CMS(SH:600999) CMS·2025-07-27 09:39Quantitative Models and Construction Methods 1. Model Name: Short-term Quantitative Timing Model - Model Construction Idea: The model integrates macroeconomic fundamentals, valuation, sentiment, and liquidity indicators to generate short-term market timing signals[24][25][26] - Model Construction Process: - Macroeconomic Fundamentals: - Manufacturing PMI: Current value at 49.70, 44.92% percentile over the past 5 years, indicating neutral sentiment[24] - Long-term RMB loan growth: 0.00% percentile, indicating weak credit growth and cautious signals[24] - M1 growth rate: 94.92% percentile, indicating strong growth and optimistic signals[24] - Valuation: - PE median: 43.18, 97.19% percentile, indicating high valuation and neutral signals[25] - PB median: 2.85, 86.77% percentile, indicating high valuation and neutral signals[25] - Sentiment: - Beta dispersion: -0.59%, 40.68% percentile, indicating neutral sentiment[25] - Volume sentiment score: 0.98, 99.59% percentile, indicating strong sentiment and optimism[25] - Volatility: 7.53% (annualized), 0.17% percentile, indicating optimism[25] - Liquidity: - Monetary rate: -0.10, 33.90% percentile, indicating relative ease and optimism[26] - Exchange rate expectations: -0.09%, 40.68% percentile, indicating neutrality[26] - 5-day average financing: 50.66 billion RMB, 95.53% percentile, indicating neutral leverage signals[26] - Model Evaluation: The model demonstrates strong performance with significant excess returns and reduced drawdowns compared to benchmarks[26][30] 2. Model Name: Growth-Value Style Rotation Model - Model Construction Idea: The model evaluates growth and value styles based on macroeconomic fundamentals, valuation, and sentiment indicators to recommend allocation[35] - Model Construction Process: - Macroeconomic Fundamentals: - Profit cycle slope: High, favoring growth[37] - Interest rate cycle: High, favoring value[37] - Credit cycle: Weak, favoring value[37] - Valuation: - PE difference: 19.57% percentile, favoring growth[37] - PB difference: 38.03% percentile, favoring growth[37] - Sentiment: - Turnover difference: 38.13% percentile, favoring value[37] - Volatility difference: 17.73% percentile, favoring balanced allocation[37] - Model Evaluation: The model has historically delivered significant excess returns over benchmarks, though recent performance has been mixed[36][39] 3. Model Name: Small-Cap vs. Large-Cap Style Rotation Model - Model Construction Idea: The model assesses small-cap and large-cap styles using macroeconomic fundamentals, valuation, and sentiment indicators to suggest balanced allocation[40] - Model Construction Process: - Macroeconomic Fundamentals: - Profit cycle slope: High, favoring small-cap[42] - Interest rate cycle: High, favoring large-cap[42] - Credit cycle: Weak, favoring large-cap[42] - Valuation: - PE difference: 78.86% percentile, favoring large-cap[42] - PB difference: 96.59% percentile, favoring large-cap[42] - Sentiment: - Turnover difference: 72.56% percentile, favoring small-cap[42] - Volatility difference: 62.60% percentile, favoring large-cap[42] - Model Evaluation: The model has consistently outperformed benchmarks, delivering significant excess returns over time[41][44] 4. Model Name: Four-Style Rotation Model - Model Construction Idea: Combines insights from growth-value and small-cap-large-cap models to allocate across four styles: small-cap growth, small-cap value, large-cap growth, and large-cap value[45] - Model Construction Process: - Allocation recommendation: Small-cap growth (12.5%), small-cap value (37.5%), large-cap growth (12.5%), large-cap value (37.5%)[45] - Model Evaluation: The model has historically generated significant excess returns, though recent performance has been slightly below benchmarks[45][46] --- Model Backtest Results 1. Short-term Quantitative Timing Model - Annualized return: 16.98% - Annualized volatility: 14.55% - Maximum drawdown: 27.70% - Sharpe ratio: 1.0138 - Excess return (2024 onwards): 2.26%[26][30][33] 2. Growth-Value Style Rotation Model - Annualized return: 11.82% - Annualized volatility: 20.79% - Maximum drawdown: 43.07% - Sharpe ratio: 0.5457 - Excess return (2025 YTD): -2.32%[36][39] 3. Small-Cap vs. Large-Cap Style Rotation Model - Annualized return: 12.38% - Annualized volatility: 22.69% - Maximum drawdown: 50.65% - Sharpe ratio: 0.5408 - Excess return (2025 YTD): -5.11%[41][44] 4. Four-Style Rotation Model - Annualized return: 13.29% - Annualized volatility: 21.53% - Maximum drawdown: 47.91% - Sharpe ratio: 0.6001 - Excess return (2025 YTD): -3.25%[45][46]