市场进入上涨趋势

• The report discusses the "Three-Dimensional Timing Framework" which includes liquidity, divergence, and prosperity as key factors for market timing[8][12][13] - The "ETF Hot Trend Strategy" is constructed by selecting ETFs with both highest and lowest prices in an upward trend, and further selecting those with the highest turnover rate in the past 5 days relative to the past 20 days to form a risk parity portfolio[29] - The "Three-Strategy Fusion" combines industry rotation strategies based on fundamental rotation, quality low volatility, and distressed reversal to achieve factor and style complementarity, reducing the risk of a single strategy[32][33][34] Model Backtesting Results - The "ETF Hot Trend Strategy" achieved a return of 43.6% year-to-date, with an excess return of 22.4% compared to the CSI 300 Index[29] - The "Three-Strategy Fusion" ETF rotation strategy had a return of 12.18% and a Sharpe ratio of 0.74 as of December 31, 2025, with a year-to-date return of 27.29%[37][38] Factor Construction and Performance - The "Beta Factor" recorded a positive return of 1.47% for the week, indicating a preference for high-beta stocks[50] - The "Growth Factor" recorded a positive return of 0.26% for the week, reflecting market attention to high-growth stocks[50] - The "Liquidity Factor" recorded a positive return of 0.16% for the week, indicating market preference for highly liquid stocks[50] Alpha Factor Performance - The "3-Month Average Trading Volume" factor showed the best performance with an excess return of 0.68% for the week[54][56] - The "3-Month Trading Volume Standard Deviation" factor also performed well with an excess return of 0.65% for the week[54][56] - In large-cap indices, the "Single Quarter ROA YoY Change" factor had an excess return of 28.46% in the CSI 300 Index[57][58] - In small-cap indices, the "Consensus Earnings Change (FY1)" factor had an excess return of 21.95% in the CSI 800 Index[57][58] Multi-Style Enhanced Strategy - The "Dividend Enhancement Strategy" performed well with an excess return of 0.68% for the week and an annualized excess return of 14.44% year-to-date[62][63]