本报告是摩根大通亚太量化策略团队关于亚太（除日本外）股票风格定位的月度研究。7月动量因子崩塌、8月小幅风险反弹之后，9月风格轮动进一步转向防御：市净率、低波动、盈利收益率与股息收益率成为表现最好的因子，高Beta表现最弱；动量因子虽为正，但涨幅温和，未能恢复其主导地位。量化宏观指标（QMI）的战术与战略两个版本均已进入"放缓"阶段，并逼近"收缩"区间，风险偏好正从高波动风格向外转移，这一环境有利于质量、低波动与混合价值。因此维持"中性动量、超配质量"的核心配置，强调以合理价格买入质量，即以盈利收益率和股息收益率作为估值锚；低波动继续作为对冲，Beta保持中性，同时回避估值昂贵的动量敞口。风格与市场层面的表现亦显示各板块普遍防御化，仅信息技术与公用事业例外。
After the Momentum crash in July and the small risk bounce in August, the September style rotation turned more defensive yet again in Asia ex-Japan: Price-to-Book was the best factor, followed by Low Vol, Earnings Yield and Dividend Yield, while High Beta was the weakest. Momentum was positive but only just, suggesting the bounce has not restored confidence in the current Momentum leadership. Quality is supported by the QMI rotation, but we still want it at a reasonable price. Both the tactical and strategic versions of the QMI are heading toward a Slowdown, favoring OW Quality, blended Value via Earnings Yield and Dividend Yield, and Low Vol. Momentum volatility has dropped but so have returns, and the factor remains very negative over the last three months, implying a lower probability of immediate upside. Valuations still support selectivity: Low Vol remains cheap relative to history, Quality is expensive on a simple P/B spread but reasonable versus its own long-term history, while