【金工】市场情绪较高，基金抱团程度减弱 ——金融工程量化月报 20260203（祁嫣然/张威）

Market Sentiment Tracking - As of January 30, 2026, the proportion of stocks in the CSI 300 Index that have risen has slightly decreased month-on-month, remaining above 60%, indicating a high market sentiment [4] - The momentum sentiment indicators show that both the fast and slow lines have moved upward in the past month, with the fast line above the slow line, suggesting a bullish outlook for the near future [4] - The short-term sentiment for the CSI 300 Index is currently in a prosperous emotional zone [4] Fund Separation Degree Tracking - As of January 30, 2026, the degree of fund separation has slightly increased, indicating a weakening of fund clustering [5] - Both the excess returns of clustered stocks and clustered funds have risen in the past month [5] PB-ROE-50 Strategy Tracking - In January 2026, the PB-ROE-50 strategy achieved positive excess returns in the CSI 800 and the overall market stock pool [6] - The strategy yielded an excess return of -0.44% based on the CSI 500 stock pool, while it achieved excess returns of 5.47% and 5.48% based on the CSI 800 and overall market stock pools, respectively [6] Institutional Research Strategy Tracking - In January 2026, the private equity research tracking strategy generated positive excess returns [7] - The public equity research stock selection strategy underperformed relative to the CSI 800, with an excess return of -0.82%, while the private equity research tracking strategy outperformed with an excess return of 6.52% [7] Negative List - As of January 30, 2026, among the top 30 stocks with high interest-bearing liabilities, several companies such as Huangting International, Guiding Compass, and Huaying Technology ranked below 100 in traditional metrics [8] - Stocks with high financial cost burdens include Langjin Technology, Delixi Shares, and others, with their indicators exceeding 10 times [9]