国泰海通｜金工：量化择时和拥挤度预警周报（20260109）——市场下周或出现短暂震荡

Market Overview - The market is expected to experience short-term fluctuations next week due to technical indicators showing a high strength index and historical calendar effects indicating poor performance of major indices in the latter half of January [1][2]. Quantitative Indicators - The liquidity shock indicator for the CSI 300 index was 0.60, higher than the previous week's 0.34, indicating current market liquidity is 0.60 standard deviations above the average level of the past year [2]. - The PUT-CALL ratio for the SSE 50 ETF options decreased to 0.64 from 0.88, suggesting increased investor optimism 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 1.41% and 2.24%, respectively, indicating increased trading activity, positioned at the 79.01% and 87.08% percentiles since 2005 [2]. Macroeconomic Factors - The official manufacturing PMI for December was reported at 50.1, surpassing the previous value of 49.2 and aligning with the consensus forecast of 50.05 [2]. - The December CPI year-on-year was 0.8%, higher than the previous value of 0.7% and the consensus forecast of 0.75% [2]. - The PPI year-on-year was -1.9%, better than the previous -2.2% and the consensus forecast of -2% [2]. Market Performance - The SSE 50 Index rose by 3.4%, the CSI 300 Index increased by 2.79%, the CSI 500 Index surged by 7.92%, and the ChiNext Index climbed by 3.89% during the week of January 5-9, 2026 [3]. - The overall market PE (TTM) stands at 23.2 times, positioned at the 81.9% percentile since 2005 [3]. Factor Crowding - The crowding degree for high-growth factors has increased, with small-cap factors at 0.37, low-valuation factors at -0.57, high-profitability factors at 0.63, and high-profit growth factors at 1.09 [3]. Industry Crowding - The industries with relatively high crowding degrees include telecommunications, comprehensive sectors, non-ferrous metals, defense and military industry, and electronics, with significant increases noted in the crowding degrees of defense and military as well as comprehensive sectors [4].