中银量化大类资产跟踪：权益市场波动率呈放大状态，小盘相对占优

• The report does not contain any specific quantitative models or factors for analysis [1][2][3][4] - The report provides an overview of the A-share market, including style performance and crowding levels, highlighting the relative performance of growth vs dividend, small-cap vs large-cap, micro-cap stocks vs CSI 800, and momentum vs reversal [24][25][33] - Growth vs Dividend: Crowding level is at a historically high position (69%), with cumulative excess net value also at a high level, showing an increase over the past week [33][34][36] - Small-cap vs Large-cap: Crowding level is at a historically low position (34%), with cumulative excess net value at a balanced level, showing an increase over the past week [36][38][39] - Micro-cap stocks vs CSI 800: Crowding level is at a historically high position (82%), with cumulative excess net value at an extremely high level, remaining stable over the past week [39][41][42] - Momentum vs Reversal: Momentum style outperformed reversal style this week, contrary to long-term trends, as the total amount of active stock funds decreased [44][46][49] - The report discusses the relationship between U.S. bond yields and style indices, noting deviations from long-term trends in the past week [44][46][47] - The report provides detailed calculations for style crowding levels and cumulative excess net value, including methodologies for Z-score standardization and rolling historical percentiles [127][128] - The report highlights the historical percentile of institutional research activity across indices, sectors, and industries, with notable activity in upstream cycles and industries like steel and consumer services [109][111][111] - The report includes data on A-share valuation and equity-bond risk premium (ERP), indicating that overall equity allocation is at a balanced level [66][77][86] - The report provides insights into fund flows, including issuance and existing scale of active and passive equity funds, showing mixed trends in recent weeks [90][100][103] - The report tracks major capital indices, showing relative performance against the Wind All A Index, with QFII and private equity indices leading gains [87][88][90] - The report discusses trends in bond yields and the China-U.S. yield spread, highlighting recent changes and historical positions [112][113][117] - The report analyzes currency market trends, noting the appreciation of the onshore and offshore RMB against the USD in the past week [119][121][122] - The report provides an overview of commodity market performance, with mixed results across different indices in China and the U.S. [123][125][126]