SINOLINK SECURITIES(SH:600109) SINOLINK SECURITIES·2025-04-07 14:27Quantitative Models and Construction Methods - Model Name: Macro Timing Strategy Construction Idea: The model evaluates macroeconomic and liquidity signals to determine equity allocation recommendations[28] Construction Process: 1. The model uses dynamic macro event factors to assess economic growth and monetary liquidity signals[28] 2. Signal strength is calculated for each dimension, such as economic growth (0%) and monetary liquidity (50%) for April[28][29] 3. Equity allocation is recommended based on aggregated signals, with March equity allocation set at 25%[28][29] Evaluation: The model provides stable configuration recommendations based on macroeconomic and liquidity conditions[28][29] - Model Name: Micro-Cap Timing Model Construction Idea: The model uses risk warning indicators and trend signals to monitor micro-cap stock performance[32] Construction Process: 1. Trend signals are derived from the relative net value of micro-cap stocks and the rolling 20-day slope of closing prices[32][38][40] 2. Risk warning indicators include: - Ten-year government bond yield YoY (-20.45%) compared to a risk threshold of 0.3[32][33][34] - Volatility congestion YoY (-50.09%) compared to a risk threshold[32][33][35] Evaluation: The model effectively monitors risk and provides insights into micro-cap stock trends[32][33][34] Model Backtesting Results - Macro Timing Strategy: - Year-to-date return: 1.06% - Benchmark (Wind All A): 1.90%[28] - Micro-Cap Timing Model: - Ten-year government bond yield YoY: -28.69%[33] - Volatility congestion YoY: -50.09%[33] Quantitative Factors and Construction Methods - Factor Name: Stock Selection Factors Construction Idea: Eight major stock selection factors are tracked across different stock pools[43] Construction Process: 1. Factors include value, size, growth, reversal, quality, technical, volatility, and consensus expectations[43][55] 2. Definitions: - Value: Metrics like SP_TTM (revenue/market cap) and EP_FY0 (expected net profit/market cap)[55] - Size: LN_MktCap (logarithm of market cap)[55] - Growth: ROE_FTTM (expected net profit/shareholder equity)[55] - Quality: OCF2CurrentDebt (operating cash flow/current debt)[55] - Consensus Expectations: TargetReturn_180D (expected price return)[55] - Technical: Skewness_240D (240-day return skewness)[55] - Volatility: IV_FF (Fama-French residual volatility)[55] - Reversal: Price_Chg120D (120-day return)[55] Evaluation: Factors provide diverse perspectives for stock selection and portfolio optimization[43][55] - Factor Name: Convertible Bond Factors Construction Idea: Factors are derived from the relationship between convertible bonds and their underlying stocks[47] Construction Process: 1. Factors include: - Stock Consensus Expectations - Stock Growth - Stock Financial Quality - Stock Value - Convertible Bond Valuation (e.g., parity premium rate)[47][50][51] Evaluation: Factors effectively capture convertible bond valuation and stock-related dynamics[47][50] Factor Backtesting Results - Stock Selection Factors: - IC Mean (All A Stocks): - Value: 16.95% - Size: 14.47% - Growth: 0.93% - Reversal: 9.10% - Quality: 1.75% - Technical: 3.90% - Volatility: 5.70% - Consensus Expectations: 4.29%[45] - Multi-Long-Short Returns (All A Stocks): - Value: 1.42% - Size: 1.84% - Growth: 0.77% - Reversal: 0.30% - Quality: 0.02% - Technical: 0.23% - Volatility: 0.13% - Consensus Expectations: 1.05%[45] - Convertible Bond Factors: - Multi-Long-Short Returns: - Stock Consensus Expectations: Positive - Stock Growth: Positive - Stock Financial Quality: Positive - Stock Value: Positive - Convertible Bond Valuation: Positive[47][50][51]