A股战术资产配置策略：五指标定量择时模型

Group 1 - The core viewpoint of the report emphasizes that short-selling strategies serve as an exit mechanism for fundamental strategies, indicating that negative technical signals can lead to a reduction in allocation or selling actions even when fundamental indicators appear positive [1] - The report aims to construct a quantitative timing model for the Shanghai Composite Index to enhance the accuracy of monthly trend judgments, thereby supporting tactical asset allocation strategies [14][39] - The current signals from the model indicate a cautious stance, as no bullish signals have been observed since August 2023, with fundamental indicators showing a general decline [15] Group 2 - The report outlines a quantitative timing model that integrates both fundamental and technical analyses, aiming to capture market trends driven by fundamental factors and significant fluctuations not explained by fundamentals [24] - The fundamental timing model is based on three key indicators: medium to long-term loan growth, M1 growth or M1-PPI growth, and the US dollar index, which collectively inform the timing strategy for the Shanghai Composite Index [30][32] - Historical backtesting of the model shows a long-term annualized return of 16.85%, a win rate of 65%, and a Sharpe ratio of 0.98 since December 2001, with only two years of slight losses over the past 23 years [8][24] Group 3 - The technical timing model focuses on valuation and volume-price indicators, with a bullish strategy requiring a low price-to-book ratio and significant increases in both volume and closing prices [72] - The report highlights that the technical model can provide insights into market dynamics that may not align with fundamental indicators, particularly during periods of market exuberance [72][79] - The report also discusses the importance of cross-border capital flow indicators, specifically the US dollar index, in influencing the timing strategy for the Shanghai Composite Index [63][64]