国泰海通｜金工：量化择时和拥挤度预警周报（20251205）短期内依旧会维持震荡

Market Overview - The market is expected to maintain a consolidation phase in the short term, as indicated by the technical analysis and sentiment model signals [1][2] - The liquidity shock indicator for the CSI 300 index was 0.03, lower than the previous week (0.50), suggesting current market liquidity is above the one-year average by 0.03 standard deviations [2] - The PUT-CALL ratio for the SSE 50 ETF decreased to 0.83 from 1.02, indicating reduced caution among investors regarding the short-term outlook [2] - The five-day average turnover rates for the SSE Composite Index and Wind All A were 1.01% and 1.62%, respectively, reflecting increased trading activity [2] Macroeconomic Factors - The onshore and offshore RMB exchange rates experienced slight fluctuations, with weekly increases of 0.12% and 0.03%, respectively [2] - The official manufacturing PMI for November was reported at 49.2, slightly above the previous value (49) but below the consensus expectation (49.3) [2] - The S&P Global China Manufacturing PMI was 49.9, down from the previous value (50.6) [2] Historical Performance - Historical data shows that from 2005 onwards, the SSE Composite Index, CSI 300, and other major indices have had a high probability of rising in the first half of December, with average gains of 1.81%, 2.45%, 1.55%, and -0.02% respectively [2] - The A-share market showed a slight upward trend last week, with the SSE 50 Index up by 0.47%, CSI 300 up by 1.64%, CSI 500 up by 3.14%, and the ChiNext Index up by 4.54% [2] Factor Analysis - The crowding degree for small-cap factors has significantly decreased, with a value of 0.16, while the low valuation factor crowding degree is at -0.65 [3] - High profitability factor crowding degree is at -0.09, and high growth profitability factor crowding degree is at 0.05 [3] - Industry crowding degrees are relatively high in telecommunications, non-ferrous metals, comprehensive sectors, power equipment, and electronics, while machinery and defense industries have seen a notable increase in crowding [3]