证券研究报告 | 金融工程 gszqdatemark 2025 08 18 年 月 日 量化点评报告 转债处于低配置价值区间——八月可转债量化月报 当前转债估值处于极高水平。截止至 2025 年 8 月 15 号，转债市场定价 偏离度指标为 5.42%，占 2018 年以来 99.9%的分位数水平，可见当前转 债已经步入高估值区间。同时我们统计了在不同的定价偏离度下，未来 N 日的中证转债平均收益率与胜率。当前转债市场处于[4%,Inf)的高估值区 间中，统计可得历史上位于该区间时未来半年中证转债收益率均值为- 2.9%，胜率为 0%，转债的长期配置价值较低。 绝对收益投资者可优先降低偏股转债仓位以减少可能的下行风险。我们曾 讨论过偏股转债对于择时最为敏感，其择时价值高于平衡与偏债转债。我 们也统计了当市场处于[4%,Inf)的高估值区间后，不同分域转债的收益率 均值与胜率，可见当市场高估时，偏股转债未来表现显著弱于平衡与偏债 转债。当前转债市场赔率较低，作为以绝对收益为目标的投资者，可优先 适当降低偏股转债仓位，从而减少市场出现下行回撤的风险。而对于偏债 等长期高配置价值策略，可维持正常配置权重。 转债相对 ...

2025年7月14日-2025年7月18日 指数表现 最新点位 本周涨跌幅 1. 41% 4773. 24 本周成交额 日均成交额 成交环比变化 (亿元) (亿元) 22270. 23 4454. 05 9.49% 中证A500指数周报 ■▲ 南财快讯 中国银河证券的一份研报指出，2025年上半年，沪深300全收益指数累计上涨1.37%，中证1000全收益 指数累计上涨7.54%，总体上小盘占优。展望2025年下半年，随着权益类公募基金加速扩容，政策引导 下中长期资金积极布局，机构投资者入市趋势明确，相比个人投资者来说，机构投资者倾向于选择市值 规模较大、业绩和分红相对稳定的蓝筹股。此外，叠加外部不确定性扰动持续存在，市场风格或将偏向 大盘。 中信建投证券则在研报中表示，国内经济企稳迹象逐步凸显，叠加降准降息释放长期流动性，若下半年 美联储开启降息周期，将进一步利好非银板块，拓宽国内货币政策空间，同时吸引外资回流港股及A股 市场。非银板块作为资本市场核心参与者，将直接受益于流动性环境改善带来的市场活跃度提升。 其进一步指出，当前非银行业整体估值处于历史中等分位，呈现出较高的投资性价比与安全边际。其 一，政策红 ...

Historical Review of Size and Style Rotation - From 2008 to 2010, small-cap stocks outperformed due to significant economic stimulus and abundant liquidity, with small-cap stocks being more sensitive to funding[6] - Between 2011 and 2013, large-cap stocks gained favor as economic growth pressures increased, highlighting their defensive attributes[8] - The period from 2013 to 2015 saw a resurgence of small-cap stocks driven by the rise of new industries and increased M&A activity, with leverage funds entering the market[9] - From 2016 to 2021, large-cap stocks dominated as supply-side reforms improved profitability for leading companies, while M&A activity cooled[10] - In the 2021 to 2023 period, small-cap stocks regained strength due to changes in funding structure and the rise of new industries like AI[12] Growth vs. Value Style Rotation - From 2011 to 2014, value stocks outperformed as the economy shifted from stimulus-driven growth to self-sustained growth, with GDP growth declining[15] - In 2015, growth stocks saw a rebound due to the rise of the internet and new industries, despite ongoing economic pressures[19] - The period from July 2016 to October 2018 favored value stocks as traditional industries improved amid tightening liquidity[21] - From November 2018 to July 2021, growth stocks outperformed due to the rise of new industries and favorable liquidity conditions[23] - From August 2021 to August 2024, value stocks are expected to dominate due to tightening global liquidity and geopolitical uncertainties[25] Key Indicators and Future Outlook - The historical analysis indicates that size and style rotations are influenced by fundamental factors, liquidity, valuation, and policy[27] - The correct prediction rate for small-cap outperformance since 2005 is 69%, while for growth vs. value since 2011 is 77%[2] - In the first half of 2025, small-cap stocks outperformed with a 7.54% increase in the CSI 1000 index compared to a 1.37% increase in the CSI 300 index[2] - The outlook for the second half of 2025 suggests a potential shift towards large-cap stocks due to institutional investor preferences and external uncertainties[2]