SCS(SH:601555) Soochow Securities·2025-07-04 01:33Quantitative Models and Construction Methods Model Name: "Clock + Turning Point Improvement Method" Large Asset Rotation Model - Model Construction Idea: The model combines the investment clock theory with turning point improvement methods to optimize asset rotation strategies[5][23] - Model Construction Process: 1. Assume that the macroeconomic factors will continue their current state into the next month[23] 2. Calculate the total score of each asset based on the current state of macroeconomic risk factors[24] 3. Introduce a risk budget model with initial risk ratios for each asset: large-cap stocks: small-cap stocks: bonds: commodities: gold = 1:1:1:0.5:0.5. Adjust the risk ratios based on the total score, doubling the risk ratio for each positive score and halving it for each negative score[24] 4. Backtesting period: January 2011 - December 2023[25] - Model Evaluation: The model performs excellently in terms of returns, risk control, and drawdown management, achieving nearly 10% annualized returns while controlling high-risk asset positions[27] Quantitative Factors and Construction Methods Factor Name: Macroeconomic Risk Factors - Factor Construction Idea: Utilize macroeconomic data and asset portfolios to construct six macroeconomic risk factors: economic growth, inflation, interest rates, exchange rates, credit, and term spreads[8] - Factor Construction Process: - Economic Growth: Use industrial added value year-on-year (M0000545), PMI (M0017126), and social retail sales year-on-year (M0001428). Apply HP filtering and volatility inverse weighting[8] - Inflation: Use PPI year-on-year (M0001227) and CPI year-on-year (M0000612). Apply HP filtering and volatility inverse weighting[8] - Interest Rates: Construct an equal-weighted investment portfolio using the ChinaBond Treasury Wealth Index (1-3 years) (CBA00621.CS) and the CSI Money Market Fund Index (H11025.CSI), and calculate net value year-on-year returns[8] - Exchange Rates: Construct an equal-weighted long-short investment portfolio using Shanghai Gold (AU9999.SGE) and London Gold Spot (SPTAUUSDOZ.IDC), and calculate net value year-on-year returns[8] - Credit: Construct a duration-neutral investment portfolio using the ChinaBond Corporate Bond AAA Index (CBA04231.CS) and the ChinaBond Treasury Wealth Index (CBA00631.CS), and calculate net value year-on-year returns[8] - Term Spreads: Construct a duration-neutral investment portfolio using the ChinaBond Medium-Short Term Bond Wealth Index (CBA00701.CS) and the ChinaBond Long Term Bond Wealth Index (CBA00801.CS), and calculate net value year-on-year returns[8] - Factor Evaluation: The factors provide a comprehensive risk perspective by capturing multiple aspects of the macroeconomic environment[8] Model Backtesting Results "Clock + Turning Point Improvement Method" Large Asset Rotation Model - Total Return: 242.45%[27] - Annualized Return: 9.93%[27] - Annualized Volatility: 6.83%[27] - Annualized Sharpe Ratio: 1.45[27] - Maximum Drawdown: 6.31%[27] - Win Rate: 73.08%[27] Factor Backtesting Results Macroeconomic Risk Factors - Economic Growth: Upward[36] - Inflation: Downward[36] - Interest Rates: Downward[36] - Credit: Downward[36] - Exchange Rates: Downward[36] - Term Spreads: Downward[36]