Group 1 - The report from CICC highlights the existence of calendar effects in the market, influenced by the rhythm of earnings disclosures, dividend events, and seasonal changes in institutional investors' risk preferences [1][3] - Small-cap style shows significant volatility in the first half of the year, with overall improvement in the second half; the small-cap style underperformed in April, with the CSI 2000 index excess returns of -2.3% and -2.2% [1][2] - Growth style exhibits a "high first, low last" characteristic, with significant excess returns in January and June-July, achieving a win rate of 90.9% [1][2] Group 2 - Quality style demonstrates a "strong at both ends" pattern, with January (excess return of 1.4%, win rate of 81.8%) and December (excess return of 0.5%, win rate of 80%) being the strongest months for quality style [2] - Dividend style performs well in April and August, with win rates of 83.3%, while June and October show significantly lower excess win rates [2][3] - The internal mechanisms of calendar effects are linked to the timing of earnings disclosures and dividend announcements, which influence investor focus and fund flows towards stocks with better fundamentals [3]
中金：日历效应视角下 年末或可关注质量风格的配置机会
智通财经网·2025-11-19 00:23