金融工程周报：流动性因子收益回升-20260302

Report Industry Investment Rating - The report does not mention the industry investment rating. Core Viewpoints - As of the week ending on February 27, 2026, the weekly returns of Tonglian All A (Shanghai, Shenzhen, and Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were 2.73%, -0.15%, and 3.56% respectively [3]. - In the public - fund market, the enhanced index strategy had strong performance with a weekly return of 2.29% in the past week; neutral - strategy products mostly rose; medium - and long - term pure - bond strategies had a slight decline. In the commodity market, precious - metal and non - ferrous - metal ETFs performed strongly, with the net value of gold ETFs rising by 3.04% [3]. - Among the CITIC five - style indices, the cycle and growth styles had strong returns in the past week, while the financial style declined. The style - rotation chart showed that the relative strength of the stable style strengthened recently, and the relative - strength momentum of the consumption and growth styles decreased month - on - month [3]. - In the public - fund pool, the financial - style fund index outperformed the benchmark with a weekly excess return of 1.65%. The market's deviation from the stable and cycle styles slightly increased. The current congestion indicators remained at a low level, and the congestion of the cycle and financial styles increased marginally [3]. - Among the Barra factors, the liquidity and momentum factors had strong returns in the past week, with a weekly excess return of 1.77% each. The return of the profitability factor decreased month - on - month. In terms of winning rate, the growth factor performed well recently, and the volatility factor decreased during the week. The cross - section rotation speed of factors decreased marginally this week and was currently in the upper - middle quantile range of the past year [3]. - According to the latest scoring results of the style - timing model, the financial style recovered this week, and the current signal favored the stable style. The return of the style - timing strategy last week was 4.36%, with an excess return of 2.04% compared to the benchmark balanced allocation [3]. Summary by Related Catalogs Market Index Returns - The weekly returns of Tonglian All A (Shanghai, Shenzhen, and Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index were 2.73%, -0.15%, and 3.56% respectively as of the week ending on February 27, 2026 [3]. Public - Fund Market - Enhanced index strategy had a weekly return of 2.29% in the past week; neutral - strategy products mostly rose; medium - and long - term pure - bond strategies had a slight decline. Gold ETFs' net value rose by 3.04% [3]. CITIC Five - Style Indices - Cycle and growth styles had strong returns in the past week, while the financial style declined. The relative strength of the stable style strengthened recently, and the relative - strength momentum of the consumption and growth styles decreased month - on - month [3]. Public - Fund Pool - The financial - style fund index outperformed the benchmark with a weekly excess return of 1.65%. The market's deviation from the stable and cycle styles slightly increased. The current congestion indicators remained at a low level, and the congestion of the cycle and financial styles increased marginally [3]. Barra Factors - Liquidity and momentum factors had a weekly excess return of 1.77% each in the past week. The return of the profitability factor decreased month - on - month. The growth factor had a good winning rate recently, and the volatility factor decreased during the week. The cross - section rotation speed of factors decreased marginally and was in the upper - middle quantile range of the past year [3]. Style - Timing Model - The financial style recovered this week, and the current signal favored the stable style. The return of the style - timing strategy last week was 4.36%, with an excess return of 2.04% compared to the benchmark balanced allocation [3].