with core indices like CSI 300 and CSI 500 also at high percentiles, while the equity risk premium (ERP) remains at balanced levels[64][74][80] - The report tracks major commodity indices, showing mixed performance in Chinese and U.S. markets over the past week[120][121][122]