招期金工股票策略环境监控周报：本周宽基指数二八分化上行，双节前建议降低权益敞口或对冲风险或布局做多波动率策略-20250929

Report Industry Investment Rating - No relevant content found. Core Views - From the perspective of cumulative returns this year, the three best - performing indices are the Micro - cap Index (+65.84%), the ChiNext Index (+47.16%), and the STAR 50 Index (+46.71%), while the three weakest are the CSI Dividend (-2.27%), the Shanghai Composite Index (+14.21%), and the CSI 300 (+15.63%) [10][12]. - Looking ahead, recent option sentiment dimensions indicate a bearish sentiment for the CSI 1000, CSI 300, and CSI 500, and combined with factors such as institutional fund withdrawals, it may suggest further market adjustments. Investors need to manage risks in the short - term [10]. - In terms of positions, the overall stock long - only strategy should maintain a moderately low position, and the neutral strategy should further reduce the position to a moderately low level before the holiday [10]. Summary by Directory 1. Equity Market Review - Factor Calendar Overview: This week, most of the equity market rose. The CSI A500 rose 1.19%, the CSI 300 rose 1.07%, the CSI 500 rose 0.98%, the CSI All - Share rose 0.21%, the CSI Dividend fell 0.25%, the CSI 1000 fell 0.55%, and the CSI 2000 fell 1.79%. The best - performing Barra style factors were size, growth, and momentum, with returns of 0.61%, 0.56%, and 0.18% respectively, while the worst were value, BETA, and residual volatility, with returns of -0.41%, -0.61%, and -1.17% respectively [14][15]. - Main Broad - based Index Review: - Short - term Market Activity: It is at a moderately high level but shows a marginal decline. The CSI All - Share's daily average trading volume was 2.26 trillion yuan. The trading volume proportions of the CSI 300 and CSI 500 increased marginally, while those of the CSI 2000, CSI 1000, and others decreased marginally [20][22]. - Medium - term Market Activity: It is at a moderately high level. The CSI All - Share's 20 - day rolling average daily trading volume was 2.39 trillion yuan. The trading volume proportions of the CSI 300 and CSI 500 increased marginally, while those of the CSI 2000, CSI 1000, and others decreased marginally [23][25]. - Volatility: Most broad - based indices rose, and volatility generally declined. For example, the CSI 500's volatility was 23.63% (82.41% quantile), with a marginal weekly decline of 0.79% [17][19]. - Equity Industry Index Review: This week, 19.4% of industries had positive returns, with the power equipment sector leading. The top three industries in terms of weekly returns were power equipment (3.86%), non - ferrous metals (3.52%), and electronics (3.51%), while the bottom three were retail (-4.32%), comprehensive (-4.61%), and social services (-5.92%) [26]. - Equity Style Factor Review: - Barra Style Factors: The size, growth, and momentum factors performed well, with returns of 0.61%, 0.56%, and 0.18% respectively, while the value, BETA, and residual volatility factors performed poorly, with returns of -0.41%, -0.61%, and -1.17% respectively [30]. - Giant Tide Style Indices: Most of them rose. The top three indices in terms of returns were large - cap growth (2.48%), mid - cap growth (2.30%), and small - cap growth (2.03%), while the bottom three were mid - cap value (0.56%), large - cap value (-0.34%), and small - cap value (-0.85%) [34]. - Stock Index Futures Market Review: - Premium Convergence and Volatility: The premium of IC, IF, and IM contracts converged, and volatility generally declined [36][38]. - Impact on Neutral Products: From the perspective of quarterly - contract hedging, the estimated average returns of neutral products affected by the hedging of IF, IC, and IM contracts were -0.280%, -0.270%, and -0.320% respectively [39]. - Options Market Review: This week, implied volatility generally declined, which is expected to be unfavorable for option - buying and arbitrage strategies. The top three products with the highest implied volatility were the E Fund STAR 50 ETF (50.20%), the Huaxia STAR 50 ETF (49.84%), and the E Fund ChiNext ETF (42.33%), while the bottom three were the CSI 300 Index (19.51%), the SSE 50 Index (19.10%), and the Huaxia SSE 50 ETF (18.48%) [41][42]. 2. Strategy Environment Monitoring - Intraday Alpha Environment for Neutral and Index - Enhancement Strategies: Overall, it is unfavorable for intraday Alpha accumulation. Although liquidity slightly increased and volatility slightly decreased, the net capital outflow was 516 billion yuan per day this week [44][49]. - Trading - based Alpha Environment for Neutral and Index - Enhancement Strategies: Overall, it is unfavorable for trading - based Alpha accumulation. Although trading volume and turnover rate are at high levels and stock differentiation is in a high - level range, the number of stocks outperforming the benchmark index is low and shows a marginal decline [50][55]. - Holding - based Alpha Environment for Neutral and Index - Enhancement Strategies: Overall, it is unfavorable for holding - based Alpha accumulation. Although stock liquidity is at a high level, factors such as market style, the proportion of stocks outperforming the index, and factor rotation speed have a negative impact [58][74]. - Hedging Environment for Neutral Strategies: The basis spread fluctuation is in a moderately high - level range, posing certain challenges to cost control. The IF, IC, and IM basis spreads all converged this week [75][80]. 3. Future Strategy Research and Judgment - Return Performance: From the 20 - day rolling returns, the relative returns of the CSI 1000, CSI 2000, and CSI 500 to the CSI 300 are in the normal range, and the return of the CSI 300 is also in the normal range [84]. - Derivatives Option Sentiment: The option sentiment dimension shows that the sentiment of the CSI 1000 is stable, while the CSI 300 and CSI 500 are bearish [88]. - Derivatives Futures Sentiment: The futures sentiment dimension shows that the basis spreads of IC, IF, and IM all converged, with a differentiated overall sentiment [92]. - Risk Preference: As of September 25, 2025, the margin trading balance was 2.43 trillion yuan, at a high - level range in the past three years, indicating a high risk preference [95]. - Trading Heat: The trading heat of the CSI 300, CSI 500, CSI 1000, and CSI 2000, as well as the market trading volume, are at different quantile levels [97]. - Style Attention Multiple: The CSI 1000 is in the normal range, the CSI 500 is in the high - level range, and the CSI 2000 is in the extremely low - level range [100]. - Profit Spread: The profit spreads of the CSI 1000, CSI 500, CSI 2000, and CSI 300 are in the low or extremely low - level ranges [103]. - Dividend Spread: The dividend spreads of the CSI 1000, CSI 500, CSI 2000, and CSI 300 are in the normal range [105]. - Trading Congestion: The trading heat of the TMT sector is in the high - level range, the trading heat of the micro - cap sector is in the normal range, and the market trading volume is in the extremely high - level range [111].