Key points of the report
Build a "money credit profit" tracking framework, and use dr007 to represent the monetary environment, social finance to represent the credit, and industrial enterprise profit to represent the enterprise profit. The optimal strategies in various stages since 2010 are as follows: ① recession period (under tight money, tight credit and profit): ten times stock, quantitative second innovation and peg; ② Depression period (with wide currency, tight credit and profit): pb-roe; ③ Recovery period (currency width, credit width and profit): ten times stock and reversal strategy; ④ In the early stage of prosperity (currency width, credit width and profitability): quantify the second new and tenfold shares; ⑤ In the later period of prosperity (tight currency, wide credit and profitability): the fund has heavy positions in stocks and buys strong stocks; ⑥ Peaking (tight currency, tight credit and profitability): heavy position stocks of the fund.
Starting from the idea of strategy construction, this paper explores the pricing logic behind the rate of return: ① growth strategy (Quantitative second innovation & ten times stock): the company's profitability is the source of excess return; ② High Dividend: the price comparison effect of stock and bond assets; ③ Peg and pb-roe: safety margin consideration under the idea of "seeking stability"; ④ Momentum strategy: the game of "trend investment" and "mean reversion"; ⑤ Buying fund heavyweight stocks: keep warm in the weak market before 2019, and the dominant style after 2019.
In the second half of 2022, the strategic choices under different scenarios: ① monetary easing and smooth transmission to credit and profit: tenfold stock and reversal strategy; ② Loose money, but poor credit and profit transmission (liquidity trap): PEG and fund heavy positions; ③ Neutral currency, flat credit, zero profit increase: high dividend, pb-roe; ④ Monetary tightening, credit & earnings continued to decline: tenfold shares, PEG, pb-roe.
Text summary
Tracking framework: currency credit profit transmission cycle construction. ① Transmission logic: money comes first. With the recovery of entities, wide money will be transmitted to wide credit, which will eventually drive the recovery of profits. ② Dr007 (replaced by 3-month Shibor before 2015) represents the monetary environment, social finance (replaced by credit before 2015) represents the credit, and the profit of industrial enterprises (replaced by the parent net profit of all a non-financial enterprises before 2015) represents the corporate profit. Since 2010, the trend of money, credit and profit, It basically conforms to the law of dr007 (3-month Shibor) leading social finance (credit) leading industrial enterprise profit (net profit attributable to parent of all a non-financial enterprises). ③ Thus, six quadrants under the framework of money credit profit transmission are constructed.
Historical recovery since 2010: strategic performance under the framework of currency credit profit. On the whole, secondary new shares and tenfold shares are the best, followed by PEG and pb-roe. Specific to the optimal strategy of each stage: ① recession period (under tight currency, tight credit and profit): ten times stock, quantitative second innovation and peg; ② Depression period (with wide currency, tight credit and profit): pb-roe; ③ Recovery period (currency width, credit width and profit): ten times stock and reversal strategy; ④ In the early stage of prosperity (currency width, credit width and profitability): quantify the second new and tenfold shares; ⑤ In the later period of prosperity (tight currency, wide credit and profitability): the fund has heavy positions in stocks and buys strong stocks; ⑥ Peaking (tight currency, tight credit and profitability): heavy position stocks of the fund.
Behind the rate of return: explore the pricing logic from the strategy construction idea. ① The growth strategy (Quantitative second innovation & ten times stock) outperforms in most stages. The quality of the company is the main consideration of investment most of the time. We should be vigilant against the stock price correction caused by the initial stage of monetary tightening. ② When the high dividend strategy is dominant, the equity risk premium rises or is at a high level, and the stock performance price ratio appears. ③ The excess return of PEG and pb-roe comes from the consideration of safety margin under the idea of "seeking stability". ④ Behind the buying of strong stocks and reversal strategy is the game of "trend investment" and "mean reversion". ⑤ Buy the fund's heavily held stocks, seek market consensus before 2019, build a safety margin, and dominate the style from 2019 to 2020.
The second half of 2022: Strategy Selection under different scenarios, follow the trend. Based on the current possible choice of monetary policy and the subsequent credit and profit transmission logic, different strategies are selected under various scenario assumptions. ① Monetary easing, credit recovery, profit rebounded slightly after Q2 hit the bottom: tenfold stocks, reversal strategy; ② Monetary easing, but failed to effectively transmit to credit and profit, that is, liquidity trap: PEG, fund heavy position stocks; ③ Neutral currency, flat credit bottom and weak profitability: high dividend and pb-roe; ④ Monetary tightening, credit & earnings continued to decline: tenfold shares, PEG, pb-roe.
Risk warning: policy promotion is not as expected; Historical experience does not represent the future.
