证券研究报告 | 金融工程报告 2025 年 08 月 17 日 当下价值/成长的赔率和胜率几何？ ——风格轮动策略周报 20250815 在《如何从赔率和胜率看成长/价值轮动》报告中，我们创新性地提出了基于 赔率和胜率的投资期望结合方式，为应对价值成长风格切换问题提供了定量模 型解决方案。后续，我们将持续在样本外进行跟踪并做定期汇报。 上周全市场成长风格组合收益 3.34%，而全市场价值风格组合收益为 1.02%。 1、赔率 在前述报告中，我们已经进行了验证，即市场风格相应的相对估值水平 是其预期赔率的关键影响因素，并且两者应该呈现出负相关。由于存在上述 线性关系，我们根据最新的估值差分位数，可推得当下成长风格的赔率估计 为 1.11，价值风格的赔率估计为 1.09。 2、胜率 在八个胜率指标中，当前有 6 个指向成长，2 个指向价值。根据映射方 案，当下成长风格的胜率为 68.88%，价值风格的胜率为 31.12%。 3、最新推荐风格：成长 根据公式，投资期望=胜率*赔率-（1-胜率）。我们计算得最新的成长风格 投资期望为 0.45，价值风格的投资期望为-0.35，因此最新一期的风格轮动模 型推荐为成长风 ...

Group 1: Core Insights - The report introduces a quantitative model solution for addressing the value-growth style switching issue based on odds and win rates [1][8] - The recent performance shows that the growth style portfolio achieved a return of 2.54%, while the value style portfolio returned 2.24% [1][8] Group 2: Odds - The relative valuation levels of market styles are key factors influencing expected odds, which are negatively correlated [2][14] - The current estimated odds for the growth style is 1.11, while for the value style it is 1.09 [2][14] Group 3: Win Rates - Among seven win rate indicators, four point to growth and three to value, resulting in a current win rate of 53.87% for growth and 46.13% for value [3][16] Group 4: Investment Expectations and Strategy Returns - The investment expectation for the growth style is calculated at 0.14, while for the value style it is -0.04, leading to a recommendation for the growth style [4][18] - Since 2013, the annualized return of the style rotation model based on investment expectations is 27.62%, with a Sharpe ratio of 1.02 [4][19]

Summary of Conference Call Notes Industry or Company Involved - The discussion revolves around quantitative investment strategies and market style dynamics, specifically focusing on the performance of different investment styles such as growth, value, and small-cap strategies. Core Points and Arguments 1. **Market Style Influence on Investment Strategies** Different fundamental quantitative investment approaches are significantly influenced by market styles. Growth styles perform better in favorable economic conditions, while value styles excel during value-dominant periods. Adjusting allocations based on market conditions is essential to maximize alpha and beta contributions [1][2][4]. 2. **Quantitative Model Characteristics** The model developed by CICC emphasizes risk considerations rather than momentum. It incorporates temporal information to assess the current risk level and allocate high alpha assets when risks are low, enhancing overall returns [1][5][6]. 3. **Style Risk Attribute Model** The model evaluates style risk using indicators such as valuation differences, capital participation, and intra-portfolio differentiation. Valuation differences are positively correlated with future returns, particularly in growth and value styles, with a correlation of around 0.5 [1][10]. 4. **Active Inflow Rate Indicator** The active inflow rate indicator shows varying correlations across styles. For growth styles, high inflow rates may indicate overcrowding, while for small-cap and value styles, increased inflows can signal positive recognition. Extreme inflow rates across all styles indicate potential risks [11]. 5. **Concentration and Differentiation Effects** In growth and small-cap styles, higher concentration correlates with better future returns, while in value and dividend styles, greater differentiation leads to improved returns. Different strategies should be applied based on the specific style [12]. 6. **Effectiveness of Timing Indicators** The effectiveness of timing indicators, such as valuation differences and capital participation, is statistically validated. These indicators provide unique insights and can be used simultaneously without diminishing their effectiveness [13]. 7. **Dynamic Allocation and Rotation Strategies** Dynamic allocation strategies involve independent monthly assessments of investment styles based on their current risk and value. Rotation strategies focus on selecting the highest probability styles for concentrated holdings [18][19]. 8. **Performance of Style Rotation Model** Historical data shows that the style rotation model performs well at key style nodes, with an average turnover rate of about 45%. The model has maintained consistent performance across various years, with only a few years showing slight losses [21][22]. 9. **Sample Out-of-Sample Data Validation** Out-of-sample data has validated the model's effectiveness, with significant year-to-date returns exceeding 30% as of June [23]. 10. **Future Tracking and Evaluation** Continuous tracking and evaluation will be conducted monthly, providing timely updates on market styles and critical indicators. This proactive approach aims to enhance the robustness of the quantitative investment framework [24]. Other Important but Possibly Overlooked Content - The report emphasizes the importance of risk control in investment strategies, highlighting that while dynamic allocation can reduce maximum drawdowns, it may not always yield higher absolute returns compared to fixed allocation strategies [20].

Group 1 - The report introduces a quantitative model solution for addressing the issue of value and growth style switching, based on the combination of odds and win rates [1][8] - The recent performance of the growth style portfolio was 2.32%, while the value style portfolio achieved a return of 2.76% [1][8] Group 2 - The estimated odds for the growth style is 1.12, while the value style is estimated at 1.08, indicating a negative correlation between relative valuation levels and expected odds [2][14] - The current win rates indicate that 4 out of 7 indicators favor growth, resulting in a win rate of 53.87% for growth and 46.13% for value [3][16] Group 3 - The latest investment expectation for the growth style is calculated at 0.14, while the value style has an investment expectation of -0.04, leading to a recommendation for the growth style [4][18] - Since 2013, the annualized return of the style rotation model based on investment expectations is 27.19%, with a Sharpe ratio of 1.00 [4][19]

Group 1 - The report introduces a quantitative model solution for addressing the value-growth style switching issue, combining investment expectations based on odds and win rates [1][8] - The recent performance of the growth style portfolio was 5.49%, while the value style portfolio returned 3.33% [1][8] Group 2 - The estimated odds for the growth style is 1.10, and for the value style, it is 1.09, indicating a negative correlation between relative valuation levels and expected odds [2][14] - The current win rate for the growth style is 68.88%, while the value style has a win rate of 31.12%, based on seven indicators [3][16] Group 3 - The latest investment expectation for the growth style is calculated to be 0.44, while the value style has an investment expectation of -0.35, leading to a recommendation for the growth style [4][18] - Since 2013, the annualized return of the style rotation model based on investment expectations is 26.96%, with a Sharpe ratio of 0.99 [4][19]

Group 1 - The report introduces a quantitative model solution for addressing the issue of value and growth style rotation based on odds and win rates [1][8] - The recent performance of the growth style portfolio was -0.01%, while the value style portfolio returned -0.14% [8] Group 2 - The estimated odds for the growth style is 1.10, while the value style is estimated at 1.08, indicating a negative correlation between relative valuation levels and expected odds [2][14] - The current win rates indicate that 3 out of 7 indicators favor growth, resulting in a win rate of 68.88% for growth and 31.12% for value [3][16] Group 3 - The latest investment expectation for the growth style is calculated at 0.44, while the value style has an investment expectation of -0.35, leading to a recommendation for the growth style [4][18] - Since 2013, the annualized return of the style rotation model based on investment expectations is 27.10%, with a Sharpe ratio of 0.98 [4][19]

Group 1 - The report introduces a quantitative model solution for addressing the issue of value and growth style switching, based on the combination of odds and win rates [1][8] - Last week's market performance showed a growth style portfolio return of 3.01%, while the value style portfolio return was 1.51% [1][8] Group 2 - The estimated odds for the current growth style is 1.10, while the value style is estimated at 1.08, indicating a negative correlation between relative valuation levels and expected odds [2][14] - The current win rates indicate that 58.26% favor the growth style, while 41.74% favor the value style, based on seven win rate indicators [3][16] Group 3 - The latest investment expectation for the growth style is calculated at 0.22, while the value style's investment expectation is -0.13, leading to a recommendation for the growth style [4][18] - Since 2013, the annualized return for the style rotation model based on investment expectations has been 27.12%, with a Sharpe ratio of 0.99 [4][19]

Group 1 - The report attempts to integrate subjective judgment and quantitative analysis to construct a style rotation framework, primarily based on five dimensions to build a core style rotation model, which will eventually be applied to actual investable portfolios [3][8] - The fundamental perspective of growth and value style rotation strategy has shown long-term excess returns compared to its balanced allocation benchmark, although the performance of the strategy is limited due to varying transmission paths and delays of different fundamental indicators under different contexts [3][10] Group 2 - The report reviews the construction of style indices and the style rotation framework, continuing to explore the growth and value style rotation from a fundamental perspective [8][17] - Common fundamental indicators are primarily micro data, but the report adopts a different perspective by observing the overall situation of the equity market or specific styles, reflecting the specific conditions of certain groups [8][30] Group 3 - The analysis of fundamental factors is conducted from five angles: growth, profitability, financial health and solvency, operational efficiency, and valuation levels, with growth, profitability, and valuation signals being relatively stable and accurate [9][31] - The overall turnover rate of the growth and value style rotation strategy is low, generally favoring long-term holdings of growth or value stocks, with an average monthly win rate of approximately 60.91% and an average annualized return of about 15.26% from January 1, 2005, to April 29, 2025 [10][31] Group 4 - The growth style index and value style index are constructed based on similar logic, with the main difference being the sorting of constituent stocks using growth and value factors respectively [18][21] - The report outlines the style rotation framework, which is expected to be based on five major dimensions to construct the core style rotation model, focusing on the fundamental dimension of growth and value style rotation [27][30] Group 5 - The report categorizes fundamental indicators into two main types: market overall indicators and style difference indicators, further divided into growth indicators, profitability indicators, financial health and solvency indicators, operational efficiency indicators, and valuation indicators [30][31] - The financial health and solvency indicators focus on the reasonableness of capital structure and short-term liquidity, with asset-liability ratio and current ratio being particularly effective in the context of growth and value style rotation [57][65]

Group 1 - The report introduces a quantitative model solution for addressing the issue of value and growth style switching, based on the combination of odds and win rates [1][8] - The recent performance of the growth style portfolio was 0.82%, while the value style portfolio achieved a return of 1.15% [1][8] Group 2 - The estimated odds for the growth style is 1.09, and for the value style, it is 1.08, indicating a negative correlation between relative valuation levels and expected odds [2][14] - The current win rates indicate that 4 out of 7 indicators favor growth, resulting in a win rate of 58.26% for growth and 41.74% for value [3][18] Group 3 - The latest investment expectation for the growth style is calculated to be 0.22, while the value style has an investment expectation of -0.13, leading to a recommendation for the growth style [4][19] - Since 2013, the annualized return of the style rotation model based on investment expectations is 27.18%, with a Sharpe ratio of 0.98 [4][20]

Group 1 - In 2024, A-share listed companies achieved a total operating income of 71.8 trillion yuan and a net profit of 5.2 trillion yuan, with 74% of companies reporting profits and 48% showing profit growth [1] - The financial sector reported a net profit of 2.7 trillion yuan, marking a year-on-year growth of 10.3%, which is an improvement from the previous quarter [1] - Over half of the listed companies are focusing on strategic emerging industries, with over 80% of new listings concentrated in sectors such as new-generation information technology, high-end equipment manufacturing, and new energy vehicles [1] Group 2 - In Q1 2025, 54.74% of A-share companies reported a year-on-year increase in net profit, with 2,955 out of 5,398 companies achieving this [3] - The revenue growth rate for the entire A-share market in Q1 2025 was -0.2%, while net profit growth improved to 3.7%, a significant recovery from the previous quarter [3][4] - The performance of small and mid-cap stocks improved, with the small-cap index (CSI 1000) showing both revenue and net profit growth, while mid-cap stocks (CSI 500) experienced a rebound in net profit despite a decline in revenue growth [4] Group 3 - Recent policies from the central government and regulatory bodies, including interest rate cuts and support for the stock market, have created a favorable environment for the securities industry [1][5] - The focus on stabilizing market expectations and supporting technology innovation, consumption expansion, and inclusive finance is expected to guide the A-share market towards a "slow bull" trend in 2025 [6] - Investment strategies should consider sectors highlighted in the government work report, such as technology, green energy, consumption, and infrastructure [6]