【长江研究·早间播报】宏观/金工/建筑/传媒(20241219)

• The report introduces a style rotation strategy based on the strength cycle of large-cap and small-cap stocks, dividing the cycle into seven states: early small-cap, mid-small-cap, overheated small-cap, early large-cap, mid-large-cap, overheated large-cap, and oscillation period. The strategy dynamically adjusts the allocation between large-cap and small-cap stocks based on the cycle signal. For example, when the signal is "neutral," a 70/30 allocation between large-cap and small-cap is maintained; when the signal is "small," the small-cap proportion is increased to 50%; and when the signal is "large," the small-cap proportion is reduced to 0% with full allocation to large-cap stocks[4][5] - The dynamic allocation strategy achieved a return of approximately 47% in 2024 (up to December 13), compared to a 70/30 static allocation return of about 25% and a standalone large-cap return of approximately 22%[4][5]