风格轮动对于量化多头的影响大不大？如何衡量？

Core Viewpoint - Market style rotation is a typical characteristic of A-shares, where no single style can consistently outperform the market. This rotation significantly impacts quantitative long strategies, influencing their excess returns directly [2][3]. Group 1: Impact of Style Rotation - Style rotation serves as a double-edged sword for quantitative long strategies, affecting performance and sustainability. When market style aligns with historical preferences of quantitative models (e.g., small-cap style), strategies can capture significant stock selection alpha, leading to outstanding performance [3]. - In the first half of 2023 and the small-cap market in 2024, many quantitative products achieved considerable returns. However, when market styles reverse sharply (e.g., collective pullback of small-cap stocks in early 2024), quantitative strategies face significant challenges, often resulting in noticeable drawdowns [3]. - Quantitative models rely on historical data to identify patterns. If a particular style (like small-cap) remains dominant, models will increase exposure to that style. A sudden style reversal can lead to the short-term failure of factors based on historical data, causing stock selection alpha to vanish or even turn negative [3]. Group 2: Performance Disparity Among Strategies - Style rotation exacerbates performance disparities among different quantitative products. Funds focusing on different tracks (e.g., 300 index enhancement vs. 1000 index enhancement) or employing varying style constraints or risk control capabilities will exhibit significant performance differences during style shifts [3]. - The average excess return of over 200 quantitative long strategy products under billion-yuan private equity was approximately -1.69%, with only 22.67% showing positive excess returns, indicating a high exposure to small-cap and growth styles [7]. Group 3: Market Conditions and Future Outlook - The market exhibited significant style switching from August to September 2025, driven by macroeconomic changes, capital flows, and policy expectations. The relative performance of broad-based indices reflects the rotation between large-cap and small-cap styles [7]. - The small-cap factor's return volatility has increased, and the average excess drawdown during rapid style transitions typically ranges from 1-4%, with the potential for a higher average excess drawdown of 8-9% in February 2024. However, subsequent recovery trends are generally smooth [11].