证券研究报告 | 金融工程报告 2025 年 05 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 20250516 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。 在七个胜率指标中，当前有 4 个指向成长，3 个指向价值。根据映射方 案，当下成长风格的胜率为 58.26%，价值风格的胜率为 41.74%。 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 0.22，价值风格的投资期望为-0.13，因此最新一期的风格轮动模 型推荐为成长风格。 2013 年至今，基于投资期望的风格轮动模型策略年化收益率 27.18%，夏 普比率 0.98。 风险提示：本报告结果通过历史数据统计、建模和测算完成，在政策、市场 环境发生变化时模型存在失效的风险；本报告所提及个股或基金仅表示与相 关主题有一定关联性，不构成任何投资建议。 上周全市场成长风格组合收益 0.82%，而全市场价值风格组合收益为 ...

每经记者｜叶峰 每经编辑｜肖芮冬 本周股指冲高回落涨跌互现，沪深两市股票型ETF和跨境型ETF合计净流出约360亿元。 本周主要指数相关ETF表现 行业主题上看，半导体、军工相关ETF被资金看好，而机器人、酒相关ETF被资金抛售。 逾300亿元资金借道ETF离场 本周沪深两市成交6.16万亿元，其中沪市成交2.46万亿元，深市成交3.7万亿元。截至最新收盘，沪指报收于3367.46点，全周上涨0.76%，深证成指报收于 10179.6点，全周上涨0.52%。 | 证券代码 | 证券简称 | 收盘价 | 周涨跌幅 | 周份额变化 周资金净流入额 | | ETFF | | --- | --- | --- | --- | --- | --- | --- | | | | (元) | (%) | (亿份) | (亿元) | (亿 | | 510300.SH 沪深300ETF | | 3.99 | 1.12 | -6.49 | -25.90 | 380 | | 510310.SH 沪深300ETF易方达 | | 3.81 | 1.11 | -3.24 | -12.39 | 263 | | 510330.SH 泊深300E ...

文章来源 本文摘自：2025年5月15日发布的 5月小盘、价值风格有望占优 郑雅斌 ，资格证书编号： S0880525040105 张雪杰 ，资格证书编号： S0880522040001 更多国泰海通研究和服务 亦可联系对口销售获取 大小盘风格轮动月度策略。 最新观点（模型数据截止至 2025/4/30 ）：月度量化模型最新信号转向小 盘；月度观点上，结合月度效应（历史上 5 月小盘风格大概率占优），我们认为 5 月小盘风格有望占 优。中长期，未来一两年，我们更看好小盘风格。目前市值因子最新估值价差为 1.05 ，相对历史高点区 域 1.7~2.6 ，估值价差当前位置不高。本年以来大小盘风格轮动月度策略相对于等权（沪深 300 和中证 2000 ）基准的超额收益 2.94% 。策略构建详见报告《 量化视角多维度构建大小盘风格轮动策略 》。 价值成长风格轮动月度策略。 最新观点（模型数据截止至 2025/4/30 ）：月度量化模型最新信号继续指 向价值风格；月度观点上，我们认为 5 月价值风格有望继续占优；月度配置策略，继续超配价值风格。相 对于等权（国证成长和国证价值）基准，本年以来价值成长风格轮动策略超额收 ...

Market Analysis - The market has not yet confirmed a peak despite the recent collective adjustment of the three major indices, which have fallen below the 5-day moving average [1][2] - A significant decrease in short-selling power was observed, indicating that the market may not have reached a peak [1] - The trading volume in the Shanghai and Shenzhen markets has shrunk considerably, suggesting that major funds are not fleeing the market [1][2] Technical Indicators - Although the market has broken below the 5-day moving average and the upward trend line, the extent of the break is minimal, indicating that it may not confirm a peak [2] - The upward trend line is currently around 3370 points, while the closing index was at 3367 points, showing only a slight breach [2] - Continued interest in sectors like automotive and robotics suggests that funds are still actively operating in the market [2] Investment Strategy - Investors with low costs may consider waiting, as the market has not confirmed a peak yet [2] - For those who have already breached their positions, it is advisable to exit [2] - The market is experiencing rapid rotations, and investors should avoid holding onto short-term high-gain stocks without taking profits [2] Related ETFs - **Food and Beverage ETF (Code: 515170)**: Recent performance shows a 1.17% increase, with a PE ratio of 21.68 and a net inflow of 308.9 million [4] - **Gaming ETF (Code: 159869)**: Recent performance shows a 3.93% decrease, with a PE ratio of 52.00 and a net inflow of 182.7 million [4] - **Semiconductor ETF (Code: 588170)**: Recent performance shows a 3.95% decrease, with a net outflow of 317.0 million [4] - **Cloud Computing ETF (Code: 516630)**: Recent performance shows a 3.62% decrease, with a net outflow of 100.0 million [5]

杨恒波进一步分析，暂且认为公募的说法是对的，但他接下来的这句话就很令人费解了——他说"机构 始终秉持长线投资、价值投资的理念"，这让人实在难以信服。"风格漂移"这个词就是为公募基金发明 的，市场上也根本没有几只基金能称得上是价值投资，更多的基金经理只是在一味抱团炒作，追涨杀 跌，乃至于一些更夸张更不合规的操作。杨恒波表示，前几年的转融券事件，基金用投资者的钱砸盘事 件仍在眼前，所以公募基金现在站出来的"辟谣"，恐怕要打一个大大的问号。 回归市场，在不考虑公募基金利用自身大资金在场内冲杀搅局的情况下，杨恒波认为目前A股市场缺乏 明确的主线，主要是事件驱动。所以，如果周末没有出现能够改变机构对当前经济基本面判断的消息， 那么就只能关注一些行业性的消息了，在缩量轮动的市场环境下，投资者要么选择抱团，要么做T，要 么就躺平，千万不要盲目追涨杀跌。 5月16日，投顾杨恒波在今日市场分析中指出，大盘全天呈现出缩量修复、大小票分化的态势，这段时 间的行情可以用一个字来形容——卷。往往前一天表现强势的方向，第二天就直接"扑街"，而前几天大 跌的板块后面又有可能修复。本质上，这是市场暂时没有明确的主线，资金只能在板块之间来回轮 ...

4月新增社会融资规模1.16万亿元，新增人民币贷款2800亿元。4月为传统信贷小月，叠加今年一季度信 贷开门红有所透支、关税摩擦下海外不确定性较大、内部融资需求尚未企稳，信贷数据出现季节性回落 是正常现象。但政府债大量发行带动社融增速回升，某种程度上显示金融支持实体有力，政策发力的结 构性特征明显。整体看，金融数据增量信息不多，国内基本面驱动偏弱。 （三）美国通胀、零售趋弱，美联储货币政策保持"等待"，整体海外因素影响不大。 一、本周市场概况：中美关系缓和利好落地，股市进入轮动交易期 5月12日-5月16日期间，宽基指数整体保持震荡，全市场成交量变化不大，显示多数场外资金情绪相对 谨慎，存量资金交易导致市场进入轮动交易期。周初，中美关系缓和利好逐步落地，市场热度偏高，但 随着中美联合声明公布，短期利好落地后，考虑到股市对利好消化相对充分，市场进入震荡区间。结构 上看，行业层面驱动较强，各个风格均有结构性机会，但股市热点延续性不强，板块轮动较快，资金博 弈特征明显。 二、影响本周市场的主要因素为： （一）中美达成联合声明，关系边际缓和对市场情绪有支撑。 经过本次会谈，今年美国对中国商品累计加征关税税率为30%， ...

Core Viewpoint - The market is undergoing a rational adjustment, with the index facing downward pressure after failing to maintain levels above 3400, indicating potential risks for investors if the index rises further [1][2] Market Analysis - The index dropped to around 3356, breaking below the 5-day moving average, suggesting a downward trend unless it can hold above 3360 [1] - If the 3360 level does not hold, the index may decline towards 3350 or even 3320, indicating a need for patience among investors [2] Stock Performance - Despite the index decline, individual stocks did not experience significant drops, suggesting that they had already adjusted prior to the index's fall [2] - The current market environment shows rapid rotation between large-cap and small-cap stocks, with small-cap stocks experiencing a rebound [2] Investment Strategy - The rebound in small-cap stocks is seen as temporary, with limited sustainability and strength, advising investors to be cautious and consider quick trades [2] - The market lacks a clear leading sector, emphasizing the importance of patience in May as investors await a clearer direction [2]

Market Overview - The three major indices have collectively adjusted, with over 3,800 stocks declining, leading the market to fall below 3,400 points. However, there is no clear signal indicating that the market has reached its peak, suggesting that there is still potential for further gains [2][3]. Key Indicators - There has been no significant outflow of major funds, despite the poor performance of the indices. The trading volume in the Shanghai and Shenzhen markets has decreased significantly, with a drop of over 160 billion, indicating that major funds are not fleeing the market [2][3]. - The market has not breached the key upward trend line established since April 9, with the current support level around 3,360 points. The Shanghai Composite Index closed at 3,386 points, remaining above this trend line, which suggests that the upward trend is still intact [3][4]. Market Dynamics - The MACD indicator shows a standard bottom divergence, indicating that funds are still entering the market despite the downturn. This suggests that there is still potential for upward movement before confirming a market peak [4]. - The recent market adjustment indicates a missed opportunity for accelerated upward movement, particularly in financial sectors like brokerage firms. However, low-position stocks still have room for growth as long as they do not show clear signs of breaking down [4][5]. Investment Strategy - Given the current market conditions, maintaining a moderate position in low-position financial stocks is considered a relatively safe strategy. Investors are advised to take profits on high-performing stocks that show signs of stagnation and to look for opportunities in low-position stocks that may rebound [5].

Market Overview - The market has shown a slight contraction in trading volume compared to the previous day, indicating a potential shift in investor sentiment [1] - Market sentiment often diverges from actual market movements, leading to fluctuations in stock prices despite overall trends [1][2] Sector Performance - Various sectors such as military, banking, solar energy, technology, logistics, ports, and pharmaceuticals have experienced alternating periods of growth and decline, lacking sustained momentum [2] - Despite the lack of continuous upward movement, most stocks have not reached new lows, suggesting a gradual upward trend in the market [2] Trading Strategy - Investors are advised to remain patient and avoid emotional reactions to market fluctuations, focusing instead on a calm investment approach [2] - The current market trend has persisted for over 20 trading days, with the index maintaining its position above the 5-day moving average, despite minor pullbacks [3] - Caution is advised if the index breaks below the 5-day moving average, as this could indicate a longer adjustment period or potential end of the current market rally [3] Sector Opportunities - Attention should be given to sectors that have recently corrected, such as military and technology, to assess potential rebound opportunities [3] - Continuous monitoring of banking, ports, pharmaceuticals, and chemical sectors is essential to identify further upward potential [3]

固收资产配置丨点评报告 [Table_Title] 市场延续结构修复，成长轮动博弈升温 ——可转债周报 20250510 报告要点 [Table_Summary] 当周（2025 年 5 月 6 日-2025 年 5 月 10 日,下同）A 股延续震荡修复态势，中小盘表现活跃， 中证 2000 指数涨 3.6%，成长风格领涨。转债市场普涨，中证转债指数涨 1.32%，小盘指数弹 性较强，成交温和回升至 627 亿元。结构上，低价及高景气转债估值修复，中高价转债表现相 对分化。一级市场新增 8 家企业更新预案，潜在供给规模升至 590.0 亿元。建议围绕低溢价、 基本面支撑强的标的进行布局，兼顾估值安全边际与上涨弹性。 分析师及联系人 [Table_Author] 丨证券研究报告丨 赵增辉 熊锋 SAC：S0490524080003 SAC：S0490524120004 SFC：BVN394 请阅读最后评级说明和重要声明 %% %% %% %% research.95579.com 1 [Table_Title 市场延续结构修复，成长轮动博弈升温 2] ——可转债周报 20250510 [Table_Summa ...