Group 1: Investment Opportunities by Style - The report emphasizes that in the medium to low-frequency dimension, the main returns for investors come from core beta opportunities, with value strategies represented by low valuation and PB-ROE metrics, and dividend strategies characterized by high safety margins [13][15]. - Growth investment, represented by companies with higher growth rates, has been a mainstream strategy in the A-share market, focusing on stocks with strong fundamental resilience [15]. - The performance of various style strategies year-to-date shows that extreme styles may not dominate due to rotation, and adjustments in investment frameworks can help mitigate risks associated with beta misalignment [16][19]. Group 2: Long-term Excess Returns from Overseas Style Strategies - Japan's high dividend advantage became prominent after the 1990s bubble burst, with sustained benefits from a low growth and low interest rate environment [30][32]. - The report notes that Japanese companies have a stable dividend policy, contributing to a favorable environment for dividend growth, which has reached around 20% in recent years [39]. - In the U.S., high dividend strategies outperformed during the early 2000s, particularly during the tech bubble burst, highlighting their defensive characteristics amid economic volatility [40][41]. Group 3: Active Strategy Smart Beta Indexation - The report discusses the increasing popularity of Smart Beta strategies, which combine active management with passive investment principles, allowing for targeted exposure to specific factors [56].

Core Insights - The report explores the construction and application of a style factor system for A-shares, focusing on four dimensions: market capitalization, valuation, profitability, and momentum [2][9][12] - A-shares have exhibited different dominant factors over various periods, with profitability leading from 2013 to 2014, small-cap factors from 2015 to 2016, valuation from 2016 to 2018, and a return to profitability dominance from 2019 to early 2021 [2][24][27] - The report predicts a resurgence of high valuation factors starting in 2025, driven by expectations of weak profit recovery and strong policy support [2][27] Style Factor Construction and Performance - The style factor system is constructed using a bottom-up approach, assigning style labels to each stock based on their factor indicators [9][12] - The performance of the style factors shows that small-cap stocks have generally outperformed large-cap stocks since 2010, with a notable fivefold return from small-cap strategies [12][17] - Valuation factors indicate that low valuation styles have been particularly strong, especially during specific periods such as 2017-2018 and 2022-2024 [14][15] Influencing Factors of Style Factors - Profitability factors are highly correlated with economic cycles, showing better performance during economic upturns [45][46] - Valuation factors are closely linked to market sentiment, with high valuation stocks performing better during periods of positive sentiment [49][50] - Market capitalization factors are significantly influenced by remaining liquidity, with small-cap factors performing strongly in liquidity-rich environments [53][54] Application of Style Factor System - The report establishes an A-share style investment system based on the identified style factors, suggesting that the current dominant styles are high profitability, high valuation, and small-cap [2][27] - The analysis indicates that the A-share market has not fully priced in the expected profit recovery, suggesting potential upside for high profitability and high valuation factors [2][27] - Different asset types exhibit varying dominant style factors, with emerging growth assets showing significant small-cap advantages and dividend assets reflecting low valuation strengths [29][33]

金融工程| 证券研究报告 —周报 2025 年 6 月 4 日 中银量化大类资产跟踪 A 股缩量横盘，小微盘风格占优 股票市场概览 本周 A 股下跌，港股下跌，美股上涨，其他海外权益市场普遍上涨。 A 股风格与拥挤度 A 股行情及成交热度 本周领涨的行业为综合金融、电力设备及新能源、医药；领跌的行业为 国防军工、有色金属、机械。本周成交热度最高的行业为综合、食品饮 料、国防军工；最低的行业为房地产、煤炭、建筑。 A 股估值与股债性价比 A 股资金面 机构调研活跃度 当前机构调研活跃度历史分位居前的行业为商贸零售、纺织服装、房地 产，居后的行业为医药、银行、食品饮料。 利率市场 商品市场 成长 vs 红利：成长风格拥挤度及超额净值持续处于历史低位；红利风 格拥挤度当前仍处于历史较低位置，近期快速下降。 小盘 vs 大盘：小盘风格超额净值及拥挤度持续处于历史低位；大盘风 格拥挤度下降至历史低位。 微盘股 vs 基金重仓：近期微盘股拥挤度快速下降至历史低位；基金重 仓拥挤度及超额累计净值处于历史低位。 本周中国商品市场整体下跌，美国商品市场整体下跌。 风险提示 量化模型因市场剧烈变动失效。 中银国际证券股份有限公司 ...