金融工程周报：股票策略收益小幅分化-20260105

1. Report Industry Investment Rating - The operation rating for CITIC Five-Style - Cycle is ☆☆★ [2] 2. Core Views of the Report - As of the week ending December 31, 2025, the weekly returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were -0.31%, -0.20%, and -0.71% respectively [3] - In the public fund market, the performance of stock and bond strategies diverged in the past week. The short-term pure bond strategy performed strongly, the ordinary stock strategy index declined slightly, and most neutral strategy products rose. In the commodity market, the net value of precious metal ETFs corrected, with the adjustment of gold ETFs greater than that of silver. The non-ferrous and energy chemical ETFs continued to rise [3] - Among the CITIC five styles, the cyclical style rose last week, while the other styles declined. The style rotation chart shows that the relative strength of the stable and consumer styles has declined marginally recently, and the relative strength momentum of the five styles has decreased month-on-month [3] - In the public fund pool, the average performance of consumer and financial style funds outperformed the benchmark in the past week. From the trend of the fund style coefficient, the market's deviation from the consumer style has increased. This week, the congestion indicator has increased compared with last week, and the congestion of growth style funds has risen to the middle and high percentile range of history [3] - Among the Barra factors, the medium- and long-term momentum factor had a better performance in the past week, with a weekly excess return of 0.89%. The excess return of the profitability factor weakened, the winning rate of the liquidity and capital flow factors strengthened marginally, and the volatility factor weakened slightly during the week. This week, the cross-sectional rotation speed of the factors continued to decline, falling to the middle and low percentile range in the past year [3] - According to the latest scoring results of the style timing model, the growth style has recovered month-on-month this week, and the current signal favors the cyclical style. The return of the style timing strategy last week was -1.41%, and the excess return compared with the benchmark balanced allocation was -0.76% [3] 3. Summary by Relevant Catalogs Recent Market Returns - The weekly, monthly, quarterly, and semi-annual returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond (net), and Nanhua Commodity are presented in the report [5] - The weekly returns of major public fund strategy indices are also provided [5] - The establishment scale of public fund products in recent years is shown in the report [5] - The maximum drawdown of major public fund strategy indices in the past three months is presented [5] CITIC Style Index - The net value trend of the CITIC style index from December 1 to December 30, 2025, is shown, including the financial, cyclical, consumer, growth, and stable styles [7] - The relative rotation chart of the CITIC style index shows the relative strength and momentum of different styles in the past week, last week, past month, past three months, past six months, and past year [9] - The excess return performance of the fund style index in different time periods is presented [10] - The congestion of different fund styles is shown, with the data as the percentile in the past year [11] Barra Factor - The preference of Barra single-factor styles this week is presented, with the preference range from 0 to 1, where a value closer to 1 indicates a higher degree of preference [12] - The excess return performance of Barra single-factor style strategies in different time periods is shown [14] - The excess net value trend of Barra single-factor styles in the past year is presented [17]