Quantitative Models and Construction Methods Model Name: Six-Cycle Model of the Chinese Economy - Model Construction Idea: The model defines the Chinese economy into six cycles based on three factors: monetary, credit, and growth[1][2] - Model Construction Process: 1. Monetary Factor: Core policy rate supplemented by market rates, calculated using a diffusion index based on 90-day changes in key rates[2] 2. Credit Factor: Focuses on medium and long-term loans to reflect real financing needs, calculated using the pulse of medium and long-term loans[2] 3. Growth Factor: Uses PMI as the primary indicator due to its comprehensive coverage and timeliness[2] 4. Cycle Division: The economy is divided into six cycles: credit expansion, economic recovery, monetary tightening, credit tightening, economic slowdown, and monetary expansion[2][3] - Model Evaluation: The model effectively captures the cyclical nature of the Chinese economy and provides a structured approach to asset allocation[1][2][3] Model Backtesting Results - Six-Cycle Model: - Annualized return since 2013: 7.9% - Annualized volatility: 2.6% - Maximum drawdown: 2.9% - Sharpe ratio: 3.04 - Absolute return in 2024: 8.6%[3][4][5] Quantitative Factors and Construction Methods Factor Name: Monetary Factor - Factor Construction Idea: Uses policy rates as the core, supplemented by market rates to fill gaps[2] - Factor Construction Process: 1. Data Selection: Key policy rates and market rates[2] 2. Scoring: Assign scores based on 90-day changes in rates[2] 3. Calculation: Diffusion index calculated as the average score of policy tools and market rates[2] - Formula: - Factor Evaluation: Provides a clear indication of monetary policy direction and its impact on the economy[2] Factor Name: Credit Factor - Factor Construction Idea: Focuses on medium and long-term loans to reflect real financing needs[2] - Factor Construction Process: 1. Data Selection: Medium and long-term loan data[2] 2. Calculation: Pulse of medium and long-term loans calculated as a 12-month rolling sum and year-over-year change[2] 3. Scoring: Direction factor based on 3-month changes[2] - Formula: - Factor Evaluation: Effectively captures the credit demand and its impact on asset performance[2] Factor Name: Growth Factor - Factor Construction Idea: Uses PMI as the primary indicator due to its comprehensive coverage and timeliness[2] - Factor Construction Process: 1. Data Selection: Manufacturing and non-manufacturing PMI, Caixin PMI[2] 2. Calculation: PMI pulse calculated as a 12-month rolling average and year-over-year change[2] 3. Scoring: Direction factor based on 3-month changes[2] - Formula: - Factor Evaluation: Provides a timely and comprehensive measure of economic growth[2] Factor Backtesting Results - Monetary Factor: - Annualized return in expansion: 12.8% - Annualized return in contraction: -4.0%[2][3] - Credit Factor: - Annualized return in expansion: 15.6% - Annualized return in contraction: -2.0%[2][3] - Growth Factor: - Annualized return in expansion: 10.4% - Annualized return in contraction: -3.2%[2][3]
量化专题报告：中国经济六周期模型与多资产策略应用
国盛证券·2024-12-29 05:23