财信金工三维情绪模型

• The report introduces the "Caixin JinGong Three-Dimensional Sentiment Model," which is based on the Dow Theory's triple movement principle. It constructs a signal system from three dimensions: sentiment temperature, sentiment expectation, and sentiment concentration, corresponding to different market frequencies: high-frequency (days to weeks), medium-frequency (weeks to months), and low-frequency (months to years) [6][7][9] - The sentiment expectation dimension uses the futures basis rate and the inverse of the option's PCR (Put-Call Ratio) to reflect short-term market sentiment. The sentiment temperature dimension quantifies market fund activity using the main force buying rate. The sentiment concentration dimension measures the correlation of multiple assets in the A-share market using the first principal component variance contribution rate of the CITIC Level-3 industry index [7][8] - The model's application scenarios are diverse: it can serve as a risk warning tool, a risk preference indicator, or a guide for A-share equity position operations. High positions indicate low market risk, while low positions suggest high risk. The model helps investors control drawdowns in bear and volatile markets and optimize asset allocation [6][9] - The long-term performance of the Caixin JinGong Three-Dimensional Sentiment Strategy shows significant advantages over the HS300 holding strategy. From 2010 to 2025, the strategy achieved an annualized return of 6.0%, a maximum drawdown of 26.93%, and a Sharpe ratio of 0.3969, compared to the HS300's 0.69% annualized return, 46.50% maximum drawdown, and 0.1288 Sharpe ratio [6][12][14] - The strategy's performance in specific years (2011, 2013, 2015, 2018, 2022, 2023, and 2024) consistently shows strong risk control and return potential. For example, in 2011, the strategy's maximum drawdown was 13.45% compared to HS300's 31.19%, and its annualized return was -3.32% compared to HS300's -26.41% [17][20][23][27][31][35][39] - The model's core logic is to dynamically adjust asset positions based on market sentiment changes, effectively controlling drawdowns in bear and volatile markets. It is designed for risk warning rather than actively creating alpha returns, making it perform better than the benchmark in bear and volatile markets but often underperform in bull markets due to conservative position adjustments [6][15][40]