过去一周，市场风格出现显著切换。偏防守的价值因子以及代表交易博弈的量价类因子（波动率、技术）表现强势。 而此前表现优异的成长因子和一致预期因子则有所回撤。这反映出在震荡环境下，资金暂时脱离了业绩驱逻辑，转而 寻求低估值防御。展望未来一周，考虑到年末资金避险情绪，我们预期价值因子的防御属性仍将受捧，同时量价类因 子有望延续活跃态势，而成长风格短期或需等待拥挤度消化后的企稳。 以上结果通过历史数据统计、建模和测算完成，在政策、市场环境发生变化时模型存在失效的风险。 过去一周，国内主要市场指数平稳，其中上证 50、沪深 300、中证 500 和中证 1000 涨跌幅分别为 0.61%、-0.15%、 0.01%和-0.56%。 微盘股指标监控：综合来看，当前轮动模型由于微盘股滚动 20 天斜率收负，茅指数为正斜率，当前轮动模型发出切 换至茅指数信号，中期配置茅指数的预期能有更高相对收益。从中期微盘股择时角度来看，目前风控信号还没触发， 但能看到波动率拥挤率正在快速上行，风险有明显聚集。对于持有微盘板块投资者建议做好风险控制，以及密切跟踪 相对净值、动量及中期风险指标的动态。 过去一周，政策端进入了高频落地的执行期， ...

Core Viewpoint - The article discusses the pitfalls of the "Buy the Dip" strategy in investing, emphasizing that it often underperforms compared to a passive buy-and-hold approach and trend-following strategies [3][6]. Group 1: The Reality of Buying the Dip - The article highlights that over the past five years, investors have adopted a linear thinking approach: buying more as prices drop, believing that the market will eventually recover [3][4]. - AQR Capital Management's report analyzed 60 years of S&P 500 data and found that various dip-buying strategies underperformed compared to simply holding investments [10][11]. - The average Sharpe ratio for dip-buying strategies was lower than that of a buy-and-hold strategy, indicating a 16% reduction in risk-adjusted returns [11][12]. Group 2: Lack of Alpha in Dip-Buying - The report indicates that the average annualized alpha for dip-buying strategies was only 0.5%, with less than 8% of strategies showing statistically significant alpha [15]. - Holding investments for longer periods often leads to returns that reflect overall market performance rather than the effectiveness of the dip-buying strategy [19][20]. Group 3: The Flaws in Timing the Market - The article explains that dip-buying is essentially a value trade executed during a momentum phase, which often leads to poor timing and losses [21][26]. - Data shows a negative correlation between dip-buying strategies and trend-following strategies, suggesting that dip-buying often goes against market momentum [28][30]. Group 4: The Superiority of Trend Following - The article advocates for trend-following strategies, which have shown higher average annualized alpha compared to dip-buying strategies [31]. - During market downturns, trend-following strategies have historically provided better protection and even positive returns, contrasting sharply with the losses incurred by dip-buying strategies [35][36]. Group 5: The Ultimate Strategy: Portable Alpha - AQR proposes a "Portable Alpha" strategy that combines a long position in equities with a trend-following strategy, resulting in higher annualized excess returns and better risk-adjusted performance [41][42]. - This approach allows investors to benefit from market growth while also having a protective mechanism during downturns, effectively hedging risks [44][45]. Group 6: Practical Advice for Investors - The article concludes with three key recommendations for investors: avoid the temptation to time the market with dip-buying, respect market trends by incorporating trend-following strategies, and adopt a long-term investment perspective [49][54].

Core Viewpoint - The U.S. stock market appears to be stabilizing after a recent sell-off, despite disruptions caused by the Chicago Mercantile Exchange outage [1] Group 1: Market Dynamics - Bloomberg macro strategist Simon White indicates that the upward momentum in the U.S. stock market is waning, and the likelihood of a strong year-end rebound is minimal due to significantly reduced buyback activity [2] - The market has shifted from a focus on "momentum" and "trading" factors to a resurgence of the "value" factor, which has taken the lead, while the previously dominant "trading" factor has plummeted to the bottom [3] Group 2: Corporate Buybacks - The corporate buyback trend, a key driver of the current bull market, is rapidly declining. Although November and December are typically strong months for buybacks, the ability of tech giants to continue large-scale buybacks is constrained due to aggressive capital expenditures throughout the year [4] - The "momentum factor" is currently underperforming compared to the S&P 500 index, indicating a potential risk for year-end market performance [5] Group 3: Market Conditions - An analysis of market conditions over the past 25 years shows that the current market is in a "headwind period" characterized by low returns [6] - When the momentum factor outperforms the market, rebounds tend to be healthy and strong. Conversely, when it underperforms, as seen recently, it often corresponds with flat or negative index returns [7] Group 4: Investor Sentiment - Despite the challenges, the overall liquidity in the market remains ample, providing a solid support base for U.S. stocks. However, this does not imply significant upward potential, as weak momentum and limited corporate buyback intentions suggest that expectations for a dramatic year-end rally may be unrealistic [8]

Core Viewpoint - The article discusses the shift in investment styles driven by fundamental factors, indicating a transition from growth to value investing as economic indicators improve and market trends are confirmed [3][5][67]. Group 1: Factor Performance - Growth factors have shown strong performance this year, with cumulative returns of 37.93% in the CSI 300 index, while momentum and dividend factors have underperformed [8][11]. - Low volatility factors have performed poorly in the CSI 300, reflecting the high volatility characteristics of the market this year [10][12]. - The performance of long-term momentum factors has been weak, indicating rapid rotation among industries and sectors [10][14]. Group 2: Macro Quantitative Framework - The macroeconomic cycle has been switching more frequently in the past three years compared to before 2020, with economic indicators suggesting a downturn in the first half of 2025 followed by a recovery towards the end of the year [32][38]. - The liquidity indicators have shown a weak overall trend, with market trading rates rising, indicating a correction in liquidity expected in the second half of 2025 [40][46]. - Credit indicators have shown a preference for expansion in the first half of 2025, aligning with social financing, but are expected to shift towards contraction in the second half [53][48]. Group 3: 2026 Equity Quantitative Outlook - The investment strategy for 2026 is expected to be driven by fundamental factors, with a focus on value before growth as economic conditions improve [5][54]. - The market is currently in a consolidation phase, with a trend confirmation expected to benefit value and long-term momentum factors, while growth factors are anticipated to perform better in a volatile environment [75][80]. - Industry rotation speed has slowed down, indicating potential for the formation of main lines in the market, with a focus on industries with low crowding and emerging trends [82][85].

Investment Strategy Overview - The report emphasizes a fundamental-driven style factor switch, awaiting confirmation of trend movements for 2026 [1][4][8] Factor Performance - Growth factors have shown strong performance, while low volatility and momentum factors have retreated, indicating a rapid rotation among market sectors and themes this year [4][10][12] - Year-to-date performance of various factors in different indices shows growth at 37.93% in CSI 300, while low volatility and liquidity factors have negative returns [10][12] Macro Quantitative Framework - The macroeconomic cycle has shifted more frequently in the past three years, with leading indicators suggesting a downturn in the first half of 2025, followed by a recovery signal towards the end of the year [4][38][43] - The liquidity indicators have shown a weak overall trend, with market trading rates rising, indicating a correction in liquidity for the second half of 2025 [50][54][60] - Credit indicators have shown a preference for expansion in the first half of 2025, transitioning to contraction by November [65][66] 2026 Equity Quantitative Outlook - The report anticipates a fundamental-driven style switch, with a focus on economic fundamentals becoming the key driver, transitioning from liquidity concerns to economic and inflation factors [4][86][91] - Market trends indicate a shift to a consolidation phase since August, with an increasing probability of trend confirmation from late October [92][97] - Emotional indicators have shown a supportive trend since July, with overall sentiment remaining warm and moderate [102][105] Industry Rotation and Focus - The speed of industry rotation has slowed down in 2025, with potential for a main trend to form, particularly in sectors with lower crowding and emerging trends [106][112] - Key sectors to watch include electronics and computing, which have shown lower crowding and are in a trend initiation phase [113][116]

1. Report Industry Investment Ratings - No specific industry investment ratings are provided in the report. 2. Core Views - The stock market shows a shrinking volume and narrow - range oscillation, with the dividend style being prominent. It is recommended to transfer technology funds to the price - rising chain and continue the dumbbell configuration [1][6]. - The bond market sentiment is bullish. Although there is still short - term support, the downward space for yields may be limited, and the bond market is expected to oscillate strongly [2][7]. - For stock index options, it is advisable to continue holding covered positions for defense as the market style rotates and no capital main line has been formed yet [1][6]. 3. Summary by Relevant Catalogs 3.1 Market Views 3.1.1 Stock Index Futures - **View**: Shrinking volume and narrow - range oscillation, with the dividend style being prominent. The basis, spread, and position of IF, IH, IC, and IM have changed to varying degrees [6]. - **Logic**: The Shanghai Composite Index oscillated narrowly around 4,000 points on Wednesday, with a trading volume of 2 trillion yuan. The style structure was further adjusted, and the sustainability of hotspots was limited. After the release of the 25Q3 monetary policy report, long - term bond prices opened higher and rose, the bank sector soared in the morning, and the dividend index was strong. High - risk - appetite sectors retreated, and the external market's drag on the domestic market weakened [6]. - **Operation Suggestion**: Dividend ETF + IM long positions [6]. 3.1.2 Stock Index Options - **View**: Focus on covered defense [6]. - **Logic**: The equity market oscillated weakly yesterday, and the turnover of each option variety oscillated and recovered but remained at a relatively low level of liquidity since October. The option sentiment index showed a weak trend, especially for the CSI 1000 index options and technology - sector option varieties. Option trading sentiment changed with the style switch, and option volatility strengthened [6]. - **Operation Suggestion**: Covered positions [6]. 3.1.3 Bond Index Futures - **View**: Bond market sentiment is bullish. The trading volume, position, spread, and basis of T, TF, TS, and TL have changed to varying degrees. The central bank conducted 195.5 billion yuan of 7 - day reverse repurchases, with 92.8 billion yuan of reverse repurchases maturing on the same day [7]. - **Logic**: Bond index futures prices rose across the board yesterday. The domestic bond market was generally bullish, interest - rate bond yields mostly declined, and the inter - bank market liquidity improved. The central bank's third - quarter monetary policy report in 2025 continued the keynote of a "moderately loose monetary policy" [2][7]. - **Operation Suggestion**: Trend strategy: oscillate strongly. Hedging strategy: pay attention to long - position substitution at high basis levels. Basis strategy: pay attention to the positive spread strategy and basis widening. Curve strategy: appropriately pay attention to curve steepening [8]. 3.2 Economic Calendar - The report lists the economic indicators to be released in China from November 13 to 14, 2025, including new RMB loans, social financing scale, M2 money supply annual rate, total retail sales of consumer goods annual rate, and added value of industrial enterprises above designated size annual rate [9]. 3.3 Important Information and News Tracking - **Sino - US Relations**: Chinese Vice - Premier He Lifeng met with representatives of the National Committee on United States - China Relations, emphasizing the broad cooperation space in the economic and trade fields between the two countries and the need to implement the consensus of the two heads of state [10]. - **New Energy**: The National Energy Administration issued a guiding opinion on promoting the integrated and coordinated development of new energy, including optimizing the power structure and energy - storage configuration ratio of "desert, Gobi, and wasteland" new - energy bases and exploring the construction of new water - wind - solar integrated bases [10]. - **Automobile**: The Ministry of Public Security completed the solicitation draft of the national standard "Technical Conditions for Motor Vehicle Operation Safety", which includes speed - limit requirements and safety requirements for new - energy vehicles [11]. - **Power Battery**: The 2025 World Power Battery Conference held a signing ceremony in Yibin, Sichuan, with 180 projects signed, totaling 86.13 billion yuan. After full operation, the expected annual output value will exceed 90 billion yuan, and over 50 leading enterprises will settle in Yibin [11]. 3.4 Derivatives Market Monitoring - The report includes sub - sections on stock index futures data, stock index options data, and bond index futures data, but no specific data content is provided in the given text [12][16][28].

1. Report Industry Investment Rating - The trend of the stock index futures market is expected to be moderately bullish; the stock index options market is expected to be volatile; the Treasury bond futures market is expected to be volatile in the short - term and moderately bullish in the long - term [7][8][9] 2. Core View of the Report - In the stock index futures market, under the condition of shrinking trading volume, the market risk preference continues to converge. It is recommended to transfer technology funds to the price - rising chain and continue the dumbbell - style asset allocation. In the stock index options market, as the market style rotates and no clear capital main line has been formed, it is recommended to continue to hold covered options to increase returns. In the Treasury bond futures market, the market lacks a clear direction in the short - term and is in a volatile consolidation phase, but is expected to be moderately bullish in the long - term [7][8][9] 3. Summary by Relevant Catalogs 3.1 Market Outlook 3.1.1 Stock Index Futures - On Tuesday, the Shanghai Composite Index opened high and closed low, barely holding above 4000 points, with trading volume shrinking to 2 trillion yuan. The ChiNext and STAR Market indices retreated, and the TMT sectors led the decline. The coal sector also led the decline due to concerns about a potential reduction in pit - mouth coal prices. Low - position sectors such as commerce and retail, real estate, and steel led the gains. The central bank's Q3 2025 monetary policy report may support the fundamentals of bank stocks and increase the expectation of counter - cyclical monetary policy adjustment. It is recommended to transfer technology funds to the price - rising chain and continue the dumbbell - style allocation. The operation suggestion is to hold dividend ETFs and long positions in IM contracts [7] 3.1.2 Stock Index Options - The trading volume of each option variety showed a slight weakening trend, and the option sentiment index was weak. The PCR of technology - sector options decreased significantly on Monday, and the PCR of option positions of all varieties declined on Tuesday, indicating a cold market sentiment. The implied volatility of options showed mixed trends. It is recommended to continue to hold covered options to increase returns [8] 3.1.3 Treasury Bond Futures - On Tuesday, the prices of Treasury bond futures were volatile and unchanged. The yields of most interest - rate bonds declined, and the 5 - year and 7 - year China Development Bank bonds performed well. The central bank significantly increased net investment in the open market, and the supply and demand of funds in the inter - bank market tended to balance, but interest rates remained firm. In the short - term, the bond market lacks a clear direction and is in a volatile consolidation phase, but is expected to be moderately bullish in the long - term. Operation suggestions include maintaining caution in trend strategies, paying attention to short - hedging at low basis levels in hedging strategies, appropriately paying attention to basis widening in basis strategies, and appropriately paying attention to curve steepening in curve strategies [8][9] 3.2 Economic Calendar - The economic data to be released this week include China's new RMB loans, social financing scale, M2 money supply growth rate in October, the US CPI annual rate in October, China's year - on - year growth rate of total retail sales of consumer goods in October, and the year - on - year growth rate of industrial added value above designated size in October [10] 3.3 Important Information and News Tracking - The central bank released the Q3 2025 China Monetary Policy Implementation Report, proposing to deepen financial reform and opening - up, and improve the macro - economic governance effectiveness. The US has suspended the implementation of the export - control penetration rule, and the two sides will continue to discuss the arrangement after one - year suspension. As of now, the National Development and Reform Commission has recommended 105 infrastructure REITs projects to the CSRC, of which 83 have been issued and listed, with a total issuance fund of 207 billion yuan, expected to drive new project investment of over 1 trillion yuan [11][12] 3.4 Derivatives Market Monitoring - The report mentions the need to monitor data in the stock index futures, stock index options, and Treasury bond futures markets, but specific data are not detailed [13][17][29]

Group 1: Report Investment Rating - No information provided Group 2: Core Views - The stock market experiences sector rotation, with funds flowing from the technology sector to the chemical and consumer sectors, and the bond market shows a tendency of oscillating upward [2][3] - In the stock index futures market, it is recommended to transfer technology funds to the price - rising chain and continue the dumbbell - style allocation [3][7] - In the stock index options market, it is advisable to continue holding covered positions for additional income [3][8] - In the treasury bond futures market, the bond market is expected to oscillate upward [4][9] Group 3: Summary by Directory 1. Market Views Stock Index Futures - On Monday, the Shanghai Composite Index rebounded in a U - shape, with a rotation to low - lying sectors. High - beta sectors retreated, while value and defensive sectors rose. Due to the policy window period and recent volume contraction, it is recommended to transfer technology funds to the price - rising chain and continue the dumbbell - style allocation. The operation suggestion is to hold a long position in the Dividend ETF + IM. [3][7] - The basis points of IF, IH, IC, and IM for the current month are - 8.85, 0.94, - 41, and - 54.45 respectively, changing by - 3.06, 0.49, - 5.09, and - 5.98 points compared to the previous trading day. The inter - period spreads (current month - next month) are 14.2, 0.8, 67, and 87.8 points respectively, with a month - on - month change of 0.6, 0.2, 5.2, and 6.4 points. The positions of IF, IH, IC, and IM change by 10827, 5768, 8841, and - 1747 lots respectively. [7] Stock Index Options - The trading volume of each option variety rebounded slightly but remained at a low - liquidity level since October. The option sentiment index was weak, especially for technology - sector options. Option volatility varied, with the implied volatility of the Science and Technology Innovation 50 ETF option strengthening and that of the CSI 300 stock index option weakening. It is recommended to continue holding covered positions for additional income. [8] Treasury Bond Futures - Most treasury bond futures rose yesterday. The T, TF, TS, and TL main contracts changed by 0.01%, 0.02%, 0.00%, and 0.22% respectively. The central bank's large - scale net injection supported the bond market. In October, the CPI improved, and the core CPI increased significantly. The central bank restarted treasury bond trading, and the short - term factors driving bond yields down were lacking. The stock - bond seesaw effect may weaken, and the restart of treasury bond trading may boost bond market sentiment. The operation suggestions include a trend strategy of oscillating upward, a hedging strategy of paying attention to long - position substitution at high basis levels, a basis strategy of looking for positive spreads and basis widening, and a curve strategy of appropriately paying attention to curve steepening. [4][9] - The trading volumes of T, TF, TS, and TL for the current quarter are 58830, 49109, 24929, and 96097 lots respectively, with a one - day change of 3915, 4624, - 1360, and - 3686 lots. The positions are 231393, 138398, 67365, and 129150 lots respectively, with a one - day change of - 4216, - 4021, - 700, and 1495 lots. The inter - period spreads (current quarter - next quarter) are 0.225, 0.030, 0.052, and 0.250 yuan respectively, with a one - day change of - 0.025, - 0.010, 0, and 0.010 yuan. The cross - variety spreads and basis points also have corresponding changes. [8][9][10] 2. Economic Calendar - The economic data to be released this week includes China's October new RMB loans, social financing scale, M2 money supply annual rate, the US October CPI annual rate, China's October total retail sales of consumer goods annual rate, and China's October industrial added value above designated size annual rate. [12] 3. Important Information and News Tracking - The Asset Management Association of China is soliciting opinions on the "Guidelines for the Management of the Thematic Investment Style of Publicly Offered Securities Investment Funds" to standardize the style drift problem of thematic investment funds. [13] - The State Council General Office issued measures to promote private investment, including expanding access, removing obstacles, and strengthening support. [13] - Two departments issued a guidance on promoting new energy consumption and regulation, with goals set for 2030 and 2035. [13] - China successfully launched the 13th group of low - orbit satellite Internet satellites. [14] - The US Senate reached an agreement to end the federal government shutdown. [15] 4. Derivatives Market Monitoring - The report mentions data monitoring of stock index futures, stock index options, and treasury bond futures, but no specific data content is provided. [16][20][32]

Core Insights - The article discusses the integration of macro quantification and factor momentum to identify resonant factors for investment strategies, emphasizing the importance of economic, liquidity, and credit indicators in shaping market expectations [1][3]. Group 1: Factor Scores and Market Indicators - The macroeconomic indicators show signs of recovery, with economic growth expected to improve, while liquidity is slightly weak and credit conditions are tightening [3][4]. - Value factors have seen a significant increase in scores, becoming resonant factors in the CSI 300 index, while growth factors have declined [4][6]. - The article presents a table of factor scores across different indices, indicating a preference for value and low volatility factors in the current market environment [4]. Group 2: Economic Outlook and Leading Indicators - The economic leading indicators model suggests that the economy is in a rising cycle since September 2025, with a slight upward trend expected in the coming months [6][9]. - Specific indicators such as PMI and fixed asset investment are analyzed, showing a mixed outlook with some indicators in a rising phase while others are nearing a peak [11][12]. - The article highlights the importance of monitoring leading indicators to anticipate future economic cycles and potential downturns [9][10]. Group 3: Liquidity and Credit Conditions - The liquidity environment is assessed as slightly loose despite some tightening in interest rates, with a focus on the net monetary supply and excess reserve rates [12][16]. - Credit indicators show a mixed picture, with overall credit volume and structure remaining low, but some signs of recovery are noted [17][18]. - The article suggests a cautious approach to credit-sensitive investments due to the ongoing tightening in credit conditions [17]. Group 4: Asset Allocation and Market Focus - The asset allocation strategy is adjusted to reflect a neutral to positive stance on A-shares, while reducing exposure to gold and bonds due to changing market dynamics [18]. - The focus on PPI and liquidity as key market drivers indicates a shift in investor sentiment towards these macroeconomic variables [19]. - The article emphasizes the importance of selecting industries that are sensitive to economic changes but less affected by credit conditions, with a preference for sectors like utilities and coal [21].

Group 1 - The value factor score has improved, indicating a recovery in the economy, with liquidity slightly loose and credit indicators showing slight improvement. The macro direction is characterized by economic recovery, weak liquidity, and credit contraction [3][8][14] - The economic leading indicators are expected to maintain an upward trend, with predictions indicating a peak in March 2026 [14][15] - The liquidity environment is slightly loose overall, despite interest rates being above the average, with monetary supply remaining positive [21][24][22] Group 2 - The credit indicators are weak, with credit volume and structure maintaining low levels, although there has been a slight expansion in credit structure [25][26] - The allocation view for major asset classes indicates a decrease in gold allocation to 10%, while A-shares are favored [26][27] - Market focus has shifted towards economic indicators, with PPI attention rising above economic concerns recently [27][28] Group 3 - The industry selection is inclined towards sectors that are sensitive to economic changes but insensitive to credit fluctuations, with a general preference for value-oriented sectors [29][30] - The top-performing industries based on economic sensitivity include utilities, coal, and construction decoration, while the highest credit scores are seen in retail and banking [30]