风格轮动月报：6月看好小盘成长风格-20250604

• Model Name: Size Rotation Model; Construction Idea: The model aims to rotate between large-cap and small-cap stocks based on macroeconomic indicators, market conditions, and micro characteristics; Construction Process: The model uses HA large-cap and small-cap as proxy variables, and the excess return relative to the equal-weighted benchmark is calculated. The formula is: $ \text{Excess Return} = \text{Portfolio Return} - \text{Benchmark Return} $; Evaluation: The model effectively captures the rotation between large-cap and small-cap stocks, providing significant excess returns[3][12][18] - Model Name: Value-Growth Rotation Model; Construction Idea: The model rotates between value and growth stocks based on macroeconomic indicators, market conditions, and micro characteristics; Construction Process: The model uses HA value and growth as proxy variables, and the excess return relative to the equal-weighted benchmark is calculated. The formula is: $ \text{Excess Return} = \text{Portfolio Return} - \text{Benchmark Return} $; Evaluation: The model effectively captures the rotation between value and growth stocks, providing significant excess returns[15][23][26] Model Backtest Results - Size Rotation Model, Annualized Excess Return: 11.1%, IR: 1.40, Monthly Win Rate: 64.43%[18] - Value-Growth Rotation Model, Annualized Excess Return: 18.73%, IR: 2.02, Monthly Win Rate: 70.47%[23] Annual Performance of Size Rotation Model - 2013: Excess Return: 11.99%, IR: 2.3594, Monthly Win Rate: 66.67%[21] - 2014: Excess Return: 45.30%, IR: 6.7613, Monthly Win Rate: 75.00%[21] - 2015: Excess Return: 62.95%, IR: 4.6008, Monthly Win Rate: 91.67%[21] - 2016: Excess Return: 0.53%, IR: 0.0784, Monthly Win Rate: 58.33%[21] - 2017: Excess Return: 17.82%, IR: 2.8949, Monthly Win Rate: 83.33%[21] - 2018: Excess Return: 1.62%, IR: 0.2670, Monthly Win Rate: 41.67%[21] - 2019: Excess Return: 0.09%, IR: 0.0171, Monthly Win Rate: 58.33%[21] - 2020: Excess Return: 7.50%, IR: 1.2650, Monthly Win Rate: 58.33%[21] - 2021: Excess Return: 20.48%, IR: 2.5886, Monthly Win Rate: 75.00%[21] - 2022: Excess Return: 4.01%, IR: 0.5426, Monthly Win Rate: 50.00%[21] - 2023: Excess Return: 14.12%, IR: 2.9028, Monthly Win Rate: 83.33%[21] - 2024: Excess Return: -20.37%, IR: -1.5954, Monthly Win Rate: 33.33%[21] - 2025 (up to May 30): Excess Return: 5.62%, IR: 0.7109, Monthly Win Rate: 60.00%[21] Annual Performance of Value-Growth Rotation Model - 2013: Excess Return: 10.61%, IR: 1.1641, Monthly Win Rate: 58.33%[25] - 2014: Excess Return: 27.37%, IR: 3.2529, Monthly Win Rate: 66.67%[25] - 2015: Excess Return: 16.46%, IR: 1.2072, Monthly Win Rate: 66.67%[25] - 2016: Excess Return: 9.96%, IR: 1.2172, Monthly Win Rate: 83.33%[25] - 2017: Excess Return: 14.23%, IR: 2.1003, Monthly Win Rate: 66.67%[25] - 2018: Excess Return: 18.34%, IR: 2.5083, Monthly Win Rate: 91.67%[25] - 2019: Excess Return: 17.04%, IR: 2.8518, Monthly Win Rate: 75.00%[25] - 2020: Excess Return: 37.05%, IR: 3.9631, Monthly Win Rate: 66.67%[25] - 2021: Excess Return: 47.65%, IR: 3.9594, Monthly Win Rate: 83.33%[25] - 2022: Excess Return: 19.46%, IR: 1.6708, Monthly Win Rate: 83.33%[25] - 2023: Excess Return: 10.82%, IR: 1.7148, Monthly Win Rate: 66.67%[25] - 2024: Excess Return: 1.32%, IR: 0.1561, Monthly Win Rate: 41.67%[25] - 2025 (up to May 30): Excess Return: 1.27%, IR: 0.1259, Monthly Win Rate: 60.00%[25]