风格择时系列专题报告（一）：利率周期、期限利差周期和信用利差周期风格轮动择时策略

Market Style Definition - Growth style is associated with high-growth potential sectors like pharmaceuticals and technology, while value style is linked to more defensive sectors like finance[7]. - The CSI 300 Index leans towards value style with nearly one-third market capitalization in finance, whereas the CSI 1000 Index shows a diverse sector distribution with 27% in information technology, indicating a stronger growth style[8]. Style Rotation Framework - In the interest rate cycle, holding growth stocks is favorable during declining rates, while value stocks are better during rising rates due to their defensive characteristics[16]. - The term spread cycle indicates that when economic changes are more pronounced than liquidity changes, small-cap growth stocks perform better; conversely, large-cap growth stocks excel when liquidity changes dominate[18]. - In the credit spread cycle, rising credit spreads favor large-cap value stocks due to their stronger financial stability, while falling spreads benefit small-cap growth stocks by easing their financing conditions[19]. Factor Timing Backtesting - Backtesting results show that the dual interest rate strategy effectively timed the market during years when value and growth styles outperformed, particularly in 2017 and 2020 for value, and 2019 and 2021 for growth[24]. - The backtesting from December 31, 2015, to January 17, 2025, indicates that the term spread factor has a notable ability to time styles effectively[28]. Summary of Findings - The report establishes a clear distinction between the CSI 300 Index (value style) and the CSI 1000 Index (growth style) based on industry composition and growth/value factors[30]. - The constructed style rotation models based on interest rates, term spreads, and credit spreads provide insights into market behavior and investment strategies[30].