通过估值、流动性和拥挤度构建量化择时策略：“2+1”风格择时模型

/CONTENTS 040503020106 1.1 大盘风格：沪深300和中证500指数；小盘风格：中证1000指数； 红利风格：中证红利指数；成长风格：国证成长指数；价值风格：国证价值指数； 混合风格：大盘成长、大盘价值、中盘成长、中盘价值、小盘成长、小盘价值。 1.2     1.3  LEVEL2      2.1 PB PE PBPE  2.2  13005310%8%5%3%90%92%95%97% / 2.3  3005001000PB90%10%6090 2.3 2.4  11%30010.73%50010009% 10003009%7%5007%SHARP300SHARP0.705001000SHARP0.60 2.4 300 20112012201320142018202052022122024220249 20156201820213 300 10.73%27.66%20157122021410SHARP0.73 2.4 20112012201320142016520182019202062021420233 20156201720182024620251 11.64%29.59%20157201662019SHARP0.78 3.1   TICK 3.2   515%12%10%8%5%85%88%90%92%95% / 3.3 10%5071%8%  40/5040 3.4  / 30012%50011.57%10009.17%100030011%50010%8%SHARP300SHARP0.705001000SHARP0.60 2%5004.33%  3.4 300 2011122013620143201582016120181020203202242022102024120249202512023 300 12.98%27.56%2016201920217SHARP0.74 3.4 500 2011122013620143201592016120181020195202242022102024220249 500 11.57%31.72%201562018920196202010SHARP0.58 4.1  4.2  动量均线改进的拥挤度因子构建：  4.3 20 20 4.4 2015201620183202032021202311202410  50010%7%5006% 5.1 /PBPB 75%25% 5.2 300 2011122012122014720158201612018102020320223202242022102024120249202512023 20114201562018220185201942020320213202410 5.2 500300 5002016 2016201820246 5.3 50023.05%20.00%30017%100012.82% 50021.98%100030015%13%SHARP500SHARP1.20300SHARP1.001000SHARP0.70 30010005%-10%500201520162017 5.4 17.88%16.22%23.51%SHARP1.07 72%201820217.98%6.00%86%2017 5.4 23.05%21.98%21.47%SHARP1.22 93%201893%2014 5.4 12.82%16.74%30.55%SHARP0.66 75%201720184.79%3.09%88%2021 5.4 18.78%14.50%20.28%SHARP1.15 86%201120182.77%11.93%93%2017 5.4 18.69%15.43%32.66%SHARP1.04 79%20162018202112.45%16.44%1.52%79%201720202021 5.4 20.00%13.85%13.56%SHARP1.23 86%201820221.51%0.32%86%20172024 5.5   5.5 19.86%20.63%19.17%19.37%21.10%20.47%93% 15.48%13.15%18.45%15.92%19.34%15.14%86% 5.5 SHARPSHARP1.20SHARP1.10SHARP1.00 5%-10%202042016 1.投资建议的比较标准 公司股价（或行业指数）的涨跌幅相对同期的沪深300指数涨跌幅为基准。以报告发布后的12个月内的市场表现为比较标准，报告发布日后的12个月内的投资评级分为股票评级和行业评级。 2.投资建议的评级标准 300指数的涨跌幅。报告发布日后的12个月内的公司股价（或行业指数）的涨跌幅相对同期的沪深 THANKS FORLISTENING