风格和行业因子跟踪报告：流动性回升季报披露临近结束，左侧关注主力资金因子

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]