- The report tracks various market environment factors, including stock market factors, commodity market factors, options market factors, and convertible bond market factors[1][3][6] Stock Market Factors 1. **Factor Name**: Market Style - **Construction Idea**: The factor tracks the performance of different market styles, such as large-cap vs. small-cap and value vs. growth[10] - **Construction Process**: The factor is constructed by analyzing the performance and volatility of different market styles. For example, the large-cap style is compared to the small-cap style, and the value style is compared to the growth style[10] - **Evaluation**: The large-cap value style is currently dominant, with increased volatility in both large-cap vs. small-cap and value vs. growth styles[10][12] 2. **Factor Name**: Market Structure - **Construction Idea**: The factor examines the structure of the market by analyzing industry index excess return dispersion, component stock rise ratio, and industry rotation speed[10] - **Construction Process**: The factor is constructed by measuring the dispersion of excess returns among industry indices, the proportion of rising component stocks, and the speed of industry rotation[10] - **Evaluation**: The dispersion of industry index excess returns and the proportion of rising component stocks have decreased, while the speed of industry rotation has also decreased[10][12] 3. **Factor Name**: Market Activity - **Construction Idea**: The factor tracks market activity by analyzing market volatility and turnover rate[11] - **Construction Process**: The factor is constructed by measuring the volatility and turnover rate of the market[11] - **Evaluation**: Market volatility remains low, and the turnover rate continues to decline[11][12] Commodity Market Factors 1. **Factor Name**: Trend Strength - **Construction Idea**: The factor tracks the strength of trends in different commodity sectors[25] - **Construction Process**: The factor is constructed by analyzing the trend strength in sectors such as energy, metals, and agriculture[25] - **Evaluation**: The energy and metals sectors show strong trends, while the trend strength in the precious metals sector is rising[25][29] 2. **Factor Name**: Basis Momentum - **Construction Idea**: The factor tracks the momentum of the basis in different commodity sectors[25] - **Construction Process**: The factor is constructed by measuring the basis momentum in sectors such as energy, metals, and agriculture[25] - **Evaluation**: Except for the agricultural sector, which has low basis momentum, other sectors have high basis momentum[25][29] 3. **Factor Name**: Volatility - **Construction Idea**: The factor tracks the volatility levels in different commodity sectors[25] - **Construction Process**: The factor is constructed by measuring the volatility levels in sectors such as energy, metals, and agriculture[25] - **Evaluation**: The energy sector has high volatility, while the metals and agricultural sectors have low volatility[25][29] 4. **Factor Name**: Liquidity - **Construction Idea**: The factor tracks the liquidity levels in different commodity sectors[25] - **Construction Process**: The factor is constructed by measuring the liquidity levels in sectors such as energy, metals, and agriculture[25] - **Evaluation**: Liquidity levels have decreased across all sectors[25][29] Options Market Factors 1. **Factor Name**: Implied Volatility - **Construction Idea**: The factor tracks the implied volatility levels of different options[35] - **Construction Process**: The factor is constructed by measuring the implied volatility levels of options on indices such as the SSE 50 and CSI 1000[35] - **Evaluation**: Implied volatility levels for both the SSE 50 and CSI 1000 options are rising[35] 2. **Factor Name**: Skewness - **Construction Idea**: The factor tracks the skewness of different options[35] - **Construction Process**: The factor is constructed by measuring the skewness of call and put options on indices such as the SSE 50 and CSI 1000[35] - **Evaluation**: The skewness of both call and put options on the SSE 50 has decreased, while the skewness of put options on the CSI 1000 remains higher than that of call options[35] Convertible Bond Market Factors 1. **Factor Name**: Valuation - **Construction Idea**: The factor tracks the valuation levels of convertible bonds[36] - **Construction Process**: The factor is constructed by measuring the premium rates of convertible bonds[36] - **Evaluation**: The premium rates of convertible bonds have slightly decreased, and the market activity has weakened[36] Factor Backtesting Results 1. **Market Style Factor**: Large-cap value style is dominant, with increased volatility in both large-cap vs. small-cap and value vs. growth styles[10][12] 2. **Market Structure Factor**: Decreased dispersion of industry index excess returns, decreased proportion of rising component stocks, and decreased speed of industry rotation[10][12] 3. **Market Activity Factor**: Low market volatility and declining turnover rate[11][12] 4. **Trend Strength Factor**: Strong trends in the energy and metals sectors, rising trend strength in the precious metals sector[25][29] 5. **Basis Momentum Factor**: High basis momentum in all sectors except agriculture[25][29] 6. **Volatility Factor**: High volatility in the energy sector, low volatility in the metals and agricultural sectors[25][29] 7. **Liquidity Factor**: Decreased liquidity levels across all sectors[25][29] 8. **Implied Volatility Factor**: Rising implied volatility levels for both SSE 50 and CSI 1000 options[35] 9. **Skewness Factor**: Decreased skewness for both call and put options on the SSE 50, higher skewness for put options on the CSI 1000 compared to call options[35] 10. **Valuation Factor**: Slightly decreased premium rates for convertible bonds, weakened market activity[36]