量化大势研判：质量类资产盈利触底回升

Quantitative Models and Construction Quantitative Model Framework: Asset Style Rotation - Model Name: Asset Style Rotation Framework - Model Construction Idea: The model identifies asset styles based on intrinsic attributes tied to industry lifecycle changes, categorizing assets into five style stages: external growth, quality growth, quality dividend, value dividend, and bankruptcy value. It aims to determine the dominant market style by comparing asset advantages using a priority sequence of g > ROE > D[5][6][9] - Model Construction Process: - Step 1: Define five asset style stages based on industry lifecycle changes - Step 2: Compare asset advantages using the sequence g > ROE > D, where: - g represents growth rate - ROE represents return on equity - D represents dividend yield - Step 3: Evaluate whether assets are "good" and whether they are "expensive" to identify advantageous assets - Step 4: Focus on the most advantageous sectors based on the current market environment[5][6][9] - Model Evaluation: The framework has demonstrated strong explanatory power for A-share style rotation since 2009, achieving an annualized return of 27.35%[16] - Model Testing Results: - Annualized return since 2009: 27.35% - Historical excess returns in specific years (e.g., 2017: 27%, 2020: 44%, 2024: 52%)[16][19] --- Quantitative Factors and Construction Factor: Pre-Expected Growth (gf) - Factor Name: Pre-Expected Growth (gf) - Factor Construction Idea: Focuses on analyst expectations for high growth sectors, regardless of lifecycle stage[6] - Factor Construction Process: - Step 1: Use analyst forecasts to identify sectors with high expected growth - Step 2: Calculate the spread (Δgf) between top-performing and bottom-performing groups to measure growth advantage[21] - Factor Evaluation: Δgf continues to expand, indicating strong analyst optimism for high-growth sectors[21][31] - Factor Testing Results: Δgf expansion observed, with top-performing sectors showing significant upward adjustments[21][31] Factor: Actual Growth (g) - Factor Name: Actual Growth (g) - Factor Construction Idea: Measures performance momentum during transition and growth stages[6] - Factor Construction Process: - Step 1: Calculate the spread (Δg) between top-performing and bottom-performing groups based on actual growth rates - Step 2: Evaluate industry momentum and growth differentiation[25] - Factor Evaluation: Δg continues to contract, suggesting reduced differentiation in growth performance across sectors[25] - Factor Testing Results: Δg contraction observed, with top-performing groups declining and bottom-performing groups improving[25] Factor: ROE (Return on Equity) - Factor Name: ROE (Return on Equity) - Factor Construction Idea: Focuses on valuation levels under the PB-ROE framework during mature stages[6] - Factor Construction Process: - Step 1: Identify high ROE sectors - Step 2: Evaluate valuation levels using PB-ROE residuals - Step 3: Measure asset advantage differences using ROE spread[27] - Factor Evaluation: ROE advantage has bottomed out and started to recover, indicating potential fundamental improvement[27][31] - Factor Testing Results: ROE spread shows recovery, with low beta exposure and reduced crowding in top-performing groups[27][30] Factor: Dividend Yield (D) - Factor Name: Dividend Yield (D) - Factor Construction Idea: Focuses on dividend yield and additional characteristics during mature stages[6] - Factor Construction Process: - Step 1: Identify high dividend yield sectors - Step 2: Measure crowding levels and evaluate attractiveness based on yield spreads[31] - Factor Evaluation: High dividend yield assets remain crowded, and further overweighting is not recommended[31] - Factor Testing Results: Elevated crowding levels observed since mid-2024, with limited attractiveness under current market conditions[31][33] Factor: Bankruptcy Value (PB+SIZE) - Factor Name: Bankruptcy Value (PB+SIZE) - Factor Construction Idea: Focuses on valuation and restructuring expectations during stagnation and recession stages[6] - Factor Construction Process: - Step 1: Identify sectors with low PB and small market capitalization - Step 2: Evaluate attractiveness based on PB+SIZE scores[49] - Factor Evaluation: Demonstrated significant excess returns during specific periods (e.g., 2015-2016, 2021-2023)[49] - Factor Testing Results: Recent recommendations include sectors such as animal vaccines, fuel gas, and textile products, with positive performance over the past three months[49] --- Backtesting Results for Strategies Pre-Expected Growth Strategy - Recommended Sectors: Culture and entertainment, lithium batteries, PCB, shipbuilding, tungsten[35] - Performance Metrics: - Culture and entertainment: +12.80% - Lithium batteries: +49.71% - PCB: +37.74% - Shipbuilding: +7.21% - Tungsten: +52.27%[35] Actual Growth Strategy - Recommended Sectors: Coal chemical, battery services, lithium chemical products, rare earth and magnetic materials, other home appliances[38] - Performance Metrics: - Coal chemical: +13.04% - Battery services: +28.25% - Lithium chemical products: +62.42% - Rare earth and magnetic materials: +26.15% - Other home appliances: +53.68%[38] ROE Strategy - Recommended Sectors: Agriculture, liquor, power distribution equipment, non-dairy beverages, network connection and tower setup[40] - Performance Metrics: - Agriculture: +4.31% - Liquor: +2.35% - Power distribution equipment: +13.72% - Non-dairy beverages: +4.82% - Network connection and tower setup: +80.30%[40] Quality Dividend Strategy - Recommended Sectors: Glass fiber, boiler equipment, automotive motors and controls, lithium battery equipment, network connection and tower setup[43] - Performance Metrics: - Glass fiber: +28.94% - Boiler equipment: +28.42% - Automotive motors and controls: +59.57% - Lithium battery equipment: +68.04% - Network connection and tower setup: +80.30%[43] Value Dividend Strategy - Recommended Sectors: Security, daily chemicals, pet food, service robots, network connection and tower setup[46] - Performance Metrics: - Security: +16.06% - Daily chemicals: -0.98% - Pet food: -5.82% - Service robots: +0.01% - Network connection and tower setup: +80.30%[46] Bankruptcy Value Strategy - Recommended Sectors: Animal vaccines, fuel gas, textile products, dyeing, building decoration[49] - Performance Metrics: - Animal vaccines: +8.59% - Fuel gas: +15.29% - Textile products: +10.19% - Dyeing: +9.37% - Building decoration: +11.57%[49]