Group 1 - Market sentiment score has slightly decreased to 3.8 as of November 21, down from 3.9 the previous week, indicating a bearish outlook [7][11] - The consistency between price and volume has weakened significantly, showing a decline in market engagement and a drop in risk appetite, particularly reflected in the decreasing trading volume of the Sci-Tech 50 index [11][18] - The total trading volume for the entire A-share market has decreased by 8.74% week-on-week, with an average daily trading volume of 18650.36 billion yuan [15][17] Group 2 - The banking, textile and apparel, defense, petrochemical, and comprehensive sectors have shown an upward trend in short-term scores, with the petrochemical sector leading at a score of 83.05 [40][41] - The correlation between sector crowding and weekly price changes is negative at -0.24, indicating that sectors with high crowding, such as electric power equipment and basic chemicals, have experienced significant declines [44][46] - The current model indicates a preference for small-cap and value styles, with strong signals for both, although the strength of these signals may need further observation [50][52]

- The report does not contain specific quantitative models or factors for analysis [1][2][3] - The report primarily focuses on market performance, style indices, valuation metrics, and fund flows without detailing quantitative models or factor construction [1][2][3] - Key metrics such as PE_TTM, ERP, and style index performance are discussed, but no explicit quantitative model or factor development process is provided [41][51][59]

- The report does not contain any specific quantitative models or factors for analysis [1][2][3][4] - The report provides an overview of the A-share market, including style performance and crowding levels, highlighting the relative performance of growth vs dividend, small-cap vs large-cap, micro-cap stocks vs CSI 800, and momentum vs reversal [24][25][33] - Growth vs Dividend: Crowding level is at a historically high position (69%), with cumulative excess net value also at a high level, showing an increase over the past week [33][34][36] - Small-cap vs Large-cap: Crowding level is at a historically low position (34%), with cumulative excess net value at a balanced level, showing an increase over the past week [36][38][39] - Micro-cap stocks vs CSI 800: Crowding level is at a historically high position (82%), with cumulative excess net value at an extremely high level, remaining stable over the past week [39][41][42] - Momentum vs Reversal: Momentum style outperformed reversal style this week, contrary to long-term trends, as the total amount of active stock funds decreased [44][46][49] - The report discusses the relationship between U.S. bond yields and style indices, noting deviations from long-term trends in the past week [44][46][47] - The report provides detailed calculations for style crowding levels and cumulative excess net value, including methodologies for Z-score standardization and rolling historical percentiles [127][128] - The report highlights the historical percentile of institutional research activity across indices, sectors, and industries, with notable activity in upstream cycles and industries like steel and consumer services [109][111][111] - The report includes data on A-share valuation and equity-bond risk premium (ERP), indicating that overall equity allocation is at a balanced level [66][77][86] - The report provides insights into fund flows, including issuance and existing scale of active and passive equity funds, showing mixed trends in recent weeks [90][100][103] - The report tracks major capital indices, showing relative performance against the Wind All A Index, with QFII and private equity indices leading gains [87][88][90] - The report discusses trends in bond yields and the China-U.S. yield spread, highlighting recent changes and historical positions [112][113][117] - The report analyzes currency market trends, noting the appreciation of the onshore and offshore RMB against the USD in the past week [119][121][122] - The report provides an overview of commodity market performance, with mixed results across different indices in China and the U.S. [123][125][126]

- The report does not contain any specific quantitative models or factors for analysis[1][2][3] - The report primarily focuses on market trends, style indices, valuation metrics, and fund flows without detailing quantitative models or factor construction[4][5][6] - No formulas, construction processes, or backtesting results for quantitative models or factors are provided in the report[7][8][9]

Group 1: Investment Opportunities by Style - The report emphasizes that in the medium to low-frequency dimension, the main returns for investors come from core beta opportunities, with value strategies represented by low valuation and PB-ROE metrics, and dividend strategies characterized by high safety margins [13][15]. - Growth investment, represented by companies with higher growth rates, has been a mainstream strategy in the A-share market, focusing on stocks with strong fundamental resilience [15]. - The performance of various style strategies year-to-date shows that extreme styles may not dominate due to rotation, and adjustments in investment frameworks can help mitigate risks associated with beta misalignment [16][19]. Group 2: Long-term Excess Returns from Overseas Style Strategies - Japan's high dividend advantage became prominent after the 1990s bubble burst, with sustained benefits from a low growth and low interest rate environment [30][32]. - The report notes that Japanese companies have a stable dividend policy, contributing to a favorable environment for dividend growth, which has reached around 20% in recent years [39]. - In the U.S., high dividend strategies outperformed during the early 2000s, particularly during the tech bubble burst, highlighting their defensive characteristics amid economic volatility [40][41]. Group 3: Active Strategy Smart Beta Indexation - The report discusses the increasing popularity of Smart Beta strategies, which combine active management with passive investment principles, allowing for targeted exposure to specific factors [56].

Core Insights - The report explores the construction and application of a style factor system for A-shares, focusing on four dimensions: market capitalization, valuation, profitability, and momentum [2][9][12] - A-shares have exhibited different dominant factors over various periods, with profitability leading from 2013 to 2014, small-cap factors from 2015 to 2016, valuation from 2016 to 2018, and a return to profitability dominance from 2019 to early 2021 [2][24][27] - The report predicts a resurgence of high valuation factors starting in 2025, driven by expectations of weak profit recovery and strong policy support [2][27] Style Factor Construction and Performance - The style factor system is constructed using a bottom-up approach, assigning style labels to each stock based on their factor indicators [9][12] - The performance of the style factors shows that small-cap stocks have generally outperformed large-cap stocks since 2010, with a notable fivefold return from small-cap strategies [12][17] - Valuation factors indicate that low valuation styles have been particularly strong, especially during specific periods such as 2017-2018 and 2022-2024 [14][15] Influencing Factors of Style Factors - Profitability factors are highly correlated with economic cycles, showing better performance during economic upturns [45][46] - Valuation factors are closely linked to market sentiment, with high valuation stocks performing better during periods of positive sentiment [49][50] - Market capitalization factors are significantly influenced by remaining liquidity, with small-cap factors performing strongly in liquidity-rich environments [53][54] Application of Style Factor System - The report establishes an A-share style investment system based on the identified style factors, suggesting that the current dominant styles are high profitability, high valuation, and small-cap [2][27] - The analysis indicates that the A-share market has not fully priced in the expected profit recovery, suggesting potential upside for high profitability and high valuation factors [2][27] - Different asset types exhibit varying dominant style factors, with emerging growth assets showing significant small-cap advantages and dividend assets reflecting low valuation strengths [29][33]

- The report does not contain any specific quantitative models or factors for analysis[1][2][3]