策略研究·专题报告：A股风格转换的历史复盘与回测分析

Group 1: Historical Review of Size Style Rotation - From 2008 to 2010, small-cap stocks outperformed due to significant economic stimulus policies and abundant liquidity, making them more sensitive to capital inflows [2][6][4] - Between 2011 and 2013, large-cap stocks gained favor as economic growth pressures increased, highlighting their defensive attributes [2][8] - The period from 2013 to 2015 saw a resurgence of small-cap stocks driven by the rise of new industries and an active M&A market [2][9] - From 2016 to 2021, large-cap stocks dominated as supply-side reforms improved profitability for leading companies, while M&A activity cooled [2][10][11] - In the 2021 to 2023 period, small-cap stocks regained strength due to changes in funding structures and the rise of new economic drivers [2][12] Group 2: Historical Review of Growth vs. Value Style Rotation - From January 2011 to December 2014, value stocks were favored as the economy shifted from stimulus-driven growth to self-sustained growth, with GDP growth declining [2][15][17] - In 2015, growth stocks outperformed due to the rise of new industries and a supportive liquidity environment, despite ongoing economic pressures [2][19][20] - The period from July 2016 to October 2018 saw a resurgence of value stocks as traditional industries gained strength amid tightening liquidity [2][21][22] - From November 2018 to July 2021, growth stocks thrived due to the recovery from the pandemic and the rise of new technologies [2][23][24] - The period from August 2021 to August 2024 is expected to favor value stocks due to tightening global liquidity and economic uncertainties [2][25][26] Group 3: Core Drivers of Style Rotation - The rotation between size styles is less correlated with traditional economic indicators but shows a connection to major economic cycles [2][27] - Liquidity plays a significant role, with small-cap stocks generally outperforming when excess liquidity is present [2][45] - The performance of growth versus value styles is influenced by the relative performance of their underlying earnings growth and return on equity [2][42]