金融工程月报：风格及行业观点月报-2025-04-01

• Model Name: Macro + Price-Volume Dual-Drive Large-Cap Rotation Strategy - Model Construction Idea: Integrate effective factors from macroeconomic and micro price-volume dimensions to drive large-cap style rotation[6] - Model Construction Process: - Combine signals from various factors such as monetary flow, PMI quarterly average, social financing weighted year-on-year, China-US interest rate spread, macro adjustment momentum, narrow style crowding, and broad large-cap crowding[7] - Assign signal values: 1 for large-cap signal, -1 for small-cap signal, 0 for no effective signal[7] - Formula: $ \text{Comprehensive Score} = \sum \text{Factor Signals} $ - Allocation: - If comprehensive score > 0, allocate fully to CSI 300 Index - If comprehensive score < 0, allocate fully to CSI 1000 Index - If comprehensive score = 0, equally allocate to CSI 300 and CSI 1000 Index[7] - Model Evaluation: The backtest win rate for Q1 2025 is 82.22%[6] - Model Name: Macro Price-Volume Dual-Drive Value-Growth Rotation Strategy - Model Construction Idea: Integrate effective factors from macroeconomic and micro price-volume dimensions to drive value-growth style rotation[11] - Model Construction Process: - Combine signals from various factors such as PMI new orders weighted month-on-month, PPI-CPI quarterly average difference, 1Y government bond quarterly average difference, 3M US bond level, macro adjustment momentum, style crowding, and market sentiment[12] - Assign signal values: 1 for value signal, -1 for growth signal, 0 for no effective signal[12] - Formula: $ \text{Comprehensive Score} = \sum \text{Factor Signals} $ - Allocation: - If comprehensive score > 0, allocate fully to CSI Value Index - If comprehensive score < 0, allocate fully to CSI Growth Index - If comprehensive score = 0, equally allocate to CSI Value and CSI Growth Index[12] - Model Evaluation: The backtest win rate for Q1 2025 is 77.78%[11] - Factor Name: Composite Factor Strategy - Factor Construction Idea: Integrate factors from historical fundamentals, expected fundamentals, sentiment, price-volume technicals, and macroeconomic dimensions to score industries[2] - Factor Construction Process: - Select 5 industries from 30 primary industries in CITIC, construct an equal-weighted long portfolio[17] - Evaluate performance based on absolute and excess returns[20] - Factor Evaluation: Composite factor strategy's excess return for March is 1.45%[2] - Factor Name: Single Factor Multi-Strategy - Factor Construction Idea: Use individual factors from historical fundamentals, expected fundamentals, sentiment, price-volume technicals, and macroeconomic dimensions to score industries[2] - Factor Construction Process: - Select 5 industries from 30 primary industries in CITIC, construct an equal-weighted long portfolio[17] - Evaluate performance based on absolute and excess returns[20] - Factor Evaluation: Single factor multi-strategy's excess return for March is 2.52%[2] Model Backtest Results - Macro + Price-Volume Dual-Drive Large-Cap Rotation Strategy - Interval Return: -1.21%[9] - Annualized Return: -4.92%[10] - Annualized Volatility: 14.80%[10] - Maximum Drawdown: 5.40%[10] - Sharpe Ratio: -0.33[10] - Calmar Ratio: -0.91[10] - Macro Price-Volume Dual-Drive Value-Growth Rotation Strategy - Interval Return: 0.46%[15] - Annualized Return: 1.94%[16] - Annualized Volatility: 17.51%[16] - Maximum Drawdown: 5.23%[16] - Sharpe Ratio: 0.11[16] - Calmar Ratio: 0.37[16] Factor Backtest Results - Composite Factor Strategy - Last Month Absolute Return: 1.34%[20] - Last Month Excess Return: 1.45%[20] - 2025 Absolute Return: 6.37%[20] - 2025 Excess Return: 5.94%[20] - Single Factor Multi-Strategy - Last Month Absolute Return: 2.41%[20] - Last Month Excess Return: 2.52%[20] - 2025 Absolute Return: 4.29%[20] - 2025 Excess Return: 4.05%[20]