- The report tracks various quantitative factors across equity, commodity, options, and convertible bond markets, providing insights into market trends and factor performance during the week of December 15-19, 2025[3][9][24] - **Equity Market Factors**: - **Market Style**: The market showed a slight preference for large-cap and value styles, reversing the trend from the previous week[10][12] - **Market Structure**: Industry excess return dispersion and rotation speed increased, while the proportion of rising constituent stocks decreased. Concentration in the top 100 stocks remained stable, and the top 5 industries saw a slight decline in transaction concentration[10][12] - **Market Activity**: Both market volatility and turnover rate continued to decline[11][12] - **Commodity Market Factors**: - **Trend Strength**: All sectors except the black sector showed an increase in trend strength[24][29] - **Volatility**: Volatility decreased in the precious metals and agricultural sectors but increased in other sectors[24][29] - **Liquidity**: Liquidity declined in the energy and agricultural sectors but slightly improved in other sectors[24][29] - **Basis Momentum**: Basis momentum increased in the energy and black sectors but decreased in other sectors[24][29] - **Options Market Factors**: - Implied volatility for both the SSE 50 and CSI 1000 rebounded from low levels. The skew of call and put options for the SSE 50 decreased, while the skew of put options for the CSI 1000 continued to rise, indicating risk release in large-cap stocks and risk accumulation in small-cap stocks[32][36] - **Convertible Bond Market Factors**: - The market stabilized and recovered, with transaction volume exceeding the median level of the past year. The premium rate for bonds priced at 100 yuan reached a new annual high, while the proportion of low premium rate bonds continued to decline[34][38][40]

- The report covers the period from December 8, 2025, to December 12, 2025[2][10] - The A-share market showed limited incremental funds and a characteristic of stock game due to seasonal tightening of funds towards the end of the year[3][10] - In the stock market, the style was biased towards small-cap and growth, with decreased volatility in the small-cap style and increased volatility in the growth style[11][13] - The market structure showed a decrease in industry excess return dispersion, industry rotation speed, and the proportion of rising constituent stocks[11][13] - The trading concentration increased for the top 100 stocks but decreased for the top 5 industries[11][13] - Market activity showed a decline in both market volatility and turnover rate[12][13] - In the commodity market, trend strength increased, especially in precious metals and non-ferrous metals, while the basis momentum rose in the energy and chemical sectors but fell in others[26][33] - Volatility increased in all sectors except energy and chemicals, with precious metals maintaining high volatility, and liquidity rose slightly in all sectors except black metals[26][33] - In the options market, the implied volatility of the SSE 50 and CSI 1000 further declined to historical lows, with the put skew decreasing for the SSE 50 and increasing for the CSI 1000[37] - In the convertible bond market, the market showed low volatility, with the premium rate of bonds convertible at par remaining high, the pure bond premium rate decreasing, and the proportion of low premium convertible bonds declining[41]

Quantitative Factors and Construction Methods 1. Factor Name: Market Style Factor - **Construction Idea**: This factor tracks the market's preference for different styles, such as large-cap vs. small-cap and value vs. growth, as well as the volatility of these styles[13][15] - **Construction Process**: - **Size Style**: Measure the relative performance of small-cap stocks against large-cap stocks - **Value-Growth Style**: Measure the relative performance of growth stocks against value stocks - **Volatility**: Calculate the changes in the above style preferences over time to assess their stability[13][15] - **Evaluation**: The factor effectively captures the market's shifting preferences and provides insights into style rotations[13][15] 2. Factor Name: Market Structure Factor - **Construction Idea**: This factor evaluates the dispersion and rotation within industry indices, as well as the concentration of trading activity[13][15] - **Construction Process**: - **Industry Dispersion**: Calculate the excess return dispersion across industry indices - **Industry Rotation**: Measure the speed of rotation among industries - **Trading Concentration**: Assess the proportion of trading volume concentrated in the top 100 stocks and the top 5 industries[13][15] - **Evaluation**: The factor provides a comprehensive view of market dynamics, including sectoral shifts and trading behavior[13][15] 3. Factor Name: Market Activity Factor - **Construction Idea**: This factor tracks the overall market activity through volatility and turnover rates[14][15] - **Construction Process**: - **Volatility**: Measure the index-level volatility over the observation period - **Turnover Rate**: Calculate the turnover rate of the market index to gauge trading activity[14][15] - **Evaluation**: The factor is useful for understanding the market's risk appetite and liquidity conditions[14][15] 4. Factor Name: Commodity Market Factor - **Construction Idea**: This factor evaluates the performance and dynamics of commodity markets, focusing on trend strength, basis momentum, volatility, and liquidity[21][26] - **Construction Process**: - **Trend Strength**: Assess the strength of price trends in commodity sectors like metals and energy - **Basis Momentum**: Measure the changes in the basis (spot price vs. futures price) across sectors - **Volatility**: Calculate the price volatility for each commodity sector - **Liquidity**: Evaluate the trading liquidity and its fluctuations across sectors[21][26] - **Evaluation**: The factor provides a detailed view of commodity market conditions, highlighting sector-specific trends and risks[21][26] 5. Factor Name: Option Market Factor - **Construction Idea**: This factor analyzes the implied volatility and skewness in the options market, focusing on indices like SSE 50 and CSI 1000[30] - **Construction Process**: - **Implied Volatility**: Track the implied volatility levels for SSE 50 and CSI 1000 options - **Skewness**: Measure the skewness in the implied volatility distribution to assess market sentiment[30] - **Evaluation**: The factor captures market sentiment and risk perception, particularly in large-cap and small-cap indices[30] 6. Factor Name: Convertible Bond Market Factor - **Construction Idea**: This factor evaluates the performance and valuation of the convertible bond market, focusing on premium rates and trading activity[33] - **Construction Process**: - **Premium Rates**: Analyze the parity premium and low-premium bond proportions - **Trading Activity**: Measure the total trading volume and its changes over time[33] - **Evaluation**: The factor provides insights into the convertible bond market's valuation and liquidity conditions[33] --- Factor Backtesting Results 1. Market Style Factor - **Size Style**: Small-cap preference increased - **Value-Growth Style**: Growth style outperformed value - **Volatility**: Size style volatility increased, while value-growth style volatility decreased[15] 2. Market Structure Factor - **Industry Dispersion**: Increased - **Industry Rotation**: Accelerated - **Trading Concentration**: Top 100 stocks' trading share rose, while top 5 industries' share remained stable[15] 3. Market Activity Factor - **Volatility**: Increased - **Turnover Rate**: Increased[15] 4. Commodity Market Factor - **Trend Strength**: Metals and energy sectors strengthened - **Basis Momentum**: Declined across all sectors - **Volatility**: Declined in the black sector, stable in others - **Liquidity**: Fluctuated but remained stable overall[26] 5. Option Market Factor - **Implied Volatility**: SSE 50 remained stable, CSI 1000 declined - **Skewness**: CSI 1000 skewness and implied volatility recovered quickly[30] 6. Convertible Bond Market Factor - **Premium Rates**: Parity premium remained stable, low-premium bond proportion unchanged - **Trading Activity**: Slight decline in trading volume, but still supported[33]

Quantitative Factors and Construction 1. Factor Name: Market Style Factor - **Construction Idea**: This factor tracks the relative performance and volatility of different market styles, such as large-cap vs. small-cap and value vs. growth styles, to understand market preferences and dynamics[10][12] - **Construction Process**: - **Style Performance**: Measure the relative returns of large-cap vs. small-cap stocks and value vs. growth stocks over the week - **Style Volatility**: Calculate the weekly changes in the volatility of these style returns - **Evaluation**: The factor effectively captures the market's preference for growth over value and the balanced performance between large-cap and small-cap stocks during the observed period[10][12] 2. Factor Name: Market Structure Factor - **Construction Idea**: This factor evaluates the dispersion of industry returns, the speed of industry rotation, and the concentration of trading activity to assess market structure and dynamics[10][12] - **Construction Process**: - **Industry Return Dispersion**: Compute the standard deviation of excess returns across industry indices - **Industry Rotation Speed**: Measure the rate of change in leading industries over the week - **Trading Concentration**: Calculate the proportion of total trading volume contributed by the top 100 stocks and the top 5 industries - **Evaluation**: The factor highlights an increase in industry return dispersion and trading concentration, indicating a more focused market structure[10][12] 3. Factor Name: Market Activity Factor - **Construction Idea**: This factor tracks market volatility and turnover rates to gauge overall market activity levels[11][12] - **Construction Process**: - **Volatility**: Measure the weekly changes in index-level volatility - **Turnover Rate**: Calculate the weekly changes in market turnover rates - **Evaluation**: The factor shows a rise in both market volatility and turnover, reflecting heightened market activity during the week[11][12] 4. Factor Name: Commodity Market Factor - **Construction Idea**: This factor monitors the strength of trends, basis momentum, volatility, and liquidity in commodity markets to understand their dynamics[19][25] - **Construction Process**: - **Trend Strength**: Assess the directional movement of commodity indices - **Basis Momentum**: Measure the changes in the basis (spot price vs. futures price) for energy and precious metals - **Volatility**: Calculate the weekly changes in commodity price volatility - **Liquidity**: Track the weekly changes in trading volume and bid-ask spreads - **Evaluation**: The factor indicates a decline in trend strength and volatility, while basis momentum for energy and precious metals increased, and liquidity showed a downward trend[19][25] 5. Factor Name: Option Market Factor - **Construction Idea**: This factor evaluates implied volatility, skewness, and discount rates in the options market to assess market sentiment and hedging activity[28] - **Construction Process**: - **Implied Volatility**: Track the implied volatility levels of the SSE 50 and CSI 1000 indices - **Skewness and Discount Rates**: Measure the skewness of put options and the implied discount rates for these indices - **Evaluation**: The factor reveals high implied volatility levels, with an increase in put skewness and discount rates for the CSI 1000 index, suggesting rising hedging activity and market divergence[28] 6. Factor Name: Convertible Bond Market Factor - **Construction Idea**: This factor examines the premium rates and trading activity in the convertible bond market to understand its dynamics[30] - **Construction Process**: - **Premium Rates**: Analyze the average premium rates for bonds with low conversion premiums - **Trading Activity**: Measure the weekly changes in trading volume - **Evaluation**: The factor shows an increase in the proportion of low-premium bonds and stable trading activity, indicating potential short-term adjustments in the market[30] --- Factor Backtesting Results 1. Market Style Factor - **Large-Cap vs. Small-Cap Performance**: Balanced[10][12] - **Value vs. Growth Performance**: Growth outperformed value[10][12] - **Style Volatility**: Large-cap/small-cap volatility decreased; value/growth volatility increased[10][12] 2. Market Structure Factor - **Industry Return Dispersion**: Increased[10][12] - **Industry Rotation Speed**: Peaked and then declined[10][12] - **Trading Concentration**: Increased for both top 100 stocks and top 5 industries[10][12] 3. Market Activity Factor - **Volatility**: Increased[11][12] - **Turnover Rate**: Increased[11][12] 4. Commodity Market Factor - **Trend Strength**: Declined[19][25] - **Basis Momentum**: Increased for energy and precious metals[19][25] - **Volatility**: Declined[19][25] - **Liquidity**: Declined[19][25] 5. Option Market Factor - **Implied Volatility**: High for SSE 50 and CSI 1000[28] - **Skewness and Discount Rates**: Increased for CSI 1000[28] 6. Convertible Bond Market Factor - **Premium Rates**: Low-premium bonds increased[30] - **Trading Activity**: Stable[30]