SINOLINK SECURITIES(SH:600109) SINOLINK SECURITIES·2025-04-21 03:03Quantitative Models and Factor Analysis Quantitative Models and Construction - Model Name: Macro Timing Strategy Construction Idea: This model evaluates macroeconomic signals to determine equity allocation recommendations. It incorporates economic growth and monetary liquidity signals to generate timing signals for equity investments[4][27]. Construction Process: 1. The model assigns weights to two dimensions: economic growth and monetary liquidity. 2. Signal strength is calculated for each dimension. For April, the economic growth signal strength was 0%, while the monetary liquidity signal strength was 50%[27]. 3. Based on these signals, the recommended equity allocation for April was 25%[27]. Evaluation: The model provides a systematic approach to macro timing, but its performance is subject to changes in macroeconomic conditions[27]. - Model Name: Micro-Cap Timing and Rotation Model Construction Idea: This model uses indicators related to market sentiment and fundamentals to monitor micro-cap stock performance and rotation opportunities[31]. Construction Process: 1. Rotation Signal: The model tracks the relative net value of the Micro-Cap Index and the "Mao Index" (a benchmark index). A signal was triggered on October 14, 2024, when the Micro-Cap Index crossed above its annual moving average[31]. 2. Risk Warning Indicators: - Volatility Congestion: This indicator reflects market sentiment. On October 15, 2024, the indicator fell below its threshold, deactivating the risk warning[31]. - 10-Year Treasury Yield YoY: This fundamental indicator remained at -20.45%, below the risk control threshold of 0.3[31]. Evaluation: The model effectively combines sentiment and fundamental indicators to guide micro-cap stock investments[31]. Model Backtesting Results - Macro Timing Strategy: - Year-to-date return: 1.06% - Benchmark (Wind All A Index) return: 1.90%[27] - Micro-Cap Timing and Rotation Model: - Volatility Congestion YoY: -50.09% - 10-Year Treasury Yield YoY: -28.69%[31][32] --- Quantitative Factors and Construction - Factor Name: Volume-Price Factors Construction Idea: These factors capture market dynamics by analyzing trading volume and price volatility[5]. Construction Process: - Low Trading Volume: Measures stocks with lower trading activity. - Low Volatility: Identifies stocks with stable price movements[5]. Evaluation: These factors performed well in a low-risk appetite environment, benefiting from market stability[5]. - Factor Name: Consensus Expectation Factor Construction Idea: This factor reflects market expectations for stocks with strong earnings forecasts[5]. Construction Process: - Derived from analysts' earnings forecasts and target prices. - Tracks changes in consensus expectations over time[5]. Evaluation: The factor performed well due to investors' preference for certainty in volatile markets[5]. - Factor Name: Convertible Bond Selection Factors Construction Idea: These factors predict convertible bond performance based on their relationship with underlying stocks and valuation metrics[46]. Construction Process: - Equity Factors: Derived from the underlying stock's consensus expectations, growth, financial quality, and valuation. - Valuation Factor: Based on the premium rate between the convertible bond's parity and floor price[46]. Evaluation: The factors achieved positive returns, indicating their effectiveness in identifying outperforming convertible bonds[46]. Factor Backtesting Results - Volume-Price Factors: - Low Trading Volume: Positive performance in a low-risk appetite environment[5]. - Low Volatility: Positive performance in stable market conditions[5]. - Consensus Expectation Factor: - Positive performance due to strong earnings forecast alignment[5]. - Convertible Bond Selection Factors: - Positive multi-long-short returns for equity consensus expectation, equity valuation, and convertible bond valuation factors[46].