量化风格轮动模型介绍

Group 1: Size Rotation Model Insights - The A-share market exhibits a size rotation effect, with small-cap stocks outperforming large-cap stocks in February, March, May, and August, while large-cap stocks dominate in January, April, and December[2] - The annualized excess return of the size rotation model during the backtest period (2013/12-2024/09) is 17.45% relative to benchmarks like CSI 300 and CSI 2000 Equal Weight[2] - The latest quantitative model signal as of the end of July is 0.5, indicating a continued preference for small-cap stocks in August[2] Group 2: Value vs. Growth Rotation Insights - The A-share market shows frequent value-growth rotation with a monthly effect, achieving an annualized excess return of 8.8% against benchmarks like the National Value and Growth Equal Weight indices[3] - The latest monthly quantitative model signal is -0.33, suggesting a shift towards value stocks for August, as historically, value stocks outperform in this month[3] - The annualized excess return of the weekly model, based on price-volume perspectives, is 7.19%[3] Group 3: Risk Considerations - The quantitative models are based on historical data, which may not always hold true, posing a risk of historical patterns failing to predict future performance[5]