金融工程 | 金工定期报告 金融工程 证券研究报告 因子跟踪周报：小市值、资产周转率因子表现较好- 20250516 因子 IC 跟踪 IC 方面，最近一周，小市值、90 天分析师覆盖度、前五大股东持股比例 合计等因子表现较好，1 个月换手率波动、Fama-French 三因子 1 月残差 波动率、1 个月超额收益率波动等因子表现较差；最近一月，小市值、90 天分析师覆盖度、1 个月反转等因子表现较好，季度毛利率、bp 三年分 位数、高管平均薪酬等因子表现较差；最近一年，1 月特异度、Fama- French 三因子 1 月残差波动率、1 个月超额收益率波动等因子表现较好， 一年动量、前五大股东持股比例合计、股息率等因子表现较差。 因子多头组合跟踪 多头组合方面，最近一周，小市值、季度资产周转率、季度 roe 同比等因 子表现较好，1 个月换手率波动、1 个月日均换手率、一致预期 EPS 变动 等因子表现较差；最近一月，小市值、1 个月换手率与均价的相关性、1 个月反转等因子表现较好，基于一致预期的标准化预期外盈利、bp 三年 分位数、财报超研报预期程度等因子表现较差；最近一年，小市值、1 个 月换手率波动、 ...

（原标题：和讯投顾孙朋飞：黄金见顶了吗？黄金暴跌能抄底吗？） 5月16日，和讯投顾孙朋飞分析，沪市深市还是翻绿的，这阵子的大盘也是波澜不惊的，在压力关口呢 迟迟的没有形成突破。今天聊聊这个黄金，最近黄金持续的下跌，从3500跳到了3000附近，这有些人可 能是有所损失，有损失的人无非就是之前三千四五的时候进的。在去年初伦敦金2200的时候，我就说过 伦敦金整个的多头趋势已经形成，往上的空间已经打开，到3000乃至到5000都不在话下的，结果是不到 一年的时间就过去了3000到了3500的一个位置。这个位置这里有回调是非常正常的，大家如果打开图去 认真看的话，黄金一溜烟上来，呢中间也是台阶式往上走的一个格局非常清楚，不要认为前面的3500就 是黄金的山顶了，这阵子回调之后还是能新高的，所以说你要是觉得黄金后面还有机会唉想整点实物， 趁这几天的回调也是挺好的。 整个黄整个黄金是处在多头趋势当中的，在多头趋势里面不要轻易的去猜什么顶，而且这个趋势是没有 走完的。那么回到我们大A股 A股的多头趋势也形成了，只不过在过去半年时间里面是来回上下横盘 的，没有没有进入到主升段里面，所以说啊你会觉得这个地方它是不是不在牛市里 ...

Core Insights - Hedge funds have increased their long positions in the Japanese yen to the highest level since September 2019, indicating a bullish sentiment towards the currency [1] Group 1 - The Commodity Futures Trading Commission (CFTC) reported that hedge funds have raised their long positions in the yen [1] - This increase in positions reflects a significant shift in market sentiment towards the Japanese yen [1] - The current levels of long positions suggest potential confidence in the yen's performance against other currencies [1]

美国商品期货交易委员会（CFTC）：截至5月13日当周，COMEX白银期货投机性净多头头寸减少1,788 手至28,460手。 ...

Core Insights - The Commodity Futures Trading Commission (CFTC) reported a decrease in speculative net long positions in COMEX gold futures, dropping by 1,434 contracts to a total of 110,874 contracts as of the week ending May 13 [1] Group 1 - The reduction in speculative net long positions indicates a shift in market sentiment towards gold futures [1] - The current level of 110,874 contracts reflects a significant change in investor behavior, potentially signaling caution among traders [1] - This decrease may impact gold prices and overall market dynamics in the commodities sector [1]

Group 1 - The core point of the article is that the Commodity Futures Trading Commission (CFTC) reported an increase in speculative net long positions in COMEX copper futures, rising by 1,443 contracts to a total of 24,780 contracts as of the week ending May 13 [1]

Group 1 - The core point of the article is that the Commodity Futures Trading Commission (CFTC) reported an increase in speculative net long positions in WTI crude oil futures, rising by 556 contracts to a total of 94,152 contracts as of the week ending May 13 [1]

Group 1 - The core point of the article is that speculators have increased their net long positions in Brent crude oil, indicating a bullish sentiment in the market [1] Group 2 - As of the week ending May 13, the net long positions for Brent crude oil rose by 53,586 contracts to a total of 151,144 contracts [1]

Group 1 - The core point of the article is that speculators increased their net long positions in ICE Brent crude oil by 53,586 contracts, reaching a total of 151,144 contracts, marking a five-week high [1]

Group 1 - The private equity securities fund industry has shown strong performance in 2023, with an average return of 2.52% as of April 30, and nearly 70% of products achieving positive returns [1] - Multi-asset strategy products lead the market with an average return of 2.87%, while stock strategy products follow closely with a return of 2.56% [1] - The performance of futures and derivatives strategies, combination fund strategies, and bond strategies also demonstrated strong market adaptability, with average returns of 2.34%, 2.10%, and 1.87% respectively [1] Group 2 - Index enhancement strategies have delivered impressive results, with an average return of 6.42% and an average excess return of 9.10% as of April 30 [2] - Large private equity firms with over 10 billion in assets have achieved an average return of 7.53% in their index enhancement products, with all products realizing positive excess returns [2] - Smaller private equity firms also performed well, with average returns between 6% to 7% across various asset sizes, maintaining excess returns above 9% [2] Group 3 - The strong performance of index enhancement products is attributed to improved market liquidity, increased trading activity, and high market volatility, which create favorable conditions for excess return generation [3] - The unique "dual-drive" advantage of index enhancement strategies allows them to benefit from overall market gains (Beta returns) while also employing refined Alpha strategies to enhance returns [3] - This structure of "market Beta as a foundation, active Alpha as an enhancement" demonstrates significant competitiveness in the current market environment [3]