轻工制造相对指数趋势跟踪模型效果点评

Investment Rating - The industry is rated as "Neutral," indicating that the expected overall return in the next six months will be between -5% and 5% compared to the CSI 300 index [10]. Core Insights - The model assumes that the price movements of the underlying assets exhibit good local continuity, with trend reversals occurring less frequently than trend continuations. It also posits that during narrow consolidations, the previous trend will likely continue [3]. - The model's performance from March 7, 2023, to January 26, 2024, showed fluctuations around the original value without achieving significant cumulative returns. However, a short-term sharp increase was observed from January 26 to February 6, 2024, followed by a prolonged downtrend [4]. - The model's annualized return was -7.36%, with a volatility of 16.87%, a Sharpe ratio of -0.44, and a maximum drawdown of 27.58% [3]. Summary by Sections Model Overview - The model is designed to track the relative value of the Shenwan Level 1 Light Industry Manufacturing Index against the CSI 300 index, using a multi-directional signal approach [3]. - The tracking period for the model is set from March 7, 2023, to March 18, 2025 [3]. Performance Evaluation - The model's net value fluctuated around the original value during the initial tracking period, indicating a lack of strong cumulative returns. The model is deemed unsuitable for direct application to the Shenwan Level 1 Light Industry Manufacturing Index relative value [4]. - The model's performance metrics include a total return rate of -15.60% during the index period [3].