量化点评报告：八月配置建议：盯住CDS择时信号

Quantitative Models and Construction 1. Model Name: Odds + Win Rate Strategy - Model Construction Idea: This strategy combines the risk budget of the odds-based strategy and the win-rate-based strategy to create a comprehensive scoring system for asset allocation[3][48][54] - Model Construction Process: 1. The odds-based strategy allocates more to high-odds assets and less to low-odds assets under a target volatility constraint[48] 2. The win-rate-based strategy derives macro win-rate scores from five factors: monetary, credit, growth, inflation, and overseas, and allocates accordingly[51] 3. The combined strategy sums the risk budgets of the two strategies to form a unified allocation model[54] - Model Evaluation: The model demonstrates stable performance with low drawdowns and consistent returns over different time periods[54] 2. Model Name: Industry Rotation Strategy - Model Construction Idea: This strategy evaluates industries based on three dimensions: momentum/trend, turnover/volatility/beta (crowding), and IR (information ratio) over the past 12 months[43] - Model Construction Process: 1. Momentum and trend are measured using the IR of industries over the past 12 months[43] 2. Crowding is assessed using turnover ratio, volatility ratio, and beta ratio[43] 3. The strategy ranks industries based on these metrics and allocates to those with strong trends, low crowding, and high IR[43] - Model Evaluation: The strategy has shown strong excess returns and low tracking errors, making it a robust framework for industry allocation[43] --- Model Backtesting Results 1. Odds + Win Rate Strategy - Annualized Return: - 2011 onwards: 7.0% - 2014 onwards: 7.6% - 2019 onwards: 7.2%[54] - Maximum Drawdown: - 2011 onwards: 2.8% - 2014 onwards: 2.7% - 2019 onwards: 2.8%[54] - Sharpe Ratio: - 2011 onwards: 2.86 - 2014 onwards: 3.26 - 2019 onwards: 2.85[56] 2. Industry Rotation Strategy - Excess Return: - 2011 onwards: 13.1% - 2014 onwards: 13.0% - 2019 onwards: 10.8%[44] - Tracking Error: - 2011 onwards: 11.0% - 2014 onwards: 12.0% - 2019 onwards: 10.7%[44] - IR: - 2011 onwards: 1.18 - 2014 onwards: 1.08 - 2019 onwards: 1.02[44] --- Quantitative Factors and Construction 1. Factor Name: Value Factor - Factor Construction Idea: Measures stocks with strong trends, low crowding, and moderate odds[27] - Factor Construction Process: 1. Trend is measured at zero standard deviation[27] 2. Odds are at 0.3 standard deviation[27] 3. Crowding is at -1.3 standard deviation[27] - Factor Evaluation: The factor ranks highest among all style factors, making it a key focus for allocation[27] 2. Factor Name: Quality Factor - Factor Construction Idea: Focuses on high odds, weak trends, and low crowding, with potential for future trend confirmation[29] - Factor Construction Process: 1. Odds are at 1.7 standard deviation[29] 2. Trend is at -1.4 standard deviation[29] 3. Crowding is at -0.8 standard deviation[29] - Factor Evaluation: The factor shows left-side buy signals but requires trend confirmation for stronger allocation[29] 3. Factor Name: Growth Factor - Factor Construction Idea: Represents high odds, moderate trends, and moderate crowding, suitable for standard allocation[32] - Factor Construction Process: 1. Odds are at 0.9 standard deviation[32] 2. Trend is at -0.2 standard deviation[32] 3. Crowding is at 0.1 standard deviation[32] - Factor Evaluation: The factor is recommended for standard allocation due to its balanced characteristics[32] 4. Factor Name: Small-Cap Factor - Factor Construction Idea: Characterized by low odds, strong trends, and high crowding, with high uncertainty[35] - Factor Construction Process: 1. Odds are at -0.7 standard deviation[35] 2. Trend is at 1.6 standard deviation[35] 3. Crowding is at 0.6 standard deviation[35] - Factor Evaluation: The factor is not recommended due to its high uncertainty and crowding[35] --- Factor Backtesting Results 1. Value Factor - Odds: 0.3 standard deviation - Trend: 0 standard deviation - Crowding: -1.3 standard deviation[27] 2. Quality Factor - Odds: 1.7 standard deviation - Trend: -1.4 standard deviation - Crowding: -0.8 standard deviation[29] 3. Growth Factor - Odds: 0.9 standard deviation - Trend: -0.2 standard deviation - Crowding: 0.1 standard deviation[32] 4. Small-Cap Factor - Odds: -0.7 standard deviation - Trend: 1.6 standard deviation - Crowding: 0.6 standard deviation[35]