中银量化2024年中期策略与定量展望：耕耘于心，静待花开

Valuation Insights - Current A-shares are undervalued, with the Shanghai Composite Index's PE_TTM at approximately 40% and the ChiNext Index at a historical low of around 5%[3] - Both indices' valuations are below the 50th percentile historically, indicating a favorable entry point for investors[3] Market Trends - The expected return premium (ERP) for both indices is at historical highs, suggesting a potential decline in the medium to long term[5] - The current market liquidity is at historical lows, which may persist, impacting trading volumes negatively[6] Fund Flows - Public equity fund issuance is at historical lows, with recent issuance levels at the 10%-15% percentile since 2018, indicating significant pressure on fundraising[9] - Northbound capital has become a dominant force in the A-share market, with foreign investments outperforming the Shanghai Composite Index since their entry in 2016[10] Strategy Recommendations - A balanced allocation strategy between growth and dividend stocks is recommended, considering the current market conditions and the high cost-effectiveness of large-cap stocks[32] - The report suggests a focus on large-cap stocks over small and micro-cap stocks due to regulatory impacts and risk considerations[32] Performance Metrics - The multi-strategy industry rotation system has achieved a cumulative return of -2.04% since the beginning of 2024, outperforming the benchmark by 6.94%[21] - The high-growth industry rotation strategy has exceeded the industry equal-weight benchmark by 15.43% year-to-date[22]