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]

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 latest growth style investment expectation is calculated at 0.14, while the value style investment expectation is at -0.04, recommending a shift towards growth style [4][18] Group 2: Odds - The estimated odds for the growth style is 1.11, while for the value style it is 1.08, indicating a negative correlation between relative valuation levels and expected odds [2][14] - The report emphasizes that the relative valuation level of market styles is a key influencing factor for expected odds [2][14] Group 3: Win Rates - Among seven win rate indicators, four point towards growth and three towards value, resulting in a current win rate of 53.87% for growth and 46.13% for value [3][16][17] Group 4: Investment Expectations and Strategy Returns - The annualized return of the style rotation model strategy from 2013 to present is 27.35%, with a Sharpe ratio of 1.01 [4][19] - The total return for the growth style is 544.78%, while for the value style it is 605.02%, indicating a strong performance of both styles [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] - 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] - 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 - The report introduces a quantitative model solution for addressing the issue of value and growth style switching based on odds and win rates [1][8] - The recent performance of the growth style portfolio was 0.88%, while the value style portfolio achieved a return of 1.77% [1][8] Group 2 - The estimated odds for the growth style is 1.03, and for the value style, it is 1.07, 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, while 4 favor value, resulting in a win rate of 46.13% for growth and 53.87% for value [3][16] Group 3 - The investment expectation formula yields a value style investment expectation of 0.11 and a growth style expectation of -0.06, leading to a recommendation for the value style [4][18] - Since 2013, the annualized return of the style rotation model based on investment expectations is 26.20%, with a Sharpe ratio of 0.96 [4][18]

Group 1 - The report introduces a quantitative model solution for addressing the value-growth style switching issue based on odds and win rates [1][8] - The overall market growth style portfolio had a return of -0.55%, while the value style portfolio had a return of 0.18% in the last week [8] Group 2 - The estimated odds for the growth style is 1.01, while for the value style it is 1.03, indicating a negative correlation between relative valuation levels and expected odds [2][14] - The current win rate for the growth style is 31.12%, and for the value style, it is 68.88%, based on seven win rate indicators [3][17] Group 3 - The latest investment expectations calculated show a growth style expectation of -0.38 and a value style expectation of 0.40, leading to a recommendation for the value style [4][18] - Since 2013, the annualized return of the style rotation model based on investment expectations is 26.73%, with a Sharpe ratio of 0.98 [4][19]