报告导读： 本报告对大小盘轮动月度策略、价值成长轮动月度策略以及风格因子表现进行 跟踪。根据量化模型信号， 1 月建议超配小盘风格，均衡配置价值成长风格。 大小盘风格轮动月度策略。 月度观点： 12 月底量化模型最新信号为 0.17 ，指向小盘。日历效应上，历史 1 月大盘相对占优；建议 1 月超配小盘风格。中 长期观点，当前市值因子估值价差为 0.89 ，近期有所下降，距离历史顶部区域 1.7~2.6 仍有距离，中长期并不拥挤，继续看好小盘。截止 12 月底，模型收 益 27.56% ，相对等权基准（ 26.84% ）的超额收益为 0.71% 。结合主观观点的策略收益 28.97% ，超额收益 2.13% 。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 _20241102 》。 价值成长风格轮动月度策略。 月度量化模型信号为 0 ，建议 1 月等权配置成长和价值风格。截止 12 月底，模型收益 22.72% ，相对等权基准（ 20.4% ）的超额收益为 1.93% 。策略构建详见报告《量化视角多维度构建月度和周度价值成长风格轮动策略 _20250305 》。 风格因子表现跟踪。 8 个大类因子中 ...

Group 1: Monthly Strategy Insights - The report indicates that in July, small-cap stocks are likely to outperform, supported by a monthly quantitative model signal of 0.83, suggesting an overweight position in small-cap stocks [1] - The long-term outlook favors small-cap stocks over the next one to two years, with the current market capitalization factor valuation spread at 1.15, which is lower than historical highs of 1.7 to 2.6 [1] - The report acknowledges a previous misjudgment in June regarding style allocation, where the expected excess return was 0%, and emphasizes a strategy of favoring small-cap stocks unless strong signals for large-cap stocks are present [1] Group 2: Value and Growth Style Rotation - The monthly quantitative model signal for value and growth style rotation is 0.33, indicating a preference for growth stocks in July, which historically tend to outperform during this month [2] - Year-to-date, the value-growth style rotation strategy has achieved an excess return of 6.2% compared to an equal-weight benchmark [2] Group 3: Factor Performance Tracking - Among eight major factors, volatility and value factors showed positive returns this month, while large-cap and liquidity factors exhibited negative returns [2] - Year-to-date, volatility and momentum factors have also shown positive returns, with large-cap and liquidity factors remaining negative [2] - In the analysis of 24 style factors, beta, industry momentum, and short-term reversal factors performed well this month, while large-cap, mid-cap, and liquidity factors did not [2]