金融工程周报：中长期动量因子收益回升-20251201

1. Report Industry Investment Rating - The report gives a "★☆☆" rating to the CITIC Five - Style - Growth, indicating a bullish bias but with limited trading opportunities on the market [4]. 2. Core Viewpoints - As of the week ending November 28, 2025, the weekly returns of Tonglian All - A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond Index, and Nanhua Commodity Index were 2.87%, - 0.26%, and 1.99% respectively. In the public fund market, equity strategies rebounded in the past week, while medium - and long - term pure - bond strategies declined. The net value of silver futures ETF increased significantly by 5.07%, and the returns of energy and chemical ETFs stabilized and rebounded. Among the CITIC five - styles, all styles rose last Friday, with the growth style leading in terms of returns. The style rotation chart shows that the relative strength of the financial style declined, while that of the consumer style strengthened. The medium - and long - term momentum factor's return rebounded, with a weekly excess return rate of 1.66%. According to the latest score of the style timing model, the growth style strengthened this week, and the signal currently favors the growth style [3][4]. 3. Summary by Relevant Catalogs Fund Market Review - In the public fund market, equity strategies rebounded in the past week, with the ordinary stock strategy index rising 3.33%. Medium - and long - term pure - bond strategies declined. The net value of silver futures ETF increased by 5.07%, and the returns of energy and chemical ETFs stabilized and rebounded [4]. Equity Market Style - CITIC Five - Style Performance: All five styles of CITIC rose last Friday, with the growth style leading in returns. The style rotation chart shows that the relative strength of the financial style declined, and that of the consumer style strengthened. In the public fund pool, financial and growth - style funds outperformed their benchmarks on average in the past week. The market's deviation towards cyclical and financial styles increased. The congestion index changed little compared to last week, and the congestion of financial - style funds is currently in the relatively high - percentile range of the past year [4]. - Neutral Strategy: As of last week, the basis of stock index futures (futures - spot) fluctuated and weakened. The basis of IC and IM fell below the average of the past three months. Meanwhile, the average premium rate index of the corresponding ETFs of stock indices decreased month - on - month and dropped to the low - percentile range of the past three months [4]. - Barra Factors: The return of the medium - and long - term momentum factor rebounded in the past week, with a weekly excess return rate of 1.66%. The leverage and profitability factors weakened slightly. In terms of win - rate, the liquidity factor weakened, and the reversal factor rebounded. The cross - sectional rotation speed of factors continued to increase this week and is currently in the high - percentile range of the past year [4]. - Style Timing: According to the latest score of the style timing model, the growth style strengthened this week, and the stable style declined slightly. The current signal favors the growth style. The return of the style timing strategy last week was 0.80%, and the excess return compared to the benchmark balanced allocation was - 1.19% [4].