【金工】市场交易情绪震荡回升，A股或迎“开门红”——金融工程量化月报20260102（祁嫣然/张威）

Market Overview - In December, A-shares experienced a steady upward trend, with major broad-based indices showing increased trading volume. The market sentiment is gradually becoming optimistic as indicated by the decline in the PCR of index options and ETF options [4] - Stock ETFs saw net inflows, and the net buying amount from margin financing has been rebounding, reflecting a positive performance in the funding aspect [4] - The transition from trading factors to fundamental factors dominating the market is observed, with fundamental factors outperforming in December [4] Market Sentiment Tracking - As of December 31, 2025, the proportion of rising stocks in the CSI 300 has slightly increased, with over 60% of stocks rising, indicating an improvement in market sentiment [5] - The momentum sentiment indicators show a bullish outlook, with the fast line above the slow line, suggesting a sustained positive view in the near term [5] - The CSI 300 index is currently in a sentiment boom zone according to moving average sentiment indicators [5] Fund Separation Tracking - As of December 31, 2025, the degree of fund separation has slightly increased, indicating a weakening of the fund clustering effect [6] - The excess returns of clustered stocks and funds have shown a slight increase over the past month [6] PB-ROE-50 Strategy Tracking - In December 2025, the PB-ROE-50 strategy achieved positive excess returns in the CSI 800 and the overall market stock pool [7] - The strategy yielded an excess return of 2.74% based on the CSI 800 stock pool and 2.29% based on the overall market stock pool [7] Institutional Research Strategy Tracking - In December 2025, both public and private research selection strategies achieved positive excess returns, with public research strategies outperforming the CSI 800 by 3.19% and private strategies by 4.76% [9] Negative List - As of December 31, 2025, several stocks with high interest-bearing liabilities, such as Huangting International and Guiding Compass, ranked below 100 in traditional metrics [10] - Stocks with high financial cost burdens include Langjin Technology and Delixi Shares, with indicators exceeding 10 times [10] Duration Rotation - As of December 31, 2025, the latest signal from the duration rotation strategy indicates a recommendation to allocate to long-duration interest rate bonds [11]