“固收+”策略系列：如何挖掘低回撤标的

Group 1 - The report focuses on constructing a valuation scoring model to identify low drawdown and high payoff stocks from an "anti-drawdown" perspective [2][4][8] - The valuation scoring model consists of a two-level indicator system, with primary indicators being common relative valuation metrics (PS, PE, PB) and secondary indicators including ROE and gross margin [2][4][8] - Historical backtesting shows that stocks with better valuation scores (lower valuations) exhibit significantly lower average drawdowns in the following quarter compared to those with poorer scores [2][4][8] Group 2 - The report analyzes the applicability of different valuation indicators across various industries, highlighting that PE (3-year non-negative average) and PB are the most widely applicable indicators [19][29][30] - Industries such as manufacturing and technology show strong applicability for both PE (3-year non-negative average) and PB, while cyclical sectors often rely on PB due to significant profit volatility [30][33][34] - Consumer sectors demonstrate high profitability stability, allowing for a broader range of applicable indicators, although individual differences within sub-industries can lead to varied indicator effectiveness [33][34][58] Group 3 - The report identifies that certain industries are not suitable for specific valuation methods based on three dimensions: insufficient effective data points, lack of cross-period stability, and excessive individual stock valuation dispersion [20][21][26] - For example, the real estate sector is deemed unsuitable for PS valuation due to excessive valuation dispersion, while the metals sector is not suitable for PE due to insufficient effective data points [26][30][39] - The report provides a comprehensive summary of applicable valuation indicators for various industries, indicating that PB is suitable across all 29 sectors except for two [29][39][40] Group 4 - The secondary indicators used to adjust core valuation metrics are derived from empirical analysis, with significant factors identified for different industries [43][52][58] - For instance, in the transportation sector, gross margin and debt-to-asset ratio are highlighted as effective secondary indicators for PS valuation [52][58] - The report emphasizes the importance of using historical data to refine the valuation approach, ensuring that the selected indicators align with industry characteristics and market conditions [43][44][58]