量化点评报告：一月配置建议：A股具备相对优势

• The report introduces the "Odds + Win Rate Strategy," which combines risk budget models for odds and win rates to construct a comprehensive strategy. The strategy has achieved an annualized return of 6.7% since 2011, with a maximum drawdown of 2.9%. Since 2014, the annualized return increased to 7.3%, with a maximum drawdown of 2.3%. From 2019 onwards, the annualized return is 6.3%, with a maximum drawdown of 2.3%[3][48][50] - The "Odds Enhanced Strategy" focuses on overweighting high-odds assets and underweighting low-odds assets under a target volatility constraint. This strategy has achieved an annualized return of 6.7% since 2011, with a maximum drawdown of 3.1%. Since 2014, the annualized return increased to 7.4%, with a maximum drawdown of 2.8%. From 2019 onwards, the annualized return is 6.8%, with a maximum drawdown of 2.8%[42][43][45] - The "Win Rate Enhanced Strategy" derives macro win rate scores from five factors: currency, credit, growth, inflation, and overseas. This strategy has achieved an annualized return of 7.1% since 2011, with a maximum drawdown of 3.4%. Since 2014, the annualized return increased to 8.0%, with a maximum drawdown of 2.2%. From 2019 onwards, the annualized return is 6.8%, with a maximum drawdown of 1.5%[44][46][47] - The report evaluates the "Small Cap Factor," which currently exhibits medium odds (0.3 standard deviations), medium-high trend (0.9 standard deviations), and low crowding (-1.5 standard deviations). The comprehensive score for this factor is 3.6, indicating improved allocation value[20][22][35] - The "Value Factor" is characterized by high odds (1.0 standard deviations), medium trend (0.3 standard deviations), and low crowding (-1.3 standard deviations). Its comprehensive score is 3, making it relatively attractive compared to other factors[22][23][35] - The "Quality Factor" shows high odds (1.3 standard deviations), medium trend (-0.2 standard deviations), and medium crowding (near 0 standard deviations). Its comprehensive score is 0.8, suggesting lower allocation value and the need to wait for trend confirmation[25][26][35] - The "Growth Factor" is currently in a high crowding state (1.0 standard deviations), with medium-high trend (0.7 standard deviations) and low odds (-0.6 standard deviations). Its comprehensive score is -1.5, indicating higher trading risks[28][30][35]