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年度策略：2025年度金融工程策略展望
国盛证券·2024-12-18 12:38
  • The GK model predicts that large-cap broad-based indices have higher expected returns compared to small-cap indices, with the future one-year expected return for CSI 500 being -20.6% due to lower earnings growth and valuation space[25][26][30] - The "Quality > Growth > Value > Small-cap" style rotation strategy is recommended based on micro indicators like odds, trends, and crowding, as well as macroeconomic cycles, suggesting long-term overweight on quality stocks[27][31][35] - The four-quadrant style rotation strategy based on odds-trend-crowding scoring has achieved an annualized excess return of 10% since 2019, with a monthly win rate of 61%[39][40] - The industry inventory reversal model identifies industries with low inventory pressure and potential for restocking, achieving an annualized excess return of 16.5% and an IR of 1.76[93][95] - The industry trend model and industry ETF configuration model have shown strong performance, with the trend model achieving an annualized excess return of 16.3% and an IR of 1.74[86][94][96] - The multi-factor Alpha strategy includes momentum/reversal, liquidity, volatility, and price-volume correlation factors, with high-frequency factors like minute_turn_std and minute_volatility achieving IRs of 2.64 and 2.75 respectively[109][113][115] - The enhanced ETF redemption list-based strategy has delivered excess returns of 5.2% for CSI 300, 8.6% for CSI 500, and 1.9% for CSI 1000 this year[121][122][123] - The AI-driven index enhancement strategy for CSI 500 and CSI 1000 has achieved absolute returns of 14.9% and 16.1%, with excess returns of 7.1% and 11.0% respectively[128][129][130] - The small-cap value portfolio based on F-SCORE and financial improvement has achieved an annualized return of 30.9% since 2012, with an IR of 2.19 and excess return of 22.4%[131][132][133] - Convertible bond valuation recovery since October has shown superior risk-return characteristics, with the CCBA pricing deviation currently at -0.19%, indicating neutral valuation[139][143][148] - Convertible bond returns are decomposed into debt floor, delta, gamma, and valuation gains, with gamma contributing an average annual return of 2.8%[155][157][158]