残差波动率因子收益回升 金融工程周报 基金市场回顾： 操作评级 中信五风格-稳定★☆☆ 金融工程组 张婧婕 Z0022617 010-58747784 gtaxinstitute@essence.com.cn 权益市场风格 本报告版权属于国投期货有限公司 1 不可作为投资依据，转载请注明出处 2026年1月26日 周度报告 截至2026/01/23当周，通联全A（沪深京）、中证综合债与南 华商品指数周度涨跌幅分别为1.75%、0.21%、2.08%。 公募基金市场方面，近一周增强指数策略表现偏强，周度涨跌 幅为1.82%，中性策略产品涨多跌少；转债策略收益强于纯债， 商品方面有色金属ETF收益小幅回调，能源化工ETF收益反弹， 周度涨跌幅为3.48%。 中信五风格方面，近一周金融风格收跌，其余风格收涨；风格 轮动图显示近期稳定与周期风格相对强弱走强，金融与周期风 格相对强弱动量环比回升。公募基金池方面，近一周金融与消 费基金风格指数跑赢基准，其中金融风格基金指数超额收益率 为2.72%，从基金风格系数走势来看市场对消费风格偏移度继 续走低；本周拥挤度指标小幅回落，当前周期与金融风格位于 历史偏高拥挤区间。 B ...

Report Investment Rating - The report gives a "★☆☆" rating to CITIC's five-style stability, indicating a slightly bullish view with limited operability in the market [5]. Core Viewpoints - In the week ending October 17, 2025, Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond, and Nanhua Commodity Index had weekly returns of -3.39%, 0.21%, and -1.14% respectively. In the public fund market, equity long strategies retreated, pure bonds outperformed, neutral strategy products showed mixed performance, and among commodities, precious metal ETFs rose while non-ferrous metal ETFs declined, and energy chemical and soybean meal ETFs continued to weaken [5]. - Among CITIC's five styles, the financial style rose last week while others fell. The style rotation chart shows that the growth and consumption styles weakened marginally in terms of relative strength, and the financial style increased significantly in terms of indicator momentum. In the public fund pool, cyclical style funds had better excess performance in the past week, and other style funds underperformed the index on average. The product's deviation from cyclical and consumption styles increased marginally, and the overall market congestion indicator increased marginally this week, with the cyclical style currently in a historically high congestion range [5]. - In the neutral strategy, the stock index basis showed a marginal recovery trend last week. The IM contract rebounded from below the -2 standard deviation of the three - month average to within one standard deviation, and the premium rates of the corresponding spot index ETFs of IH and IF were in the top 20% quantile range of the past three months [5]. - Among Barra factors, the residual momentum factor had better performance in the past week with a weekly excess return of 2.49%, while the momentum and capital flow factors had excess drawdowns. The win - rates of the profitability and leverage factors improved. The cross - section rotation speed of factors increased significantly this week and is currently in a relatively high quantile range in the past year [5]. - According to the latest scoring results of the style timing model, the consumption and financial styles recovered marginally this week, the cyclical style declined, and the current signal favors the stable style. The return of the style timing strategy last week was 0.52%, with an excess return of 1.45% compared to the benchmark equal - weighted allocation [5]. Summary by Directory Fund Market Review - In the public fund market, equity long strategies had a drawdown in the past week, pure bonds had better returns, neutral strategy products showed mixed performance, precious metal ETFs in commodities had large increases, non - ferrous metal ETFs had a return correction, and energy chemical and soybean meal ETFs' net values continued to weaken [5]. - Among CITIC's five styles, the financial style rose last week while others fell. Cyclical style funds had better excess performance in the public fund pool, and other style funds underperformed the index on average. The product's deviation from cyclical and consumption styles increased marginally, and the overall market congestion indicator increased marginally this week, with the cyclical style in a historically high congestion range [5]. - In the neutral strategy, the stock index basis recovered marginally last week, and the premium rates of the corresponding spot index ETFs of IH and IF were in the top 20% quantile range of the past three months [5]. - Among Barra factors, the residual momentum factor had a weekly excess return of 2.49%, the momentum and capital flow factors had excess drawdowns, and the win - rates of the profitability and leverage factors improved. The factor cross - section rotation speed increased significantly and is in a relatively high quantile range in the past year [5]. - According to the style timing model, the consumption and financial styles recovered marginally this week, the cyclical style declined, and the style timing strategy had a return of 0.52% last week, with an excess return of 1.45% compared to the benchmark [5]. Recent Market Returns - The weekly, monthly, quarterly, and semi - annual returns of Tonglian All A (Shanghai, Shenzhen, Beijing), ChinaBond Composite Bond (net), and Nanhua Commodity are presented in the report, along with data on the establishment scale of public funds in the past year, the maximum drawdown of major public fund strategy indices in the past three months, and the weekly returns of major public fund strategy indices [7]. CITIC Style Index - The net value trends of CITIC's financial, cyclical, consumption, growth, and stable style indices are shown, as well as the relative rotation chart of these style indices, which reflects the relative strength and momentum of different styles in different time periods [8][9]. - The excess return performance of CITIC style - based fund style indices in different time periods (weekly, monthly, quarterly, semi - annual, annual) is presented, along with the congestion levels of different styles (excluding the stable style due to data limitations) [10][11]. Barra Factors - The preference levels of Barra single - factors (ranging from 0 - 1) are shown, indicating the degree of preference for different factors. The excess return performance of Barra single - factor style strategies in different time periods (weekly, monthly) is also presented, as well as the excess net value trends of Barra single - factor styles since this year [13][14][17].

Quantitative Models and Construction Methods 1. Model Name: Diffusion Index Model - **Model Construction Idea**: The model is used to monitor the critical points of trend changes in the micro-cap stock index by analyzing the distribution of stock price movements over a specific time window[6][38]. - **Model Construction Process**: The model calculates the diffusion index based on the relative price changes of all constituent stocks in the micro-cap stock index over a given time window. For example, if the horizontal axis is 0.95 and the vertical axis is 15 days, the value of 0.51 indicates that after 5 days (review period from T=20 to T=15), if all stocks in the micro-cap index drop by 5%, the diffusion index value is 0.51[38]. - Current diffusion index value: 0.87 (horizontal axis = 20, vertical axis = 1.00)[38]. - **Model Evaluation**: The model shows that the current distribution is relatively uniform, indicating that the time window has little impact, and the main influence comes from the spatial distribution[38]. 2. Model Name: First Threshold Method (Left-Side Trading) - **Model Construction Idea**: This method triggers a sell signal when the diffusion index reaches a predefined threshold[6][42]. - **Model Construction Process**: - On May 8, 2025, the model triggered a sell signal when the diffusion index reached 0.9850[42]. 3. Model Name: Delayed Threshold Method (Right-Side Trading) - **Model Construction Idea**: Similar to the first threshold method but with a delayed response to confirm the trend[6][44]. - **Model Construction Process**: - On May 15, 2025, the model triggered a sell signal when the diffusion index reached 0.8975[46]. 4. Model Name: Dual Moving Average Method (Adaptive Trading) - **Model Construction Idea**: This method uses two moving averages to adaptively identify trading signals based on the diffusion index[6][47]. - **Model Construction Process**: - On August 4, 2025, the model issued a sell signal based on the dual moving average strategy[47]. --- Model Backtesting Results 1. Diffusion Index Model - Current diffusion index value: 0.87[38]. 2. First Threshold Method - Triggered sell signal at diffusion index value: 0.9850[42]. 3. Delayed Threshold Method - Triggered sell signal at diffusion index value: 0.8975[46]. 4. Dual Moving Average Method - Triggered sell signal on August 4, 2025[47]. --- Quantitative Factors and Construction Methods 1. Factor Name: Momentum Factor - **Factor Construction Idea**: Measures the tendency of stocks to continue their past performance[5][33]. - **Factor Construction Process**: - Weekly rank IC: 0.224 - Historical average rank IC: -0.005[5][33]. 2. Factor Name: Beta Factor - **Factor Construction Idea**: Captures the sensitivity of stock returns to market movements[5][33]. - **Factor Construction Process**: - Weekly rank IC: 0.146 - Historical average rank IC: 0.006[5][33]. 3. Factor Name: Illiquidity Factor - **Factor Construction Idea**: Measures the impact of trading volume on stock price changes[5][33]. - **Factor Construction Process**: - Weekly rank IC: 0.14 - Historical average rank IC: 0.041[5][33]. 4. Factor Name: Unadjusted Stock Price Factor - **Factor Construction Idea**: Reflects the raw stock price without adjustments for splits or dividends[5][33]. - **Factor Construction Process**: - Weekly rank IC: 0.131 - Historical average rank IC: -0.015[5][33]. 5. Factor Name: PE_TTM Reciprocal Factor - **Factor Construction Idea**: Represents the inverse of the price-to-earnings ratio based on trailing twelve months[5][33]. - **Factor Construction Process**: - Weekly rank IC: 0.125 - Historical average rank IC: 0.017[5][33]. --- Factor Backtesting Results 1. Momentum Factor - Weekly rank IC: 0.224 - Historical average rank IC: -0.005[5][33]. 2. Beta Factor - Weekly rank IC: 0.146 - Historical average rank IC: 0.006[5][33]. 3. Illiquidity Factor - Weekly rank IC: 0.14 - Historical average rank IC: 0.041[5][33]. 4. Unadjusted Stock Price Factor - Weekly rank IC: 0.131 - Historical average rank IC: -0.015[5][33]. 5. PE_TTM Reciprocal Factor - Weekly rank IC: 0.125 - Historical average rank IC: 0.017[5][33].