主动量化周报：油价逼近临界点：月底或为极佳买点-20260322

• The report discusses the use of a fund position estimation model to analyze the allocation of public equity funds in the non-ferrous metals sector. The model revealed that as of January 30, the allocation ratio reached a recent high of 10.5%, significantly exceeding the sector's market capitalization ratio of 5.7% in the overall A-share market. This indicates a substantial over-allocation by institutions[2][13] - The model also analyzed the holdings of the largest non-ferrous metals ETF (512400.SH), which has a scale of 28.6 billion yuan. It found that nearly 80% of its holders are institutions, and the ETF experienced a net outflow of 4.5 billion yuan from March 12 to March 20, suggesting concentrated institutional selling[3][14] - The BARRA style factor analysis in the report highlights the performance of various factors. For example, the "volatility" factor showed a positive return of 0.7% this week, while the "momentum" factor maintained a negative return of -0.6%. Additionally, the "dividend yield" and "market capitalization" factors both exhibited positive returns of 0.5%[23][25]