国泰海通｜金工：3月建议超配小盘和价值风格，中长期继续看好小盘、成长风格

Group 1: Core Views - The report suggests an overweight position in small-cap and value styles for March, based on quantitative model signals indicating a preference for small-cap stocks [1] - The long-term outlook remains positive for small-cap and growth styles over the next year [1] Group 2: Small-Cap Style Rotation Strategy - As of the end of February, the quantitative model signal was 0.83, favoring small-cap stocks, with historical data showing small-cap outperformance in March [1] - The current market capitalization factor valuation spread is 0.86, indicating room for growth as it is below historical peaks of 1.7 to 2.6 [1] - The model has achieved a year-to-date return of 13.35%, outperforming the equal-weight benchmark return of 7.47% by 5.88% [1] Group 3: Value-Growth Style Rotation Strategy - The quantitative model signal for the end of February was -0.67, recommending an overweight in value style for March [2] - The long-term outlook favors growth style for the upcoming year [2] - The model's return as of the end of February was 5.22%, with no excess return compared to the equal-weight benchmark [2] Group 4: Factor Performance Tracking - Among eight major factors, liquidity and momentum factors showed high positive returns, while large-cap and quality factors exhibited negative returns [2] - Year-to-date, value and volatility factors have performed positively, while large-cap and quality factors have shown negative returns [2] - In a broader analysis of 24 style factors, liquidity, momentum, and long-term reversal factors had high positive returns, while residual volatility, large-cap, and book-to-market ratio factors had negative returns [2] Group 5: Factor Covariance Matrix Update - The report updates the factor covariance matrix as of February 27, 2026, which is crucial for predicting stock portfolio risks [3] - The multi-factor model allows for a breakdown of the stock covariance matrix into factor covariance and stock-specific risk matrices for more accurate estimations [3]