A股趋势与风格定量观察20250420：信贷修复支撑盈利改善，短期维持看多

Quantitative Models and Construction Methods - Model Name: Short-term Timing Strategy Model Construction Idea: The model uses historical data and statistical rules to predict short-term market trends based on signals from fundamental, valuation, sentiment, and liquidity indicators[19][23][30]. Model Construction Process: 1. Fundamental Signals: - Manufacturing PMI percentile: 59.32%, neutral signal. - Long-term loan growth rate percentile: 0.00%, cautious signal. - M1 growth rate (HP filter detrended): 69.49%, optimistic signal[20][23]. 2. Valuation Signals: - PE median percentile: 77.75%, neutral signal. - PB median percentile: 18.78%, optimistic signal[20][23]. 3. Sentiment Signals: - Beta dispersion percentile: 35.59%, optimistic signal. - Volume sentiment score percentile: 7.94%, cautious signal. - Volatility percentile: 97.35%, neutral signal[21][23]. 4. Liquidity Signals: - Monetary rate percentile: 15.25%, optimistic signal. - Exchange rate expectation percentile: 70.34%, cautious signal. - 5-day average net financing percentile: 0.99%, optimistic signal[21][23]. Model Evaluation: The model has shown significant improvement in annualized returns and reduced maximum drawdown compared to the benchmark strategy[22][25]. - Model Name: Growth-Value Style Rotation Model Model Construction Idea: The model allocates between growth and value styles based on profitability, interest rate, and credit cycle trends, as well as valuation and sentiment differences[32][33]. Model Construction Process: 1. Fundamental Signals: - Profitability cycle slope: 4.17, favoring growth. - Interest rate cycle level: -4.58, favoring growth. - Credit cycle change: -8.33, favoring value[34]. 2. Valuation Signals: - PE difference percentile: 15.50%, favoring growth. - PB difference percentile: 10.65%, favoring growth[34]. 3. Sentiment Signals: - Turnover difference percentile: 18.69%, favoring value. - Volatility difference percentile: 64.96%, favoring balanced allocation[34]. Model Evaluation: The model has consistently outperformed the benchmark in most years, with higher annualized returns and lower drawdowns[33][36]. - Model Name: Small-Cap vs. Large-Cap Style Rotation Model Model Construction Idea: The model allocates between small-cap and large-cap styles based on profitability, interest rate, and credit cycle trends, as well as valuation and sentiment differences[37][38]. Model Construction Process: 1. Fundamental Signals: - Profitability cycle slope: 4.17, favoring small-cap. - Interest rate cycle level: -4.58, favoring small-cap. - Credit cycle change: -8.33, favoring large-cap[39]. 2. Valuation Signals: - PE difference percentile: 71.96%, favoring large-cap. - PB difference percentile: 95.86%, favoring large-cap[39]. 3. Sentiment Signals: - Turnover difference percentile: 66.80%, favoring small-cap. - Volatility difference percentile: 93.28%, favoring large-cap[39]. Model Evaluation: The model has shown significant improvement in annualized returns and reduced drawdowns compared to the benchmark strategy[38][40]. - Model Name: Four-Dimensional Style Rotation Model Model Construction Idea: Combines growth-value and small-cap-large-cap rotation models to allocate across four styles: small-cap growth, small-cap value, large-cap growth, and large-cap value[42]. Model Construction Process: - Allocation recommendation: Small-cap growth 37.5%, small-cap value 12.5%, large-cap growth 37.5%, large-cap value 12.5%[42]. Model Evaluation: The model has consistently generated significant excess returns over the benchmark, with higher annualized returns and lower drawdowns[43]. --- Model Backtesting Results - Short-term Timing Strategy: - Annualized return: 16.16% - Annualized volatility: 14.80% - Maximum drawdown: 27.70% - Sharpe ratio: 0.9519 - Monthly win rate: 67.79% - Year-to-date return (2025): 1.55%[22][25][29]. - Growth-Value Style Rotation Model: - Annualized return: 11.00% - Annualized volatility: 20.99% - Maximum drawdown: 43.07% - Sharpe ratio: 0.5075 - Monthly win rate: 57.43% - Year-to-date return (2025): -4.39%[33][36]. - Small-Cap vs. Large-Cap Style Rotation Model: - Annualized return: 11.76% - Annualized volatility: 22.89% - Maximum drawdown: 50.65% - Sharpe ratio: 0.5138 - Monthly win rate: 60.14% - Year-to-date return (2025): -4.45%[38][40]. - Four-Dimensional Style Rotation Model: - Annualized return: 12.59% - Annualized volatility: 21.74% - Maximum drawdown: 47.91% - Sharpe ratio: 0.5631 - Monthly win rate: 58.78% - Year-to-date return (2025): -3.77%[43].