量化点评报告：六月配置建议：超配A股价值风格

Quantitative Models and Construction 1. Model Name: AIAE Indicator for A-shares - Model Construction Idea: The AIAE indicator is used to measure the relative valuation of A-shares by comparing the total market capitalization of the CSI All Share Index with the sum of the total market capitalization and total entity debt[10] - Model Construction Process: The formula for the AIAE indicator is: $ AIAE = \frac{\text{CSI All Share Total Market Cap}}{\text{CSI All Share Total Market Cap} + \text{Total Entity Debt}} $ As of the end of May, the AIAE indicator for A-shares was 16%, which is at the 35th percentile since 2010, indicating relatively high valuation attractiveness[10] - Model Evaluation: The indicator suggests that A-shares still have high payoff potential, though the win rate remains moderate due to macroeconomic uncertainties[10] 2. Model Name: Bond Payoff Indicator - Model Construction Idea: This indicator is derived from the expected return spread between long-term and short-term bonds to assess the valuation risk of bonds[11] - Model Construction Process: The bond payoff indicator is calculated based on the expected return difference between long-term and short-term bonds. Currently, the indicator is at -2.1 standard deviations, indicating extremely low valuation levels and potential risks in long-term bonds[11] - Model Evaluation: The indicator highlights valuation risks in long-term bonds, though the win rate has improved due to monetary easing and weak credit conditions[11] 3. Model Name: Federal Reserve Liquidity Index - Model Construction Idea: This index combines quantity and price dimensions to measure the liquidity provided by the Federal Reserve[18] - Model Construction Process: The Federal Reserve Liquidity Index is constructed by integrating multiple factors, including net liquidity, credit support, market expectations, and announcement surprises. Currently, the index is at the 20th percentile, indicating relatively loose liquidity conditions[18] - Model Evaluation: The index suggests that liquidity conditions are supportive, but potential shifts in Federal Reserve policy could alter the outlook[18] --- Quantitative Factors and Construction 1. Factor Name: Quality Factor - Factor Construction Idea: The quality factor is evaluated based on its payoff, trend, and crowding levels, with a focus on long-term stability[19] - Factor Construction Process: - Payoff: Currently at 1.3 standard deviations, indicating attractive valuation - Trend: At -0.3 standard deviations, suggesting moderate momentum - Crowding: At -0.8 standard deviations, reflecting low crowding levels The comprehensive score for the quality factor is 2.4, making it a high-priority allocation[19] - Factor Evaluation: The factor is attractive for long-term investment due to its favorable valuation and low crowding[19] 2. Factor Name: Growth Factor - Factor Construction Idea: The growth factor is assessed based on its valuation, trend, and crowding, with a focus on growth potential[21] - Factor Construction Process: - Payoff: At -1.9 standard deviations, indicating low valuation attractiveness - Trend: At 0.4 standard deviations, suggesting moderate momentum - Crowding: At 0.3 standard deviations, reflecting moderate crowding The comprehensive score for the growth factor is -1.6, indicating low allocation value[21] - Factor Evaluation: The factor is less attractive due to its low valuation and moderate crowding[21] 3. Factor Name: Dividend Factor - Factor Construction Idea: The dividend factor is evaluated for its income-generating potential and stability[24] - Factor Construction Process: - Payoff: At 0.02 standard deviations, indicating neutral valuation - Trend: At -1.8 standard deviations, suggesting weak momentum - Crowding: At -1.2 standard deviations, reflecting low crowding The comprehensive score for the dividend factor is 0, indicating no significant allocation value[24] - Factor Evaluation: The factor lacks strong investment appeal due to weak momentum and neutral valuation[24] 4. Factor Name: Small-cap Factor - Factor Construction Idea: The small-cap factor is assessed for its potential to outperform based on size and market dynamics[26] - Factor Construction Process: - Payoff: At -0.3 standard deviations, indicating neutral valuation - Trend: At 0.4 standard deviations, suggesting moderate momentum - Crowding: At 0.5 standard deviations, reflecting moderate crowding The comprehensive score for the small-cap factor is 0, indicating high uncertainty[26] - Factor Evaluation: The factor is not recommended due to its high uncertainty and moderate crowding[26] --- Backtesting Results for Models 1. AIAE Indicator for A-shares - Current value: 16% - Percentile since 2010: 35%[10] 2. Bond Payoff Indicator - Current value: -2.1 standard deviations[11] 3. Federal Reserve Liquidity Index - Current value: 20th percentile[18] --- Backtesting Results for Factors 1. Quality Factor - Payoff: 1.3 standard deviations - Trend: -0.3 standard deviations - Crowding: -0.8 standard deviations - Comprehensive Score: 2.4[19] 2. Growth Factor - Payoff: -1.9 standard deviations - Trend: 0.4 standard deviations - Crowding: 0.3 standard deviations - Comprehensive Score: -1.6[21] 3. Dividend Factor - Payoff: 0.02 standard deviations - Trend: -1.8 standard deviations - Crowding: -1.2 standard deviations - Comprehensive Score: 0[24] 4. Small-cap Factor - Payoff: -0.3 standard deviations - Trend: 0.4 standard deviations - Crowding: 0.5 standard deviations - Comprehensive Score: 0[26]