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通过对投资风格与策略系列指数表现的跟踪,我们发现在近期的上涨行情中出现了许多不同以往的特征,比较突出的有:低市净率成为近期表现最好的价值策略,我们认为真正的价值投资开始显现,被过分低估的周期性行业开始出现估值的恢复性修正;而在今年2-4月份表现最好的高ROE策略表现相对较差,低于大盘同期涨幅。1个月(22.31%)和3个月(21.25%)反转策略成为过去三周表现最好的策略,远远超出同期海通综指表现。相应地,1个月和3个月动能策略成为表现最差的策略,反映了本轮行情超跌反弹的特性。低BETA、低波动率策略一直是今年以来表现最好的策略,但在近期上涨行情中,高BETA(19.27%)、高波动率策略一举领先,验证了BETA策略(在上涨行情中应选择BETA值大的股票以获得更高收益)的有效性。市值风格指数近期表现有很大差异,小盘指数3周收益率达18.99%,而海通大盘指数仅上涨9.45%,当然这其中有一部分股票停牌的影响。综合来看,在过去三周的上涨中,价值股(以低市净率为代表)和投机股(以高市盈率,小盘股为代表)都表现较好。我们认为这同时反映了前期过度反应的周期性股票恢复性修正的理性特征和上涨行情中外围资金流入炒作的投机特征。
Through the tracking of the investment style and strategy index, we find that many different characteristics have emerged in the recent rally. Some notable features include the fact that the low PB is the best-performing value strategy in the near term, and we think the real Value investing began to emerge, and cyclical sectors that were over-undervalued started to recover from the valuation correction. The best performing ROE strategy in February-April this year was relatively underperform, below the broader market gains over the same period. The reversal strategy of 1 month (22.31%) and 3 months (21.25%) has been the best performing strategy in the past three weeks, far exceeding the performance of Haitong KLCI in the same period. Correspondingly, the 1-month and 3-month kinetic energy strategies have become the worst performing strategies, reflecting the oversold bounce of the current round of market conditions. Low BETA, low volatility strategy has been the best performing strategy this year, but in the recent rally, high BETA (19.27%), high volatility strategy lead in one fell swoop, validated the BETA strategy (in the rally should choose BETA Valuable stocks for higher returns). The recent performance of the market capitalization style index is quite different. The 3-week rate of return of the small cap index reached 18.99%, while that of the Haitong market index rose only 9.45%. Of course, some of these stocks have been suspended. Taken together, value stocks (represented by low P / B) and speculative stocks (represented by high P / E and small cap stocks) performed better over the past three weeks. We think this reflects both the rational characteristics of the cyclical correction of stock market overreactions and the speculative characteristics of speculative inflows of capital in the rally.