PACIFIC SECURITIES(SH:601099) Tai Ping Yang·2025-05-18 00:25Investment Rating - The industry is rated positively, with expectations of overall returns exceeding the CSI 300 Index by more than 5% over the next six months [13]. Core Insights - The model assumes that the price trends of the underlying assets exhibit strong local continuity, with reversal trends lasting significantly shorter than trend continuation periods. In cases of narrow consolidation, it is assumed that the previous trend will continue [4]. - The model's annualized return is reported at 24.17%, with a volatility of 26.54% and a Sharpe ratio of 0.91. The maximum drawdown recorded is 14.04%, and the total return rate during the index period is 19.46% [4]. - The model is designed for the Shenwan Level 1 Non-Bank Financial Index and is suitable for tracking this index from March 7, 2023, to March 18, 2025 [4][5]. Summary by Sections Model Overview - The model calculates the difference between the closing price on day T and the closing price 20 days prior, assessing volatility over the same period. A significant deviation from the historical volatility indicates a trend formation [4]. Performance Evaluation - The model's net value has shown a slow upward trend from March 7, 2023, to September 12, 2024, with a sharp increase influenced by market conditions and macro policies during a specific period [5]. - The model is deemed suitable for the Shenwan Level 1 Non-Bank Financial Index, demonstrating good annualized returns without prolonged significant drawdowns [5].