风格轮动策略月报第10期：2月建议超配小盘风格，中长期继续看好小盘、成长风格-20260204

Group 1: Small Cap and Growth Style Rotation - The report suggests an overweight allocation to small-cap style for February, with a balanced allocation to value and growth styles. The long-term view remains positive on small-cap and growth styles for the next year [1][2][9] - As of the end of January, the quantitative model signal was 0.5, indicating a preference for small-cap stocks. Historical data shows that small-cap stocks tend to outperform in February [9][10] - The current valuation spread for the market capitalization factor is 0.88, which is below historical peaks of 1.7 to 2.6, suggesting that small-cap stocks still have significant upside potential [19][23] Group 2: Value and Growth Style Rotation - The latest quantitative model signal for January indicates a neutral stance (0) for value and growth styles, recommending an equal-weight allocation for February. The long-term outlook favors growth style for the upcoming year [26][29] - As of the end of January, the model's return for the value and growth strategy was 4.01%, with no excess return compared to the equal-weight benchmark [26][29] Group 3: Factor Performance Tracking - In January, the value, volatility, and growth factors showed positive returns of 1.37%, 1.17%, and 0.69% respectively, while large-cap, quality, and momentum factors experienced negative returns [34][35] - The report highlights that the performance of the eight major factors indicates a trend where value and volatility factors are currently favored, while large-cap and quality factors are underperforming [34][35]