量化大势研判202602：市场△gf继续保持扩张

• The report introduces a quantitative model framework for market trend analysis, focusing on five asset style stages: external growth, quality growth, quality dividend, value dividend, and bankruptcy value. The model evaluates assets based on their intrinsic attributes and prioritizes them using the sequence of g > ROE > D, analyzing whether there are "good assets" and whether they are "expensive" [5][8][9] - The model incorporates key factors such as expected growth (gf), actual growth (g), profitability (ROE), high dividend (D), and bankruptcy value (B/P). Each factor is associated with specific market phases, e.g., expected growth is relevant across all phases, while profitability is emphasized during maturity phases [9][12] - The quantitative model has demonstrated strong historical performance, achieving an annualized return of 27.67% since 2009. It has shown consistent excess returns in most years, particularly post-2017, with limited effectiveness in years like 2011, 2012, and 2016 [19][22] - The model's backtesting results for specific years include notable excess returns, such as 51% in 2009, 36% in 2013, and 62% in 2022. However, it also recorded underperformance in years like 2011 (-11%) and 2014 (-4%) [22] - The report details six specific strategies derived from the model, each focusing on different factors: - Expected Growth Strategy: Selects industries with the highest analyst-forecasted growth rates. Recent recommendations include sectors like automotive sales, lithium equipment, and tungsten [38][39] - Actual Growth Strategy: Focuses on industries with the highest unexpected growth (△g). Current recommendations include photovoltaic equipment, insurance, and coal chemical sectors [40][41] - Profitability Strategy: Targets high-ROE industries with low valuations under the PB-ROE framework. Recommended sectors include copper, liquor, and non-dairy beverages [43][44] - Quality Dividend Strategy: Utilizes a DP+ROE scoring system to identify industries. Current recommendations include forestry, lithium equipment, and fiberglass [46][47] - Value Dividend Strategy: Employs a DP+BP scoring system. Recommended sectors include security, daily chemicals, and buses [49][50] - Bankruptcy Value Strategy: Focuses on industries with the lowest PB+SIZE scores. Current recommendations include automotive sales, ceramics, and cotton textiles [53][54]