量化日报 | 近期择时模型波动加大 a Peter Land Time Time of Street States of the States of the States of the States of the States of the states of the states of the states of the state of the state of the s ■ 证券研究报告 固收定期报告 / 2026.03.05 核心观点 � 风险提示: 模型失效风险,因子失效风险,数据质量风险 孙彬彬 分析师 SAC 证书编号: S0160525020001 sunhh@ctsec.com [舊修고 分析师 SAC 证书编号: S0160525020003 suixp@ctsec.com 付耕阳 fuav@ctsec.com 相关报告 1. 《量化日报 | 债券又有调整信号》 2026-03-04 2. 《 量化 | 宽基指数择时怎么做？ 》 2026-03-03 3. 《２月机构行为,"钱多"体现在哪些方 2026-03-03 面? 》 请阅读最后一页的重要声明! 看多: 3 年 AAA 中短票、1 ...

量化 | 宽基指数择时怎么做? the research and the research and the many of the may be the may be the see of the may be the see of the s ■ 证券研究报告 固收专题报告 / 2026.03.03 核心观点 请阅读最后一页的重要声明! 孙彬彬 分析师 SAC 证书编号: S0160525020001 sunbh@ctsec.com 分析师 [舊修고 SAC 证书编号: S0160525020003 suixp@ctsec.com 付耕阳 H 3 A fugy@ctsec.com 相关报告 1. 《２月机构行为,"钱多"体现在哪些方 2026-03-03 面? 》 2. 《转债 | 美伊冲突,哪些转债值得关 注？ 》 2026-03-02 3. 《转债│3 月,转债波动中做结构》 2026-03-02 择时框架能否应用于股指?前期我们发布了海内外债券、商品的择时框 * 架,为更好覆盖大类资产及组合构建,我们搭建万得全 A、中证红利全收益、 恒生科技、科创 50、万得微盘、国证 2000 指数六大权益指数的择 ...

. 2017 11:20 ■ 证券研究报告 分析师 [舊修고 SAC 证书编号: S0160525020003 suixp@ctsec.com 付耕阳 fugy@ctsec.com 相关报告 1. 《量化 | 宽基指数择时怎么做? 》 2026-03-03 2. 《２月机构行为,"钱多"体现在哪些方 面？》 2026-03-03 3. 《转债 | 美伊冲突,哪些转债值得关 注? 》 2026-03-02 核心观点 看多:10年国债、2年国债、万得全 A 指数、中证红利全收益指数、 or 万得微盘指数、国证 2000 指数、COMEX 黄金、IPE 布油; � 风险提示:模型失效风险,因子失效风险,数据质量风险 请阅读最后一页的重要声明! 量化日报 | 债券又有调整信号 固收定期报告 / 2026.03.04 孙彬彬 分析师 SAC 证书编号: S0160525020001 sunbh@ctsec.com 调整: 恒生科技指数、科创 50 指数; in ❖ 震荡:30年国债、3YAAA中短票; & 30 年国债原始信号 82.73%,MA5 为 44.57%,模型观点为【震荡】;信号 持续 [ 5 ] 个交易日 ...

Core Viewpoint - The report from China International Capital Corporation (CICC) indicates that while the micro-cap style has shown strong performance, its advantages may weaken over time, although there are still structural opportunities available [1] Policy Support - The China Securities Regulatory Commission (CSRC) released guidelines on May 16 to optimize the regulation of mergers and acquisitions, which encourages the integration of small and micro enterprises, providing additional funding sources and reducing liquidity pressure for micro-cap stocks [2] - The impact of the new restructuring guidelines on micro-cap stocks is expected to be marginally weaker compared to previous policies, but it still offers long-term support to the market [2] Market Environment - The current financial market in China is characterized by a relatively loose liquidity environment, supported by synchronized expansion in social financing and M2 growth, along with comprehensive reserve requirement ratio cuts by the central bank [2] - This loose liquidity environment provides systematic support for the performance of high-elasticity styles, including micro-cap stocks [2] Predictive Indicators - The report indicates that the current low concentration of institutional holdings and the lower popularity of large-cap styles are favorable for micro-cap styles [2] - The decreasing PB ratio of large-cap to small-cap stocks since the second half of 2024 suggests a gradual shift of funds towards small-cap styles, enhancing the funding support and popularity for micro-cap styles [2] Funding Types - As of May 27, 2025, among the 400 stocks in the Wind Micro-Cap Index, 72 stocks have a financing participation ratio of 3% or more, and 19 stocks have a financing participation ratio of 5% or more, indicating a high level of participation from high-risk preference funds [3] - Institutional investors have shown increased interest in micro-cap stocks, although they remain cautious in their investment strategies due to risk considerations [3] Calendar Effect - Historical data shows a higher probability of price increases for micro-cap stocks in May, with specific months exhibiting distinct calendar effects [3] - The performance of micro-cap stocks is significantly influenced by the timing of earnings announcements due to their smaller size and initial growth stage [3] Crowding Risk - Currently, the micro-cap style has not triggered any crowding signals, indicating a lower risk of short-term pullbacks due to excessive crowding [3]