量化大势研判：预期成长优势差继续扩大

Quantitative Models and Construction Methods 1. Model Name: Quantitative Market Trend Judgment Framework - Model Construction Idea: The framework identifies the dominant market style by comparing the intrinsic attributes of assets, which are tied to their industry lifecycle stages. It prioritizes assets based on the sequence of growth rate (g) > return on equity (ROE) > dividend yield (D) to determine the most advantageous assets and focuses on the most promising sectors[5][6][9] - Model Construction Process: 1. Define five style stages for equity assets: external growth, quality growth, quality dividend, value dividend, and distressed value[5] 2. Compare assets globally to identify advantageous ones based on their intrinsic characteristics[5] 3. Use the priority sequence g > ROE > D to evaluate whether good assets exist and whether they are overvalued[5][6] 4. Focus on sectors with the most advantageous characteristics in the current market[5][6] - Model Evaluation: The framework has demonstrated strong explanatory power for A-share market style rotations since 2009, achieving an annualized return of 26.70%[16] 2. Model Name: Asset Comparison Strategy - Model Construction Idea: This model categorizes assets into primary and secondary groups. Primary assets include actual growth, expected growth, and profitability assets. Secondary assets are prioritized based on crowding levels and fundamental factors[9] - Model Construction Process: 1. Classify assets into primary (expected growth, actual growth, profitability) and secondary (quality dividend, value dividend, distressed value) categories[9] 2. Allocate market funds to primary assets when any of them show an advantage; otherwise, shift to secondary assets[9] 3. Rank secondary assets by crowding levels and fundamental factors, with the order: quality dividend > value dividend > distressed value[9] --- Model Backtesting Results 1. Quantitative Market Trend Judgment Framework - Annualized return: 26.70% since 2009[16] - Historical performance: Positive excess returns in most years, with limited effectiveness in 2011, 2012, 2014, and 2016[16][19] - Excess returns by year: - 2009: 51% - 2010: 14% - 2013: 36% - 2017: 27% - 2020: 44% - 2022: 62%[19] --- Quantitative Factors and Construction Methods 1. Factor Name: Expected Growth (gf) - Factor Construction Idea: Measures the expected growth rate based on analysts' forecasts, regardless of the industry lifecycle stage[6] - Factor Construction Process: 1. Use analysts' forecasted growth rates as the primary input[6] 2. Calculate the spread (Δgf) between top and bottom groups to assess the trend of expected growth[21] - Factor Evaluation: The factor has shown consistent expansion, with top groups driving the increase, indicating analysts' optimism about high-growth sectors[21] 2. Factor Name: Actual Growth (g) - Factor Construction Idea: Focuses on performance momentum (Δg) during transition and growth phases[6] - Factor Construction Process: 1. Calculate the spread (Δg) between top and bottom groups based on actual growth rates[25] 2. Monitor the trend of Δg to identify growth opportunities in the market[25] - Factor Evaluation: The factor has shown gradual expansion, with opportunities in sectors maintaining strong momentum despite a slowdown in top-tier growth[25] 3. Factor Name: Profitability (ROE) - Factor Construction Idea: Evaluates valuation levels using the PB-ROE framework, focusing on mature industries[6] - Factor Construction Process: 1. Calculate the PB-ROE residuals for each industry[40] 2. Rank industries based on residuals to identify undervalued high-ROE sectors[40] - Factor Evaluation: The factor's advantage has declined, and its crowding level remains low, suggesting limited opportunities in the current market[28] 4. Factor Name: Quality Dividend (DP+ROE) - Factor Construction Idea: Combines dividend yield (DP) and ROE to identify high-quality dividend-paying industries[6] - Factor Construction Process: 1. Calculate DP and ROE scores for each industry[43] 2. Combine the scores to rank industries and select the top-performing ones[43] - Factor Evaluation: The factor has shown significant excess returns in specific years, such as 2016, 2017, and 2023[43] 5. Factor Name: Value Dividend (DP+BP) - Factor Construction Idea: Combines dividend yield (DP) and book-to-price ratio (BP) to identify undervalued dividend-paying industries[6] - Factor Construction Process: 1. Calculate DP and BP scores for each industry[47] 2. Combine the scores to rank industries and select the top-performing ones[47] - Factor Evaluation: The factor has demonstrated strong excess returns in years like 2009, 2017, and 2021-2023[47] 6. Factor Name: Distressed Value (PB+SIZE) - Factor Construction Idea: Identifies industries with low price-to-book ratios (PB) and small market capitalization (SIZE), focusing on stagnation and recession phases[6] - Factor Construction Process: 1. Calculate PB and SIZE scores for each industry[51] 2. Combine the scores to rank industries and select the lowest-scoring ones[51] - Factor Evaluation: The factor has shown significant excess returns during periods like 2015-2016 and 2021-2023[51] --- Factor Backtesting Results 1. Expected Growth (gf) - Δgf continues to expand, driven by top-tier groups, indicating analysts' optimism about high-growth sectors[21] 2. Actual Growth (g) - Δg shows gradual expansion, with opportunities in sectors maintaining strong momentum despite a slowdown in top-tier growth[25] 3. Profitability (ROE) - ROE advantage continues to decline, with low crowding levels and limited opportunities in the current market[28] 4. Quality Dividend (DP+ROE) - Significant excess returns in 2016, 2017, and 2023[43] 5. Value Dividend (DP+BP) - Strong excess returns in 2009, 2017, and 2021-2023[47] 6. Distressed Value (PB+SIZE) - Significant excess returns during 2015-2016 and 2021-2023[51]