主动量化周报：微观结构再平衡达到临界点：回调空间有限-20251123

• The report discusses the concept of "microstructure rebalancing" in the A-share market, which has reached a critical point, suggesting that the recent market pullback is primarily due to the unwinding of quantitative hedging products, with limited downside potential in the future[1][4][14] - The report highlights the significant narrowing of the basis in the market, indicating that the impact of hedging product unwinding has been largely absorbed, and quantitative strategies are expected to shift towards identifying new entry points, potentially bringing incremental funds to small-cap stocks[3][13] - The report evaluates the performance of BARRA style factors, noting that fundamental factors remain divergent, with a preference for value over growth stocks, particularly high-dividend assets with EP value, and stocks with high investment and earnings quality, which are expected to deliver higher excess returns[25] - The report also mentions the performance of trading-related factors, indicating that both short-term momentum and long-term reversal stocks experienced significant pullbacks during the week, while high-volatility stocks showed some excess returns[25] - The report identifies that the market is currently transitioning from a phase of uniform upward movement to a phase of divergence and then to a phase of uniform downward expectations, driven by the microstructure rebalancing process[4][14] - The report suggests that the current market correction is an opportunity to increase positions in dividend ETFs and chemical ETFs, as the upward trend is expected to continue[1][11][14]