有色指数偏离修复模型效果点评

Group 1 - The core viewpoint of the report indicates that the model assumes a repeated cycle of price deviation and regression relative to a reference benchmark, with the degree of deviation having limits, but without requiring a clear periodicity for each deviation-regression cycle [5][6] - The model's applicable target is the Shenwan Primary Nonferrous Metals Index relative to the CSI 300 Index, with a tracking period from January 4, 2010, to March 18, 2025 [5][6] - The total return of the interval strategy is 4.03%, while the buy-and-hold return of the target is 4.87%, resulting in an excess return of -0.85% [5] Group 2 - The model's net value showed a significant downward trend until May 2020, followed by a sharp increase and then entering a phase of volatility [6] - The maximum drawdown recorded is 60.42%, with the longest drawdown period lasting 3448 trading days [5][6] - The model's long-term performance indicates that it has been in a substantial drawdown range, suggesting limited reference value for asset allocation in the nonferrous metals index [6]