国泰海通｜金工：量化择时和拥挤度预警周报（20251115）

Core Viewpoint - The market is expected to experience fluctuations in the upcoming week, despite the recent decline in major indices, as the strength index did not show significant downward movement, indicating a divergence in trends [1][2]. Market Overview - The liquidity shock index for the CSI 300 was 0.67, higher than the previous week's 0.40, suggesting current market liquidity is 0.67 standard deviations above the average of the past year [2]. - The PUT-CALL ratio for the SSE 50 ETF decreased to 1.04 from 1.22, indicating reduced caution among investors regarding the short-term performance of the SSE 50 ETF [2]. - The five-day average turnover rates for the SSE Composite Index and Wind All A were 1.27% and 1.91%, respectively, reflecting a decline in trading activity, positioned at the 75.55% and 81.44% percentiles since 2005 [2]. Macroeconomic Factors - The onshore and offshore RMB exchange rates increased by 0.31% and 0.35% respectively over the past week [2]. - October's CPI rose by 0.2% year-on-year, surpassing the previous value of -0.3% and the consensus expectation of -0.04%. The PPI decreased by 2.1% year-on-year, better than the previous -2.3% and the expected -2.28% [2]. - New RMB loans in October totaled 220 billion, falling short of the expected 459.98 billion and the previous 1.29 trillion. M2 growth was 8.2% year-on-year, exceeding the expected 8.04% but lower than the previous 8.4% [2]. Calendar Effects - Historical data from 2005 indicates that major indices such as the SSE Composite, CSI 300, and others have shown poor performance in the latter half of November, with average declines of -0.61% to -0.9% [2]. Technical Analysis - The Wind All A index broke above the reversal indicator on October 27, indicating a potential upward trend [2]. - The current market score based on the moving average strength index is 218, placing it at the 79.2% percentile for 2023 [2]. - The sentiment model score is 3 out of 5, with both trend and weighted models signaling a positive outlook [2]. Factor Crowding - The factor crowding levels remain stable, with small-cap factor crowding at 0.37, low valuation factor at -0.25, high profitability factor at -0.18, and high growth factor at 0.08 [3]. Industry Crowding - Industries such as non-ferrous metals, comprehensive, telecommunications, electric equipment, and steel show relatively high crowding levels, while basic chemicals and banking have seen a significant increase in crowding [4].