China Quant Strategy: Growth leadership returned, but lacked broad confirmation; keep a defensive Value and Quality tilt

August reversed part of July's defensive rotation, with Momentum and Growth returning +4.9% and +4.2% L/S, respectively, while Quality edged down 0.8%, Value fell 3.9% and Low Vol fell 10.3%. The weakness in the latter styles was driven mainly by strong rebounds among stocks in their short legs. However, we think the market conditions offer limited confirmation for chasing the reversal: the valuation ratio between Expensive and Cheap stocks widened as Growth and Momentum rebounded in August, while the macro backdrop still argues for valuation discipline;