从微观出发的五维行业轮动月度跟踪-20250701

Quantitative Models and Construction Methods 1. Model Name: Five-Dimensional Industry Rotation Model - Model Construction Idea: The model is based on the Dongwu Securities multi-factor stock selection system, categorizing micro factors into five dimensions: volatility, fundamentals, trading volume, sentiment, and momentum. It leverages style indicators to classify stocks within industries and constructs final industry factors by combining intra-industry dispersion and traction indicators [6][7] - Model Construction Process: 1. Micro factors are categorized into five dimensions using the Dongwu Securities multi-factor classification standard [6] 2. Style indicators are used to classify stocks within industries, creating intra-industry dispersion and traction indicators [6] 3. The final industry factors are synthesized into five categories: volatility, fundamentals, trading volume, sentiment, and momentum [6] - Model Evaluation: The model effectively captures intra-industry style differences and integrates multiple dimensions to enhance industry rotation strategies [6] 2. Model Name: Five-Dimensional Industry Rotation Model for CSI 300 Index Enhancement - Model Construction Idea: This model applies the five-dimensional industry rotation framework to enhance the CSI 300 Index by overweighting high-scoring industries and underweighting low-scoring ones [22] - Model Construction Process: 1. At the end of each month, the top five industries (highest scores) are selected as enhancement industries, and the bottom five industries (lowest scores) are excluded [22] 2. Stocks in excluded industries are removed from the portfolio, and their weights are proportionally redistributed to stocks in enhancement industries [22] 3. The portfolio is rebalanced monthly [22] --- Model Backtesting Results 1. Five-Dimensional Industry Rotation Model - Annualized Return: 21.59% - Annualized Volatility: 10.77% - IR: 2.00 - Monthly Win Rate: 73.33% - Maximum Drawdown: 13.30% [10][14] 2. Five-Dimensional Industry Rotation Model (Long-Only, Market-Neutral) - Annualized Return: 10.52% - Annualized Volatility: 6.59% - IR: 1.60 - Monthly Win Rate: 70.83% - Maximum Drawdown: 9.36% [14][15] 3. Five-Dimensional Industry Rotation Model for CSI 300 Index Enhancement - Annualized Excess Return: 8.90% - Annualized Excess Volatility: 7.50% - IR: 1.19 - Monthly Win Rate: 69.42% - Maximum Drawdown: 12.74% [23] --- Quantitative Factors and Construction Methods 1. Factor Name: Volatility Factor - Factor Construction Idea: Measures the dispersion of stock returns within an industry to capture risk-adjusted opportunities [6] - Factor Construction Process: 1. Calculate the standard deviation of stock returns within each industry 2. Normalize the values to ensure comparability across industries [6] 2. Factor Name: Fundamentals Factor - Factor Construction Idea: Evaluates the financial health and valuation metrics of stocks within an industry [6] - Factor Construction Process: 1. Aggregate financial ratios such as ROE, P/E, and P/B for stocks within each industry 2. Normalize and rank the aggregated values [6] 3. Factor Name: Trading Volume Factor - Factor Construction Idea: Tracks liquidity and trading activity within industries to identify momentum-driven opportunities [6] - Factor Construction Process: 1. Calculate the average trading volume for stocks within each industry 2. Normalize and rank the values [6] 4. Factor Name: Sentiment Factor - Factor Construction Idea: Captures market sentiment through price trends and investor behavior within industries [6] - Factor Construction Process: 1. Analyze price momentum and news sentiment data for stocks within each industry 2. Aggregate and normalize the sentiment scores [6] 5. Factor Name: Momentum Factor - Factor Construction Idea: Identifies industries with strong upward price trends [6] - Factor Construction Process: 1. Calculate the relative strength index (RSI) and moving average convergence divergence (MACD) for stocks within each industry 2. Aggregate and normalize the momentum scores [6] --- Factor Backtesting Results 1. Volatility Factor - Annualized Return: 11.62% - Annualized Volatility: 10.16% - IR: 1.14 - Monthly Win Rate: 60.00% - Maximum Drawdown: 14.27% [14] 2. Fundamentals Factor - Annualized Return: 5.66% - Annualized Volatility: 9.93% - IR: 0.57 - Monthly Win Rate: 56.00% - Maximum Drawdown: 21.50% [14] 3. Trading Volume Factor - Annualized Return: 7.65% - Annualized Volatility: 12.11% - IR: 0.63 - Monthly Win Rate: 58.40% - Maximum Drawdown: 18.51% [14] 4. Sentiment Factor - Annualized Return: 7.87% - Annualized Volatility: 12.91% - IR: 0.61 - Monthly Win Rate: 64.00% - Maximum Drawdown: 14.79% [14] 5. Momentum Factor - Annualized Return: 11.69% - Annualized Volatility: 10.71% - IR: 1.09 - Monthly Win Rate: 61.29% - Maximum Drawdown: 13.52% [14] 6. Composite Factor - Annualized Return: 21.59% - Annualized Volatility: 10.77% - IR: 2.00 - Monthly Win Rate: 73.33% - Maximum Drawdown: 13.30% [14]