量化观市：春节前后日历效应分析

• The report discusses the performance of major domestic market indices over the past week, with the SSE 50, CSI 300, CSI 500, and CSI 1000 indices showing varying degrees of change[2] - The micro-cap stock indicator monitoring includes a rotation strategy based on the relative net value of micro-cap stocks to the "Mao Index" and the 20-day closing price slope of the Wind micro-cap stock index[2][18] - The rotation strategy is currently in a balanced configuration, with part of the positions switching back to the micro-cap stock index based on the 20-day closing price slope and the M1 indicator's 6-month moving average[2][18] - The timing and risk control for micro-cap stocks are monitored using indicators such as the volatility congestion rate and the 10-year government bond yield, which are currently within controllable risk ranges[18][19] - The report also includes a summary of the macroeconomic environment, highlighting the impact of the 2026 Central No. 1 Document on agricultural asset capitalization and the "Happy New Year Shopping" initiative to boost domestic demand[3][37] - The overseas market is experiencing a divergence between manufacturing recovery and employment decline, with AI-driven infrastructure investments in copper and power equipment being seen as opportunities[4][38] - The report suggests a barbell strategy for tactical allocation, focusing on consumer services and AI-related sectors[4][38] - The report tracks the performance of various quantitative stock selection factors, noting that value and volume-price factors performed well, while growth and consensus expectation factors showed some pullback[5][52] - The report includes detailed construction and monitoring of convertible bond selection factors, with positive performance noted for stock value and convertible bond valuation factors[5][57] - The macro timing strategy model recommends a 70% equity position for February, with strong signals from economic growth and monetary liquidity[47][48]