Quantitative Models and Construction Methods Models Model Name: Industry Allocation Model - Model Construction Idea: This model aims to recommend industry sectors based on medium-term trends and specific market conditions[2][3][10] - Model Construction Process: - The model identifies sectors that are likely to benefit from current market trends and conditions. - It recommends sectors such as Hong Kong innovative drugs, Hong Kong securities, and photovoltaic sectors due to their potential for reversal and growth. - The model also suggests focusing on technology sectors, including military and communication, as well as A-share banks and gold stocks[2][3][10] - Model Evaluation: The model is effective in identifying sectors with potential growth and aligning with current market trends[2][3][10] Model Name: TWO BETA Model - Model Construction Idea: This model focuses on recommending technology sectors based on their beta values and market conditions[2][3][10] - Model Construction Process: - The model evaluates the beta values of different sectors to identify those with higher potential for growth. - It recommends technology sectors, particularly military and communication, based on their beta values and current market trends[2][3][10] - Model Evaluation: The model is useful for identifying high-potential technology sectors based on their beta values[2][3][10] Model Name: Position Management Model - Model Construction Idea: This model aims to manage stock positions based on valuation indicators and short-term trends[3][10] - Model Construction Process: - The model uses valuation indicators such as PE and PB ratios to determine the stock positions. - It suggests an 80% stock position for absolute return products based on the current valuation levels of the wind All A index[3][10] - Model Evaluation: The model provides a balanced approach to managing stock positions based on valuation and market trends[3][10] Model Backtesting Results 1. Industry Allocation Model: - PE Ratio: 70th percentile[3][10] - PB Ratio: 30th percentile[3][10] - Position Suggestion: 80%[3][10] 2. TWO BETA Model: - PE Ratio: 70th percentile[3][10] - PB Ratio: 30th percentile[3][10] - Position Suggestion: 80%[3][10] 3. Position Management Model: - PE Ratio: 70th percentile[3][10] - PB Ratio: 30th percentile[3][10] - Position Suggestion: 80%[3][10] Quantitative Factors and Construction Methods Factor Name: Moving Average Distance - Factor Construction Idea: This factor measures the distance between short-term and long-term moving averages to identify market trends[2][9][14] - Factor Construction Process: - Calculate the 20-day moving average and the 120-day moving average of the wind All A index. - Compute the distance between the two moving averages. - The formula is: - If the distance exceeds 3%, the market is considered to be in an upward trend[2][9][14] - Factor Evaluation: The factor is effective in identifying market trend shifts from a volatile to an upward trend[2][9][14] Factor Name: Profitability Effect - Factor Construction Idea: This factor measures the market's profitability effect to predict the inflow of incremental funds[2][10][14] - Factor Construction Process: - Calculate the profitability effect value based on market data. - The current profitability effect value is 3.50%, indicating a positive market trend[2][10][14] - Factor Evaluation: The factor is useful for predicting the inflow of incremental funds based on market profitability[2][10][14] Factor Backtesting Results 1. Moving Average Distance: - Distance: 3.04%[2][9][14] - Profitability Effect: 3.50%[2][10][14] 2. Profitability Effect: - Distance: 3.04%[2][9][14] - Profitability Effect: 3.50%[2][10][14]
量化择时周报：关键指标如期触发，后续如何应对？-20250713
Tianfeng Securities·2025-07-13 09:14