Zheshang Securities(SH:601878) ZHESHANG SECURITIES·2025-06-04 12:18Quantitative Models and Construction Methods 1. Model Name: Macro Scoring Model - Model Construction Idea: The model evaluates macroeconomic factors to generate asset allocation signals, providing directional views on various asset classes such as equities, bonds, and commodities [13][15] - Model Construction Process: - The model aggregates multiple macroeconomic factors, including domestic and global indicators such as inflation, monetary policy, credit conditions, and economic sentiment - Each factor is scored, and the scores are combined to derive an overall macro score for each asset class - The scoring results are used to determine the directional view (e.g., bullish, neutral) for each asset class [13][15] - Model Evaluation: The model provides a systematic and data-driven approach to assess macroeconomic conditions and their implications for asset allocation [13] 2. Model Name: US Equity Timing Model - Model Construction Idea: This model aims to predict the medium-term performance of US equities by analyzing three dimensions: economic sentiment, capital flows, and financial stress [16] - Model Construction Process: - The model assigns equal weights to three sub-indicators: economic sentiment, capital flows, and financial stress - The latest readings of these indicators are aggregated to calculate a composite timing score - For example, the latest composite score is 52.5, reflecting a moderately positive outlook for US equities [16] - Model Evaluation: While the model maintains a bullish view, its effectiveness may be reduced due to data lag, particularly in the context of external shocks like tariff uncertainties [16] 3. Model Name: Gold Timing Model - Model Construction Idea: This model identifies the timing for gold investments based on macroeconomic risks, such as tariff disputes and rising US debt levels [19] - Model Construction Process: - The model uses a timing indicator that oscillates around a zero axis - The indicator reflects the balance of macroeconomic risks and their potential impact on gold prices - Currently, the indicator has fallen near the zero axis due to a temporary reduction in US deficits, but the long-term trend remains upward due to expected fiscal pressures [19] - Model Evaluation: The model highlights gold as a strong hedge against macroeconomic uncertainties, particularly in high-risk environments [19] 4. Model Name: Crude Oil Timing Model - Model Construction Idea: This model evaluates the outlook for crude oil prices based on global economic conditions and supply-demand dynamics [21] - Model Construction Process: - The model constructs an oil sentiment index, which currently stands at 0.3 - The index reflects factors such as stable global economic data and a weakening US dollar, balanced against risks from tariff policies and OPEC's production cycle [21] - Model Evaluation: The model suggests that crude oil prices are likely to remain range-bound due to mixed macroeconomic signals [21] --- Model Backtesting Results 1. Macro Scoring Model - May Return: 0.1% - 1-Year Return: 8.0% - Maximum Drawdown: 3.3% [23] 2. US Equity Timing Model - Latest Composite Score: 52.5 [16] 3. Gold Timing Model - Latest Indicator Value: Near 0 axis [19] 4. Crude Oil Timing Model - Latest Sentiment Index: 0.3 [21]