2025 年 05 月 18 日 主力资金有效性持续修复，景气预期超额收益开 始抬头 —行业和风格因子跟踪报告 投资要点 ▌ 行业因子最新变动情况 上周 3400 得而复失，回调后仍站上 3350。我们最新推荐 的非银行业收益亮眼。因子角度来看近期市场热点受事件 驱动影响较大，分析师短期预期表现更好，也能抓住非银 的反弹行情。此外市场资金驱动特征明显，主力资金因子 多头的非银、汽车领涨市场。动量反转层面处于反转因子 和短端动量的交接时刻，可以提前关注短期动量有效性的 回升。财报质量因子继续偏向成长口径，景气投资思路有 效性开始小幅回升。 整体看行业轮动因子指向内需成长板块：大盘成交金额持 续在 1.1 万亿以上，主题投资和景气投资均有反弹，主力 资金因子反弹延续，本期主力资金因子行业选择电子、电 力设备及新能源、医药、机械、有色金属、非银行金融。 长期分析师预期非银行金融、建材、交通运输、电力及公 用事业、有色金属，空头无意义。短期分析师预期指向农 林牧渔、消费者服务、非银行金融、机械、有色金属。本 期选择行业继续偏向内需中的成长，继续关注低位消费短 期反弹机会。 ▌ 定量行业推荐 基于权重分配，我们推荐内资 ...

Quantitative Models and Factors Summary Quantitative Models and Construction Methods Model Name: Liquidity Factor - **Construction Idea**: The liquidity factor is based on the market's liquidity conditions and the effectiveness of the main fund factor[12] - **Construction Process**: The model selects industries such as computers, electronics, machinery, electrical equipment and new energy, communications, and automobiles based on the liquidity factor. The recommended weight for the main fund factor is 5%[12] - **Evaluation**: The effectiveness of the main fund factor has stopped declining and is beginning to recover as market liquidity becomes abundant again[11][12] Model Name: Long-term Prosperity Expectation - **Construction Idea**: This factor serves as a proxy variable for prosperity investment[16] - **Construction Process**: The model selects industries such as non-bank finance, non-ferrous metals, electric power and utilities, steel, home appliances, and electronics. The recommended weight is 10%[16] - **Evaluation**: The effectiveness of this factor has recently declined, and the clustering effect has not formed[16] Model Name: Short-term Prosperity Expectation - **Construction Idea**: This factor focuses on short-term prosperity expectations, particularly in domestic demand[20] - **Construction Process**: The model selects industries such as home appliances, basic chemicals, agriculture, forestry, animal husbandry, and fishery, automobiles, machinery, and national defense. The recommended weight is 30%[20] - **Evaluation**: The short-term prosperity expectation factor shows significant upward movement in excess returns[20] Model Name: Momentum Reversal - **Construction Idea**: This factor focuses on long-term low and short-term strong defensive sectors[23] - **Construction Process**: The model tracks one-month momentum and selects industries such as electric power and utilities, agriculture, forestry, animal husbandry, and fishery, retail, banking, real estate, and transportation. The recommended weight is 10%[23] - **Evaluation**: The model suggests tracking defensive sectors with long-term low and short-term strong performance[23] Model Backtesting Results - **Liquidity Factor**: Excess return of the long position is shown in the chart[14] - **Long-term Prosperity Expectation**: Excess return of the long position is shown in the chart[18] - **Short-term Prosperity Expectation**: Excess return of the long position is shown in the chart[22] - **Momentum Reversal**: Excess return of the long position is shown in the chart[25] Quantitative Factors and Construction Methods Factor Name: Financial Report Quality Factor - **Construction Idea**: This factor focuses on the quality of financial reports[11] - **Construction Process**: The factor is used to select industries such as banking, non-bank finance, transportation, and construction[11] - **Evaluation**: The financial report quality factor has shown concentrated absolute returns recently[11] Factor Name: Correlation Factor - **Construction Idea**: This factor focuses on the correlation between industries[11] - **Construction Process**: The factor is used to analyze industry rotation and select industries based on their correlation[11] - **Evaluation**: The correlation factor has shown concentrated absolute returns recently[11] Factor Name: Momentum Factor - **Construction Idea**: This factor focuses on the momentum of industries[11] - **Construction Process**: The factor is used to analyze industry momentum and select industries based on their momentum[11] - **Evaluation**: The momentum factor has shown concentrated absolute returns recently[11] Factor Name: Main Fund Factor - **Construction Idea**: This factor focuses on the main fund flows in the market[11] - **Construction Process**: The factor is used to analyze the effectiveness of main fund flows and select industries based on their fund flows[11] - **Evaluation**: The effectiveness of the main fund factor has stopped declining and is beginning to recover[11] Factor Backtesting Results - **Financial Report Quality Factor**: Excess return of the long position is shown in the chart[14] - **Correlation Factor**: Excess return of the long position is shown in the chart[14] - **Momentum Factor**: Excess return of the long position is shown in the chart[14] - **Main Fund Factor**: Excess return of the long position is shown in the chart[14]

2025 年 03 月 16 日 上期推荐三个行业涨幅前五，继续关注资金流长 短景气和反转 —行业和风格因子跟踪报告 投资要点 ▌ 行业因子最新变动情况 上周推荐的食品饮料、有色金属、纺织服装涨幅居全行业 前 5。 行业因子上周最大特征单一大类因子解释力度不佳，因为 单大类因子选择的部分行业跌幅过深。本周高低切换明 显，反转类因子有效，复合因子层面短期景气预期有效性 显著。因子多头短期预期营收调升比例均值同比上周表现 最好。主力资金因子未能排入前列但多头超额继续创下新 高。 整体看行业轮动因子描述市场开始积极定价一季报，资金 高切低时有分歧，分歧可能源自博弈上周政策，最终博弈 结果来看消费>顺周期>地产链。景气预期层面继续关注长 短预期。我们推荐长期景气 30%、短期景气 20%权重突出 多头选择，给主力资金 30%权重，长端反转因子 20%来筛 选当前政策刺激下的受益板块。 月频流动性角度三月最强势的复合因子是短周期预期和部 分财报质量因子。选择的是消费中的食品饮料和社服、军 工和顺周期中的钢铁、有色，以及纺织服装。 ▌ 定量行业推荐 基于权重分配，我们推荐内资主力资金因子为代表的资金流 （30%）、细分因 ...