The Zhitong Finance App learned that Cathay Pacific Haitong released a research report saying that according to quantitative model signals at the end of September, it was recommended in October to exceed the market style and allocate value and growth style equally. The market capitalization factor valuation spread is 0.76, and we continue to be optimistic about small markets in the medium to long term; the growth style has been dominant for two years, and the value style is expected to dominate for a long time.
Cathay Pacific Haitong's main views are as follows:
The large and small market style rotates the monthly strategy. At the end of September, the quantized model signal was -1, pointing to the market; it is recommended to go with the market style in October. From a medium- to long-term perspective, the large and small markets rotate once every 5-10 years. The current market capitalization factor valuation difference is 0.76. It is still far from the historical top area of 1.7 to 2.6. It is not crowded in the medium to long term, so we continue to be optimistic about small and micro markets. By the end of September, the model's revenue for the year was -9.64%, and the excess revenue for the relative equality benchmark (-3.93%) was -5.72%. The review was over the market view in September, and the opinion was wrong.
Value growth style rotates monthly strategy. At the end of September, the quantified model signal was 0. It is recommended to allocate value and growth style by equal weight in October. From a medium- to long-term perspective, value growth rotates every 2-3 years. The growth style has been dominant for 2 years. There is a possibility of switching to a long-term dominant value style, and the future is more optimistic about the value style. By the end of September, the model's return was -9.56%, and the excess return for the relative equality benchmark (-3.21%) was -6.55%.
Style factor performance tracking. Among the eight major factors, this month's value and quality factors have higher positive returns; large market capitalization and momentum factors have higher negative returns. This year's positive returns on volatility and momentum factors are high; negative returns on large market capitalization and liquidity factors are high. Among the 20 style factors, the positive return on the book market value ratio, profit quality, and profit return factors was higher; large market capitalization, residual fluctuation, and negative returns on the industry momentum factor were higher. This year's momentum, beta, and profit return factors have higher positive returns; industry momentum, short-term reversals, and residual volatility factors have higher negative returns.
Factorial covariance matrix update. Stock covariance matrix estimation is the core of stock portfolio risk prediction. Using a multi-factor model, the stock covariance matrix can be decomposed into a combination of a factorial covariance matrix and a stock characteristic risk matrix to complete a more accurate estimate.
Risk warning: Quantitative models are built on historical data, and there is a risk that historical rules will fail.