大类资产配置研究系列：成长价值轮动的全景式框架宏观研判与微观量化的协同验证

目 录1、交易维度：价格动量+成交额动量 4、价格动量策略：衡量成长价值轮动的趋势强度 4、成交额动量策略：衡量成长价值的活跃度变化 52、资金流维度：超大单占比+融资买盘比 6、超大单占比策略：衡量机构资金流向 6、融资买盘比策略：衡量杠杆资金流向 63、基本面维度：净利润增速+股息比 7、净利润增速策略：衡量成长风格景气度 7、股息比策略：衡量价值风格性价比 84、宏观维度：PPI-CPI分位+固定资产投资额+M1-M2分位 9、PPI-CPI分位策略：反映上游资源品的盈利改善 9、固定资产投资额策略：反映传统经济的扩张意愿 9、M1-M2分位策略：反映资金市场的风险偏好 105、综合策略：动态赋权模型年化超额收益10% 、等权综合模型：年化超额收益8%，次胜率60%，次赔率2.7 12、动态赋权模型：年化超额收益10%，次胜率66%，次赔率2.8 13、成长价值代理指标讨论：各代理指标均有效 166、风格ETF轮动组合：年化超额收益34% 187、风险提示 19图表目录图1：开源金工成长价值轮动框架 4图2：价格动量策略：年化超额收益6% 5图3：成交额动量策略：年化超额收益4% 5图4：超大单占比策略：年化超额收益6% 6图5：融资买盘比策略：年化超额收益5% 7图6：净利润增速策略：年化超额收益4% 8图7：股息比策略：年化超额收益5% 8图8：PPI-CPI分位策略：年化超额收益4% 9图9：固定资产投资额策略：年化%10图10：M1-M2分位策略：年化超额收益5% 图11：等权综合策略：年化超额收益8% 12图12：历次看多成长的超额收益 13图13：历次看多价值的超额收益 13图14：动态赋权模型9个子策略的权重变化 14图15：动态赋权策略策略：年化超额收益10% 14图16：历次看多成长的超额收益 16图17：历次看多价值的超额收益 16图18：贡献主要收益的成长与价值做多窗口 16图19：不同代理指标轮动策略超额表现：策略3年化超额收益34% 17图20：风格ETF轮动组合：年化超额收益34% 18表1：价格动量策略绩效表现 5表2：成交额动量策略绩效表现 6表3：超大单占比策略绩效表现 6表4：融资买盘比策略绩效表现 7表5：净利润增速策略绩效表现 8表6：股息比策略绩效表现 9表7：PPI-CPI分位策略绩效表现 9表8：固定资产投资额策略绩效表现 10表9：M1-M2分位策略绩效表现 表10：子策略超额绩效对比 表11：子策略信号相关性整体偏低 12表12：等权综合策略绩效表现 12表13：等权综合策略分年度年化收益表现：多数年份正超额 12表14：动态赋权策略绩效表现 15表15：动态赋权策略分年度年化收益表现：多数年份正超额 15表16：不同代理指标轮动策略超额绩效表现 17表17：不同代理指标轮动策略分年度年化超额收益 17表18：风格ETF轮动组合分年度年化收益表现：所有年份均录.......18or本篇报告，我们从交易、资金流、基本面、宏观四个维度构建成长价值轮动框架。交易维度，我们通过价格动量与成交额动量判断趋势强度与活跃度强度；资金流维度，我们通过超大单占比与融资买盘比衡量机构资金流向与杠杆资金流向；基本面维度，我们通过净利润增速衡量成长风格景气度，通过股息比衡量价值风格性PPI-CPIM1-M2分位反映资金市场的风险偏好。图1：开源金工成长价值轮动框架开源证券研究所本篇报告中，我们的成长价值轮动策略设置如下：时间区间：2010010820260731；代理指标：9370.Z）s9371.Z调仓频率：+50%48.2%；1、交易维度：价格动量+成交额动量、价格动量策略：衡量成长价值轮动的趋势强度我们通过成长/价值的超额动量衡量成长价值轮动的趋势强度。超额收益上行，则看多成长，信号为1；超额收益下行，则看多价值，信号为-1。186229.13%6.09%0.9348.66%2.25。图2：价格动量策略：年化超额收益6%策略超额成长仓位策略超额成长仓位基准净值策略净值5.04.54.03.53.02.52.01.51.020100108201006082010010820100608201011102011041120110831201202062012070320121127201305032013092720140303201407252014122220150522201510212016031720160810201701092017061220171106201804032018082820190125201906282019112520200423202009172021022220210719202112152022051920221017202303142023080920240105202406112024110720250408202509012026012920260703

100%50%0%年化收益率年化波动率 年化信息比率年化收益率年化波动率 年化信息比率最大回撤Calmar比率周胜率周赔率次胜率次赔率次均持仓天数信号次数策略净值 9.13% 22.34% 0.41 47.14% 0.19 54.09% 1.04 52.94% 1.38 - -基准净值 2.86% 21.19% 0.13 48.18% 0.06 51.36% 1.05 51.34% 1.19 - -策略超额 6.09% 6.57% 0.93 13.25% 0.46 53.86% 1.23 48.66% 2.25 22 186、成交额动量策略：衡量成长价值的活跃度变化我们通过成长的成交额占比变动方向，衡量成长价值的相对活跃度变化。成交占比提升，则看多成长，信号为1；成交占比下降，则看多价值，信号为-1。1582552.83%1.64。图3：成交额动量策略：年化超额收益4%策略超额成长仓位策略超额成长仓位基准净值策略净值4.03.53.02.52.01.51.020100108201006082010010820100608201011102011041120110831201202062012070320121127201305032013092720140303201407252014122220150522201510212016031720160810201701092017061220171106201804032018082820190125201906282019112520200423202009172021022220210719202112152022051920221017202303142023080920240105202406112024110720250408202509012026012920260703

100%50%0%年化收益率年化波动率年化信息比率最大回撤年化收益率年化波动率年化信息比率最大回撤Calmar比率周胜率周赔率次胜率次赔率次均持仓天数信号次数策略净值7.33%22.66%0.3241.99%0.1752.73%1.0653.46%1.33--基准净值2.86%21.19%0.1348.18%0.0651.30%1.0554.72%1.07--策略超额4.34%6.58%0.6617.11%0.2554.27%1.0952.83%1.64251582、资金流维度：超大单占比+融资买盘比、超大单占比策略：衡量机构资金流向1-1。864657.47%2.94。图4：超大单占比策略：年化超额收益6%策略超额成长仓位策略超额成长仓位基准净值策略净值5.04.54.03.53.02.52.01.51.020100108201006082010010820100608201011102011041120110831201202062012070320121127201305032013092720140303201407252014122220150522201510212016031720160810201701092017061220171106201804032018082820190125201906282019112520200423202009172021022220210719202112152022051920221017202303142023080920240105202406112024110720250408202509012026012920260703

100%50%0%年化收益率年化波动率年化信息比率最大回撤年化收益率年化波动率年化信息比率最大回撤Calmar比率周胜率周赔率次胜率次赔率次均持仓天数信号次数策略净值9.22%21.91%0.4244.63%0.2153.80%1.0551.72%1.88--基准净值2.86%21.19%0.1348.18%0.0651.31%1.0549.43%1.44--策略超额6.18%6.57%0.9411.86%0.5254.87%1.1857.47%2.944686、融资买盘比策略：衡量杠杆资金流向我们通过成长与价值的融资买盘比，衡量杠杆资金在成长与价值上的流向。融资买盘比提升，则看多成长，信号为1；融资买盘比下降，则看多价值，信号为-1。1472256.08%1.6。图5：融资买盘比策略：年化超额收益5%策略超额成长仓位策略超额成长仓位基准净值策略净值

100%3.53.0

50%1.51.020100108201006082010010820100608201011102011041120110831201202062012070320121127201305032013092720140303201407252014122220150522201510212016031720160810201701092017061220171106201804032018082820190125201906282019112520200423202009172021022220210719202112152022051920221017202303142023080920240105202406112024110720250408202509012026012920260703年化收益率年化波动率年化信息比率最大回撤年化收益率年化波动率年化信息比率最大回撤Calmar比率周胜率周赔率次胜率次赔率次均持仓天数信号次数策略净值7.58%22.65%0.3344.00%0.1753.76%1.0754.05%1.45--基准净值2.86%21.19%0.1348.18%0.0652.46%1.0454.05%1.18--策略超额4.59%6.44%0.7111.20%0.4156.07%1.0756.08%1.60221473、基本面维度：净利润增速+股息比、净利润增速策略：衡量成长风格景气度3367.65%2.28。图6：净利润增速策略：年化超额收益4%策略超额成长仓位策略超额成长仓位基准净值策略净值

100%3.53.0

50%1.51.020100108201006082010010820100608201011102011041120110831201202062012070320121127201305032013092720140303201407252014122220150522201510212016031720160810201701092017061220171106201804032018082820190125201906282019112520200423202009172021022220210719202112152022051920221017202303142023080920240105202406112024110720250408202509012026012920260703年化收益率年化波动率 年化信息比率年化收益率年化波动率 年化信息比率最大回撤Calmar比率周胜率周赔率次胜率次赔率次均持仓天数信号次数策略净值 7.48% 22.54% 0.33 48.43% 0.15 54.05% 1.03 61.76% 1.65 - -基准净值 2.86% 21.19% 0.13 48.18% 0.06 51.63% 1.05 55.88% 1.48 - -策略超额 4.49% 6.57% 0.68 11.86% 0.38 55.02% 1.07 67.65% 2.28 119 33、股息比策略：衡量价值风格性价比号为-1。321244.60.715，66.67%1.82。图7：股息比策略：年化超额收益5%策略超额成长仓位策略超额成长仓位基准净值策略净值

100%3.02.52.0 50%1.51.020100108201006082010010820100608201011102011041120110831201202062012070320121127201305032013092720140303201407252014122220150522201510212016031720160810201701092017061220171106201804032018082820190125201906282019112520200423202009172021022220210719202112152022051920221017202303142023080920240105202406112024110720250408202509012026012920260703年化收益率年化波动率年化信息比率最大回撤年化收益率年化波动率年化信息比率最大回撤Calmar比率周胜率周赔率次胜率次赔率次均持仓天数信号次数策略净值7.65%22.17%0.3545.33%0.1752.68%1.0760.61%1.73--基准净值2.86%21.19%0.1348.18%0.0651.37%1.0448.48%1.94--策略超额4.66%6.58%0.7115.72%0.3052.68%1.1966.67%1.82124324、宏观维度：PPI-CPI分位+固定资产投资额+M1-M2分位、PPI-CPI分位策略：反映上游资源品的盈利改善PPI-CPI剪刀差反映了上游资源品与下游消费品之间的利润分配。我们通过PPI-CPIPPI-1。PPI-CPI667085.71%7.5。图8：PPI-CPI分位策略：年化超额收益4%策略超额成长仓位策略超额成长仓位基准净值策略净值

100%3.53.0

50%1.51.020100108201006082010010820100608201011102011041120110831201202062012070320121127201305032013092720140303201407252014122220150522201510212016031720160810201701092017061220171106201804032018082820190125201906282019112520200423202009172021022220210719202112152022051920221017202303142023080920240105202406112024110720250408202509012026012920260703年化收益率年化波动率年化信息比率最大回撤Calmar比率年化收益率年化波动率年化信息比率最大回撤Calmar比率周胜率周赔率次胜率次赔率次均持仓天数信号次数策略净值6.96%22.57%0.3142.11%0.1753.25%1.02100.00%---基准净值2.86%21.19%0.1348.18%0.0651.24%1.0471.43%1.49--策略超额3.99%6.59%0.6111.86%0.3453.84%1.0985.71%7.506706、固定资产投资额策略：反映传统经济的扩张意愿我们通过固定资产投资完成额同比的变动方向，衡量传统经济的扩张意愿，同比下行，则看多成长，信号为1；同比上行，则看多价值，信号为-1。994115.45%66%1.16。图9：固定资产投资额策略：年化超额收益5%策略超额成长仓位策略超额成长仓位基准净值策略净值4.03.53.02.52.01.51.020100108201006082010010820100608201011102011041120110831201202062012070320121127201305032013092720140303201407252014122220150522201510212016031720160810201701092017061220171106201804032018082820190125201906282019112520200423202009172021022220210719202112152022051920221017202303142023080920240105202406112024110720250408202509012026012920260703

100%50%0%年化收益率年化波动率年化信息比率最大回撤年化收益率年化波动率年化信息比率最大回撤Calmar比率周胜率周赔率次胜率次赔率次均持仓天数信号次数策略净值7.90%22.30%0.3541.76%0.1954.07%1.0151.00%1.56--基准净值2.86%21.19%0.1348.18%0.0651.24%1.0450.00%1.29--策略超额4.90%6.58%0.7415.45%0.3254.66%1.1166.00%1.164199、M1-M2分位策略：反映资金市场的风险偏好M1-M21-1。M1-M21723612.73%9.06。图10：M1-M2分位策略：年化超额收益5%策略超额成长仓位策略超额成长仓位基准净值策略净值

100%3.53.0

50%1.51.020100108201006082010010820100608201011102011041120110831201202062012070320121127201305032013092720140303201407252014122220150522201510212016031720160810201701092017061220171106201804032018082820190125201906282019112520200423202009172021022220210719202112152022051920221017202303142023080920240105202406112024110720250408202509012026012920260703年化收益率年化波动率年化信息比率最大回撤Calmar比率年化收益率年化波动率年化信息比率最大回撤Calmar比率周胜率次胜率次赔率次均持仓天数信号次数策略净值7.69%22.29%0.3443.87%0.1852.07%1.09 2.97--基准净值2.86%21.19%0.1348.18%0.0651.24%1.04 1.20--策略超额4.69%6.58%0.7112.73%0.3753.60%1.14 9.06236175、综合策略：动态赋权模型年化超额收益10%49（0.94；CI85.16；129.0。价格动量成交额动量超大单占比融资买盘比价格动量成交额动量超大单占比融资买盘比净利润增速股息比PPI-CPI分位固定资产投资额M1-M2分位年化收益率6.09%4.34%6.18%4.59%4.49%4.66%3.99%4.90%4.69%年化波动率6.57%6.58%6.57%6.44%6.57%6.58%6.59%6.58%6.58%年化信息比率0.930.660.940.710.680.710.610.740.71最大回撤13.25%17.11%11.86%11.20%11.86%15.72%11.86%15.45%12.73%Calmar比率0.460.250.520.410.380.300.340.320.37周胜率53.86%54.27%54.87%56.07%55.02%52.68%53.84%54.66%53.60%周赔率1.231.091.181.071.071.191.091.111.14次胜率48.66%52.83%57.47%56.08%67.65%66.67%85.71%66.00%61.11%次赔率2.251.642.941.602.281.827.501.169.06平均持仓天数2225462211912467041236信号次数18615886147333269917从子策略信号相关性来看，价格动量、成交额动量与融资买盘比三者之间相关性较高。其余则策略之间相关性偏低。成交额动量超大单占比融资买盘比净利润增速成交额动量超大单占比融资买盘比净利润增速股息比PPI-CPI分位固定资产投资额M1-M2分位价格动量41%28%45%8%5%2%21%1%成交额动量33%78%12%10%2%11%3%超大单占比36%16%-5%18%6%17%融资买盘比10%10%4%14%4%净利润增速5%23%1%12%股息比11%8%21%PPI-CPI分位-4%37%固定资产投资额2%、等权综合模型：年化超额收益8%，次胜率60%，次赔率2.7我们将9个子策略信号等权聚合，构建等权信号。等权综合策略全区间共触发14351.5益844，1.2860%2.65。图11：等权综合策略：年化超额收益8%策略超额成长仓位策略超额成长仓位基准净值策略净值

100%6.55.5

50%2.51.520100108201006082010010820100608201011102011041120110831201202062012070320121127201305032013092720140303201407252014122220150522201510212016031720160810201701092017061220171106201804032018082820190125201906282019112520200423202009172021022220210719202112152022051920221017202303142023080920240105202406112024110720250408202509012026012920260703年化收益率年化波动率年化信息比率最大回撤年化收益率年化波动率年化信息比率最大回撤Calmar比率周胜率周赔率次胜率次赔率次均持仓天数信号次数轮动策略11.54%22.45%0.5142.31%0.2754.07%1.0655.65%1.53--轮动基准2.86%21.19%0.1348.18%0.0651.24%1.0453.04%1.14--策略超额8.44%6.57%1.2811.86%0.7156.91%1.2360.00%2.6535114分年度来看，2010年以来，仅2010年、2013年、2016年略微跑输基准策略，其余年份均跑赢。年份轮动策略轮动基准策略超额年份轮动策略轮动基准策略超额2010-13.08%-10.18%-3.23%2011-16.67%-25.39%11.68%年份轮动策略轮动基准策略超额201217.58%15.68%1.63%2013-2.75%-2.13%-0.63%201471.01%49.71%14.23%201517.34%14.46%2.52%2016-5.60%-5.37%-0.25%201720.27%13.01%6.42%2018-23.99%-29.97%8.54%201945.94%37.20%6.37%202033.14%24.32%7.10%202116.14%1.40%14.54%2022-4.39%-21.24%21.39%20232.86%-11.87%16.71%202423.14%13.39%8.60%202546.90%24.39%18.09%2026(截至7.31)3.11%-3.53%6.89%2010-2026.711.54%2.86%8.44%5756.14%2.8757次，其中，3663.16%2.51。图12：历次看多成长的超收益 图13：历次看多价值的超收益、动态赋权模型：年化超额收益10%，次胜率66%，次赔率2.8考虑到不同阶段，成长价值轮动的驱动主导因素不同。为了使轮动模型更灵活适应市场环境变动，我们采用约束优化动态调整各子策略权重。我们将成长/价值周超额收益绝对值作为轮动策略最优解，即后验视角下可获取的最大成长价值轮动收益。通过最小化过去120周组合信号收益与最优解收益间的欧氏距离，动态调整子策略权重。𝑡min‖|𝑅𝑡|−∑𝑤𝑖𝑆𝑖𝑅𝑡‖𝑡

𝑠.𝑡.𝑖 26%≤𝑤𝑖≤16%1𝑇𝑤=1𝑡其中，𝑅𝑡为成长/价值周超额收益，𝑤𝑖为子策略权重，𝑆𝑖为子策略打分。𝑡图14：动态赋权模型9个子策略的权重变化价格动量成交额动量超大单占比融资买盘比净利润增速股息比PPI-CPI分位固定资产投资额M1-M2分位100%90%80%70%60%50%40%30%20%10%0%20100108201107292013030820140919201604082017110320190531202012182022070820240208202508293513.38%10.23%信息比率1.56，最大回撤10%，次胜率66.38%，次赔率2.84。图15：动态赋权策略策略：年化超额收益10%策略超额成长仓位策略超额成长仓位基准净值策略净值8.57.56.55.54.53.52.51.520100108201006082010010820100608201011102011041120110831201202062012070320121127201305032013092720140303201407252014122220150522201510212016031720160810201701092017061220171106201804032018082820190125201906282019112520200423202009172021022220210719202112152022051920221017202303142023080920240105202406112024110720250408202509012026012920260703

100%50%0%年化收益率年化波动率年化信息比率最大回撤年化收益率年化波动率年化信息比率最大回撤Calmar比率周胜率周赔率次胜率次赔率次均持仓天数信号次数轮动策略13.38%22.41%0.6044.81%0.3054.90%1.0661.21%1.35--轮动基准2.86%21.19%0.1348.18%0.0651.24%1.0456.90%0.99--策略超额10.23%6.56%1.5610.00%1.0258.32%1.2966.38%2.8435115分年度来看，2010年以来，仅2010年、2013年、2016年略微跑输基准策略，其余年份均跑赢。年份轮动策略轮动基准策略超额年份轮动策略轮动基准策略超额2010-13.08%-10.18%-3.23%2011-16.67%-25.39%11.68%201216.80%15.68%0.96%2013-2.75%-2.13%-0.63%201470.92%49.71%14.17%2015.58%14.46%4.48%2016-7.65%-5.37%-2.41%201725.21%13.01%10.80%2018-23.03%-29.97%9.91%201953.03%37.20%11.53%202032.66%24.32%6.71%202129.13%1.40%27.35%2022-2.37%-21.24%23.95%20233.58%-11.87%17.53%202427.14%13.39%12.13%202544.11%24.39%15.86%2026(截至7.31)12.68%-3.53%16.81%2010-2026.713.38%2.86%10.23%5764.91%2.8258次，其中，3967.24%2.93。图16：历次看多成长的超收益 图17：历次看多价值的超收益图18：贡献主要收益的成长与价值做多窗口成长仓位（收益贡献高）价值仓位成长仓位（收益贡献高）价值仓位价值仓位（收益贡献高）国证成长/国证价值成长仓位1.00.90.80.70.620100108201006082010010820100608201011102011041120110831201202062012070320121127201305032013092720140303201407252014122220150522201510212016031720160810201701092017061220171106201804032018082820190125201906282019112520200423202009172021022220210719202112152022051920221017202303142023080920240105202406112024110720250408202509012026012920260703、成长价值代理指标讨论：各代理指标均有效：策略vs策略300vs30； · 3（50%+50%50）vs（33.3%+33.3%+33.10028.93%1.3363.79%2.92334.13%2.39，最大回撤15.35%，次胜率77.27%，次赔率3.69。图19：不同代理指标轮动策略超额表现：策略3年化超额收益34%策略1策略1超额策略2超额策略3超额6.85.84.83.82.81.820100108201007092010010820100709201101062011070620111229201207032012122520130703201312272014062720141222201506192015121620160615201612092017061220171204201806042018112820190530201911252020052620201120202105212021111720220