国泰海通 · 深度｜金工：解码企业生命周期：股票投资的新范式探索

Core Viewpoint - The article systematically categorizes A-share listed companies into four lifecycle stages: startup, growth, maturity, and consolidation, based on cash flow, and constructs optimal investment portfolios for each stage, achieving significant excess returns compared to benchmark indices since 2016 [1][3][61]. Lifecycle Stage Characteristics - Startup companies typically have small market capitalizations, unstable profitability, low dividend yields, and high R&D investments [2][18]. - Growth companies show improving profitability with evenly exposed factors [2][18]. - Mature companies are characterized by large market capitalizations, stable profitability, high dividend payout ratios, and healthier capital structures with lower debt ratios [2][18]. - Consolidation companies experience reduced scale, lower profitability, low dividend yields, and higher leverage, leading to greater debt repayment pressures [2][18]. Performance Characteristics of Investment Portfolios - The maturity portfolio exhibits the highest stability, with an annualized return of 16.9% since 2016, and positive excess returns relative to common indices in most years [3][51]. - The growth portfolio's performance is closely aligned with market indices, while startup and consolidation portfolios show higher volatility and lower returns [19][24]. - The performance of different lifecycle stage portfolios varies, with the mature portfolio providing the best defensive characteristics and cumulative returns over time [19][24]. Factor Performance Across Lifecycle Stages - Different lifecycle stages exhibit distinct factor characteristics, with low volatility and low turnover anomalies performing best in the riskier startup and consolidation stages [22][24]. - Fundamental factors vary by stage: startups focus on profitability improvement and net profit growth, growth stocks emphasize analyst profit forecast adjustments, and mature stocks prioritize growth acceleration factors [22][24][58]. Optimal Investment Combinations - The article constructs optimal investment combinations for each lifecycle stage, considering investment logic and factor effectiveness [25][51]. - The startup portfolio aims to select companies with improving profitability and net profit growth, achieving an annualized excess return of 13.4% compared to the basic pool [26][30]. - The growth portfolio focuses on high-growth companies with improved profitability, yielding an annualized excess return of 13.5% [33][39]. - The mature portfolio emphasizes companies with stable profitability and growth potential, achieving an annualized excess return of 11.2% [42][43]. - The consolidation portfolio, despite its inherent risks, utilizes multi-factor strategies to enhance returns, achieving an annualized excess return of 15.0% [46][49]. Comparative Analysis of Lifecycle Stages - The article highlights the increasing number of mature companies in the A-share market, which has grown 2.6 times over the past decade, reflecting a shift in the maturity of companies [8]. - The distribution of lifecycle stages varies significantly across different boards, with the main board having a balanced mix of growth and mature companies, while the ChiNext board is predominantly growth-oriented [12][57].