风格轮动策略（四）：成长、价值轮动的基本面信号

Group 1 - The report attempts to integrate subjective judgment and quantitative analysis to construct a style rotation framework, primarily based on five dimensions to build a core style rotation model, which will eventually be applied to actual investable portfolios [3][8] - The fundamental perspective of growth and value style rotation strategy has shown long-term excess returns compared to its balanced allocation benchmark, although the performance of the strategy is limited due to varying transmission paths and delays of different fundamental indicators under different contexts [3][10] Group 2 - The report reviews the construction of style indices and the style rotation framework, continuing to explore the growth and value style rotation from a fundamental perspective [8][17] - Common fundamental indicators are primarily micro data, but the report adopts a different perspective by observing the overall situation of the equity market or specific styles, reflecting the specific conditions of certain groups [8][30] Group 3 - The analysis of fundamental factors is conducted from five angles: growth, profitability, financial health and solvency, operational efficiency, and valuation levels, with growth, profitability, and valuation signals being relatively stable and accurate [9][31] - The overall turnover rate of the growth and value style rotation strategy is low, generally favoring long-term holdings of growth or value stocks, with an average monthly win rate of approximately 60.91% and an average annualized return of about 15.26% from January 1, 2005, to April 29, 2025 [10][31] Group 4 - The growth style index and value style index are constructed based on similar logic, with the main difference being the sorting of constituent stocks using growth and value factors respectively [18][21] - The report outlines the style rotation framework, which is expected to be based on five major dimensions to construct the core style rotation model, focusing on the fundamental dimension of growth and value style rotation [27][30] Group 5 - The report categorizes fundamental indicators into two main types: market overall indicators and style difference indicators, further divided into growth indicators, profitability indicators, financial health and solvency indicators, operational efficiency indicators, and valuation indicators [30][31] - The financial health and solvency indicators focus on the reasonableness of capital structure and short-term liquidity, with asset-liability ratio and current ratio being particularly effective in the context of growth and value style rotation [57][65]