Quantitative Models and Construction Methods 1. Model Name: Quantitative Market Trend Judgment Framework - Model Construction Idea: The framework identifies the dominant market style by comparing asset characteristics based on their intrinsic attributes and industry life cycle stages. It evaluates assets using the priority sequence of growth (g) > return on equity (ROE) > dividend yield (D) to determine the most advantageous sectors[5][6][7] - Model Construction Process: - Classifies assets into five style stages: external growth, quality growth, quality dividend, value dividend, and distressed value[5] - Prioritizes mainstream assets (actual growth, expected growth, profitability) over secondary assets, with secondary asset priority determined by crowding levels[7] - Uses metrics such as Δg (actual growth momentum), Δgf (expected growth momentum), PB-ROE (valuation), and DP (dividend yield) to evaluate and rank assets[6][7] - Model Evaluation: The framework has demonstrated strong explanatory power for A-share market style rotations since 2009, achieving an annualized return of 26.85%[14] --- Quantitative Factors and Construction Methods 1. Factor Name: Actual Growth (g) - Factor Construction Idea: Measures the momentum of actual growth by evaluating the change in net profit growth rates (Δg)[18] - Factor Construction Process: - Calculates the spread between the top and bottom quintiles of industries based on net profit growth rates[18] - Δg > 0 indicates strengthening growth momentum, while Δg < 0 signals weakening momentum[18] 2. Factor Name: Expected Growth (gf) - Factor Construction Idea: Captures analysts' optimism by assessing changes in expected net profit growth rates (Δgf)[21] - Factor Construction Process: - Similar to Δg, calculates the spread between the top and bottom quintiles of industries based on expected net profit growth rates[21] - Δgf > 0 indicates increasing optimism, while Δgf < 0 suggests declining optimism[21] 3. Factor Name: Profitability (ROE) - Factor Construction Idea: Evaluates asset quality by combining ROE with valuation metrics (PB-ROE)[22] - Factor Construction Process: - Ranks industries based on ROE and PB-ROE residuals[30] - Identifies high ROE industries with low valuations for allocation[30] 4. Factor Name: Quality Dividend (DP+ROE) - Factor Construction Idea: Combines dividend yield (DP) and ROE to identify high-quality dividend-paying industries[33] - Factor Construction Process: - Scores industries based on DP and ROE, selecting the highest-scoring sectors for allocation[33] 5. Factor Name: Value Dividend (DP+BP) - Factor Construction Idea: Combines dividend yield (DP) and book-to-price ratio (BP) to identify undervalued dividend-paying industries[36] - Factor Construction Process: - Scores industries based on DP and BP, selecting the highest-scoring sectors for allocation[36] 6. Factor Name: Distressed Value (PB+SIZE) - Factor Construction Idea: Identifies distressed industries with low price-to-book ratios (PB) and small market capitalization (SIZE)[38] - Factor Construction Process: - Scores industries based on PB and SIZE, selecting the lowest-scoring sectors for allocation[38] --- Backtesting Results of Models and Factors 1. Quantitative Market Trend Judgment Framework - Annualized Return: 26.85% since 2009[14] - Excess Returns: Positive in most years, with notable outperformance in 2020 (44%), 2021 (38%), and 2022 (62%)[15] 2. Actual Growth Factor - Recent Performance: Δg turned negative, indicating weakening growth momentum and reduced opportunities for actual growth strategies[18] 3. Expected Growth Factor - Recent Performance: Δgf turned negative, signaling a halt in analysts' optimism and limited opportunities for expected growth strategies[21] 4. Profitability Factor - Recent Performance: ROE advantage continues to decline, but reduced crowding levels suggest potential opportunities in a weakening growth environment[22][24] 5. Quality Dividend Factor - Recent Performance: Outperformed in 2016, 2017, and 2023; recent recommendations include sectors like "Other Home Appliances" and "Service Robots"[33] 6. Value Dividend Factor - Recent Performance: Outperformed in 2009, 2017, and 2021-2023; recent recommendations include sectors like "Pet Food" and "Security"[36] 7. Distressed Value Factor - Recent Performance: Outperformed in 2015-2016 and 2021-2023; recent recommendations include sectors like "Other Electronic Components" and "Printing and Dyeing"[38]
量化大势研判202503:成长或将趋弱,切向质量红利
Minsheng Securities·2025-03-03 05:28