20231007-国联证券-A股9月第4周因子周报_市场震荡未止_波动率风格主导_11页_1mb

报告摘要

A and H share markets experienced significant volatility, with A-share broad indexes showing mixed performance. The CSI Full Index declined by 0.40%, while the Hang Seng Index dropped 1.77%. Small-cap indices like CSI 50 rose 0.56%, while large-cap indices saw heavier losses.
Market style was primarily driven by volatility factors, which gained 165%, overshadowing other factors. Growth, small-size, and profitability factors also performed moderately, while reverse and liquidity factors underperformed with negative returns.

Pharmaceuticals rebounded strongly with a 26.3% gain, joining machinery and electric vehicle sectors in leading the market. TMT industries were relatively resilient, with minimal losses.
Underperforming sectors included metals, food and beverage, and financials/realestate, with declines exceeding 2% in some cases. The top-performing industries exhibited strong volatility styles, with factors like volatility and momentum dominating.

Average excess returns were positive for all major public fund index enhancement products: CSI 300 products averaged +0.21%, CSI 500 products +0.17%, and CSI 1000 products +0.11%. These gains highlight diversified performance across different index categories.

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