——金融工程量化月报20260203：市场情绪较高，基金抱团程度减弱-20260203

• The "Market Sentiment Tracking" system is based on quantitative empirical analysis, utilizing historical data to construct a sentiment prosperity indicator system derived from price and volume data[11] - The "Proportion of Rising Stocks Sentiment Indicator" is calculated as the proportion of stocks in the CSI 300 index with positive returns over the past N days, reflecting market optimism or overheating[12] - The "Proportion of Rising Stocks Timing Strategy" applies two different smoothing windows (N1=50, N2=35) to the sentiment indicator, generating buy signals when the short-term line exceeds the long-term line[13][15] - The "Moving Average Sentiment Indicator" uses an eight-moving-average system (parameters: 8, 13, 21, 34, 55, 89, 144, 233) to assess the CSI 300 index trend, assigning values of -1, 0, or 1 based on the indicator's range[21][25] - The "PB-ROE-50 Strategy" identifies expectation gaps in the market by leveraging the PB-ROE pricing model and enhancing returns with factors like SUE and ROE growth, constructing a portfolio of 50 stocks[30] - The "Institutional Research Strategy" includes public and private fund research strategies, selecting stocks based on the frequency of institutional research and pre-research stock performance relative to benchmarks[37] - The "Concentration Fund Separation Degree" uses the cross-sectional standard deviation of returns for concentrated fund portfolios as a proxy for fund concentration, with lower standard deviation indicating higher concentration[26] - The "Relaxed Interest-Bearing Debt Ratio" is calculated as the ratio of a broader set of liabilities (including short-term borrowings, interest payables, and other liabilities) to total assets, offering more short-selling opportunities compared to traditional metrics[41] - The "Financial Cost Burden Ratio" measures the pressure of interest payments on companies by dividing interest expenses by EBIT, providing a clearer view of financial stress[45]