金融工程周报：成长因子收益边际回升-20251215

1. Report Industry Investment Rating - The investment rating for the growth style of CITIC's five - style classification is ★☆☆, indicating a bullish but less operable trend [4] 2. Core Viewpoints - In the week ending December 12, 2025, the weekly returns of Tonglian All - A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were 0.26%, 0.11%, and - 1.21% respectively. The return of pure - bond strategies in the public fund market rebounded slightly, and the return of ordinary stock strategies in equity strategies was relatively strong. The return of precious metal ETFs continued to rise, with the silver futures ETF rising 9.27%, while energy - chemical and soybean meal ETFs declined [4] - Among CITIC's five styles, the growth style rose last week, while the other styles fell. The style rotation chart shows that the relative strength of the growth and financial styles increased marginally, and the relative strength momentum of the stable style decreased significantly [4] - In the public fund pool, the average excess performance of financial - style funds was relatively weak in the past week. The market's deviation from the cyclical style decreased according to the trend of fund style coefficients. The crowding indicator rebounded slightly compared to last week. Currently, the crowding of cyclical - style funds has risen to a relatively high quantile range in the past year, while the crowding of financial and consumption styles is in a relatively low quantile range in the past year [4] - In the neutral strategy, as of last Friday, the basis (futures - spot) of IH and IF contracts weakened and fell below one - standard - deviation below the three - month average. The basis of IC and IM contracts showed a slight rebound. At the same time, the average premium rate of corresponding stock - index ETFs decreased month - on - month, and the average premium rate of all ETFs except the 1000ETF fell to a relatively low quantile range in the past three months [4] - Among Barra factors, the liquidity factor stabilized in the past week, with a weekly excess return of 0.64%. The excess performance of ALPHA and residual momentum factors was weak. In terms of winning rates, the growth and liquidity factors increased month - on - month, while the profitability factor weakened slightly. The cross - sectional rotation speed of factors decreased marginally this week and is currently in a medium quantile range in the past year [4] - According to the latest scoring results of the style timing model, the stable style decreased month - on - month this week, and the current signal favors the growth style. The return of the style timing strategy last week was - 1.06%, and the excess return compared to the benchmark balanced allocation was - 0.68% [4] 3. Summary by Relevant Catalogs Fund Market Review - The return of pure - bond strategies in the public fund market rebounded slightly in the past week. In equity strategies, the return of ordinary stock strategies was relatively strong, the return of precious metal ETFs continued to rise, the silver futures ETF rose 9.27%, and energy - chemical and soybean meal ETFs declined [4] Equity Market Style - Among CITIC's five styles, the growth style rose last week, while the other styles fell. The relative strength of the growth and financial styles increased marginally, and the relative strength momentum of the stable style decreased significantly [4] - In the public fund pool, the average excess performance of financial - style funds was relatively weak in the past week. The market's deviation from the cyclical style decreased according to the trend of fund style coefficients. The crowding indicator rebounded slightly compared to last week. Currently, the crowding of cyclical - style funds has risen to a relatively high quantile range in the past year, while the crowding of financial and consumption styles is in a relatively low quantile range in the past year [4] Neutral Strategy - As of last Friday, the basis (futures - spot) of IH and IF contracts weakened and fell below one - standard - deviation below the three - month average. The basis of IC and IM contracts showed a slight rebound. At the same time, the average premium rate of corresponding stock - index ETFs decreased month - on - month, and the average premium rate of all ETFs except the 1000ETF fell to a relatively low quantile range in the past three months [4] Barra Factors - The liquidity factor stabilized in the past week, with a weekly excess return of 0.64%. The excess performance of ALPHA and residual momentum factors was weak. In terms of winning rates, the growth and liquidity factors increased month - on - month, while the profitability factor weakened slightly. The cross - sectional rotation speed of factors decreased marginally this week and is currently in a medium quantile range in the past year [4] Style Timing Model - According to the latest scoring results, the stable style decreased month - on - month this week, and the current signal favors the growth style. The return of the style timing strategy last week was - 1.06%, and the excess return compared to the benchmark balanced allocation was - 0.68% [4]