量化观市：内稳外缓信号确立，跨年行情如何布局？

• The report discusses a rotation model for micro-cap stocks, which uses the relative net value of micro-cap stocks to the "Mao Index" as a key indicator. If the relative net value is above its 243-day moving average, it suggests investing in micro-cap stocks; otherwise, it suggests investing in the Mao Index. Additionally, the 20-day closing price slope of both indices is used to determine potential style shifts. When the slopes diverge and one is positive, the model recommends investing in the index with a positive slope[17][24][29] - A timing risk control indicator is constructed based on the 10-year government bond yield (threshold: 0.3) and the volatility crowding degree of micro-cap stocks (threshold: 0.55). If either indicator reaches its threshold, a closing signal is triggered[17][24][29] - The report evaluates eight major stock selection factors across different stock pools (All A-shares, CSI 300, CSI 500, and CSI 1000). Among these, technical factors (IC mean: 9.30%) and volatility factors (IC mean: 6.86%) performed well, while consensus expectation factors (IC mean: -3.20%) and market capitalization factors (IC mean: -2.71%) showed weaker performance[44][45][46] - For convertible bonds, the report constructs quantitative bond selection factors, including equity-related factors (e.g., equity growth and financial quality) and valuation factors (e.g., parity and floor premium rates). The IC mean and long-short portfolio net value of these factors are tracked regularly[53][54][57]