TF Securities(SH:601162) Tianfeng Securities·2025-05-11 07:43Quantitative Models and Construction Methods 1. Model Name: Fund Position Estimation Model - Model Construction Idea: The model aims to estimate the daily stock positions of public funds by simulating their complete stock holdings based on disclosed top 10 heavy holdings and other related data[8][9][10] - Model Construction Process: 1. Use quarterly fund reports to obtain the top 10 heavy holdings and combine this with the top 10 shareholders' information from listed companies[9] 2. Simulate the complete stock holdings by estimating the remaining non-heavy holdings based on the assumption that the types of stocks held in non-heavy positions remain unchanged between two periods, with only the weights adjusted proportionally[10] 3. At the end of January, April, August, and October each year, simulate the fund holdings, with August data being the actual semi-annual report holdings[12] 4. Split the fund holdings into large-cap and small-cap components and use weighted least squares to estimate the fund's allocation to large-cap and small-cap indices at each time point[12] 5. Monitor daily fund positions and analyze average style changes across dimensions such as large/small-cap allocation, market capitalization exposure, and industry allocation[12] - Model Evaluation: The model provides a detailed and dynamic monitoring of fund positions, enabling insights into style shifts and allocation trends[12] --- Backtesting Results of Models 1. Fund Position Estimation Model - Stock Position Median: - Ordinary equity funds: 88.30% - Partial equity hybrid funds: 85.28%[4][15] - Large-Cap Allocation: - Ordinary equity funds: 41.4% - Partial equity hybrid funds: 34.3%[14] - Small-Cap Allocation: - Ordinary equity funds: 46.9% - Partial equity hybrid funds: 50.9%[14] - Weekly Changes in Large-Cap Allocation: - Ordinary equity funds: -0.67% - Partial equity hybrid funds: -2.01%[15] - Weekly Changes in Small-Cap Allocation: - Ordinary equity funds: -0.48% - Partial equity hybrid funds: +0.21%[15] - Percentile of Current Position Estimates (2016-Present): - Ordinary equity funds: 49.38% - Partial equity hybrid funds: 52.69%[15] --- Quantitative Factors and Construction Methods 1. Factor Name: Large-Cap and Small-Cap Allocation Factors - Factor Construction Idea: These factors aim to quantify the allocation of public funds to large-cap and small-cap stocks, reflecting their style preferences and market exposure[12] - Factor Construction Process: 1. Split the simulated fund holdings into large-cap and small-cap components[12] 2. Use the daily returns of the fund, large-cap index, and small-cap index to estimate the allocation weights through weighted least squares regression[12] 3. Calculate the allocation factors dynamically to monitor changes in fund style preferences over time[12] - Factor Evaluation: These factors effectively capture the dynamic allocation preferences of funds, providing valuable insights into their market positioning and style shifts[12] --- Backtesting Results of Factors 1. Large-Cap and Small-Cap Allocation Factors - Large-Cap Allocation: - Ordinary equity funds: 41.4% - Partial equity hybrid funds: 34.3%[14] - Small-Cap Allocation: - Ordinary equity funds: 46.9% - Partial equity hybrid funds: 50.9%[14] - Weekly Changes in Large-Cap Allocation: - Ordinary equity funds: -0.67% - Partial equity hybrid funds: -2.01%[15] - Weekly Changes in Small-Cap Allocation: - Ordinary equity funds: -0.48% - Partial equity hybrid funds: +0.21%[15]