【金融工程】市场风格切换，超额还能继续保持吗？——市场环境因子跟踪周报（2025.06.18）

Core Viewpoint - The market is experiencing reduced momentum after the Shanghai Composite Index surpassed 3400, with increased volatility and geopolitical risks, particularly from the Middle East, leading to a defensive investment stance [2][5]. Group 1: Market Overview - The market's upward momentum has weakened, with adjustments occurring without significant negative news, primarily influenced by escalating geopolitical tensions [4][5]. - Short-term strategies should focus on defensive sectors such as banking, gold, oil and petrochemicals, and military industries, while waiting for opportunities in popular sectors like new consumption, technology, pharmaceuticals, and chemicals after risk levels stabilize [5]. Group 2: Stock Market Factors - The large-cap value style has regained an advantage, while the volatility of both large and small-cap stocks has increased, and the volatility of value and growth styles has decreased [7]. - The dispersion of excess returns among industry indices has continued to decline, with a stable proportion of rising constituent stocks and a decrease in industry rotation speed [7]. - Trading concentration has slightly decreased, with the top 100 stocks' trading concentration and the top five industries' trading volume share both showing a decline [7][8]. Group 3: Commodity Market Factors - In the commodity market, the trend strength of precious metals and non-ferrous sectors continues to rise, while the trend strength of the energy and chemical sectors is declining [12]. - The basis momentum for precious metals, non-ferrous, and energy sectors has rapidly increased, with high volatility in the energy sector and a quick decline in agricultural products' volatility [12]. - Liquidity has increased across all sectors, with the energy sector experiencing a faster rise in liquidity [12]. Group 4: Options Market Factors - The implied volatility levels for the SSE 50 and CSI 1000 show no significant trend, with the CSI 1000 maintaining a historically low level over the past three years [19]. - The skewness of put options for both the SSE 50 and CSI 1000 has increased, indicating market concerns about future performance [19]. Group 5: Convertible Bond Market Factors - The convertible bond market shows resilience in valuation, with a slight increase in the premium rate for bonds convertible at 100, although the proportion of bonds with low conversion premiums is still rising [21]. - Market trading volume has decreased, fluctuating around the median of the past year, with a slight widening of credit spreads [21].