国泰海通｜金工：量化择时和拥挤度预警周报（20251121）

Market Overview - The market is expected to remain volatile next week, with the Wind All A Index staying below the SAR reversal point for a consecutive week, indicating potential downward space [1][2] - The liquidity shock indicator for the CSI 300 Index was 0.15, lower than the previous week (0.67), suggesting current market liquidity is above the average level of the past year by 0.15 standard deviations [2] - The trading activity has decreased, with the five-day average turnover rates for the Shanghai Composite Index and Wind All A Index at 1.21% and 1.86%, respectively, which are at the 73.72% and 80.02% percentile since 2005 [2] Economic Indicators - The US stock market experienced a decline, with the Dow Jones, S&P 500, and Nasdaq indices showing weekly returns of -1.91%, -1.95%, and -2.74%, respectively [2] - The preliminary November PMI for the US manufacturing sector was 51.9, a four-month low, while the services PMI was 55, and the composite PMI was 54.8, both reaching four-month highs [2] Technical Analysis - The Wind All A Index broke below the reversal indicator on November 17, indicating a bearish trend [2] - The moving average strength index score is currently at 80, placing it in the 25.9% percentile for 2023, suggesting a weak market condition [2] - The sentiment model score is at 0 (out of 5), indicating very weak market sentiment, with both trend and weighted models signaling negative [2] Market Performance - For the week of November 17-21, the Shanghai 50 Index fell by 2.72%, the CSI 300 Index by 3.77%, the CSI 500 Index by 5.78%, and the ChiNext Index by 6.15% [3] - The overall market PE (TTM) stands at 21.3 times, which is at the 70.1% percentile since 2005 [3] Factor Analysis - The crowding degree for low valuation factors has decreased, with small-cap factor crowding at 0.39 and low valuation factor crowding at -0.69 [4] - High profitability factor crowding is at -0.02, while high growth factor crowding is at 0.05 [4] Industry Insights - The industry crowding degree is relatively high in sectors such as non-ferrous metals, telecommunications, comprehensive, power equipment, and steel, with significant increases in the crowding degree for basic chemicals and banking [5]