A股趋势与风格定量观察：维持适度乐观，但需警惕短期波动

Quantitative Models and Construction Methods 1. Model Name: "Three-Dimensional Composite Timing Signal" - Model Construction Idea: This model integrates three key timing indicators—"Credit Impulse, Beta Dispersion, and Trading Volume"—to represent three core timing dimensions: economic fundamentals, overall sentiment, and structural risk. It aims to balance high probability and high payoff indicators for superior timing performance[5][12]. - Model Construction Process: - Credit Impulse: Measures the month-on-month change in credit balance percentile, reflecting economic fundamentals[5][15]. - Beta Dispersion: Captures the dispersion of stock betas, representing market sentiment and structural risk[5][12]. - Trading Volume: Quantifies market activity and liquidity, serving as a sentiment indicator[5][12]. - The composite signal combines these three indicators to generate timing signals, with historical backtesting showing strong in-sample and out-of-sample performance[12][14]. - Model Evaluation: The model demonstrates excellent timing performance in both in-sample and out-of-sample tests, effectively capturing market uptrends[12][14]. 2. Model Name: "Short-Term Timing Strategy" - Model Construction Idea: This model uses macroeconomic, valuation, sentiment, and liquidity indicators to generate weekly timing signals[20][23]. - Model Construction Process: - Macroeconomic Indicators: Includes PMI (>50 for optimism), credit impulse percentile (62.71%), and M1 growth rate percentile (96.61%)[20][23]. - Valuation Indicators: PE and PB percentiles (99.59% and 96.36%, respectively) are used to assess valuation levels[21][23]. - Sentiment Indicators: Beta dispersion (69.49%), trading volume sentiment (93.80%), and volatility (11.00%) are analyzed for market sentiment[21][23]. - Liquidity Indicators: Monetary rate (37.29%), exchange rate expectations (74.58%), and financing data (97.11%) are used to evaluate liquidity conditions[22][23]. - Signals are aggregated to determine overall market positioning[23]. - Model Evaluation: The strategy has consistently outperformed the benchmark, with significant annualized returns and lower drawdowns[22][23]. 3. Model Name: "Growth-Value Style Rotation Model" - Model Construction Idea: This model evaluates macroeconomic, valuation, and sentiment factors to determine the optimal allocation between growth and value styles[29][30]. - Model Construction Process: - Macroeconomic Factors: Profit cycle slope (4.17), interest rate cycle level (14.17), and credit cycle changes (-3.33) are analyzed[31]. - Valuation Factors: PE and PB valuation spreads (23.99% and 39.00%, respectively) are used to assess relative attractiveness[31]. - Sentiment Factors: Turnover and volatility spreads (38.13% and 19.97%, respectively) are considered for sentiment analysis[31]. - Signals are combined to recommend allocations between growth and value styles[31]. - Model Evaluation: The model has delivered significant excess returns over the benchmark since 2012, though it underperformed in 2025 YTD[30][32]. 4. Model Name: "Small-Cap vs. Large-Cap Style Rotation Model" - Model Construction Idea: This model evaluates macroeconomic, valuation, and sentiment factors to determine the optimal allocation between small-cap and large-cap styles[33][34]. - Model Construction Process: - Macroeconomic Factors: Profit cycle slope (4.17), interest rate cycle level (14.17), and credit cycle changes (-3.33) are analyzed[35]. - Valuation Factors: PE and PB valuation spreads (93.88% and 97.67%, respectively) are used to assess relative attractiveness[35]. - Sentiment Factors: Turnover and volatility spreads (81.01% and 51.58%, respectively) are considered for sentiment analysis[35]. - Signals are combined to recommend allocations between small-cap and large-cap styles[35]. - Model Evaluation: The model has consistently outperformed the benchmark since 2012, though it underperformed in 2025 YTD[34][36]. 5. Model Name: "Four-Style Rotation Model" - Model Construction Idea: This model integrates the conclusions of the growth-value and small-cap-large-cap rotation models to recommend allocations across four styles: small-cap growth, small-cap value, large-cap growth, and large-cap value[37]. - Model Construction Process: - Combines the signals from the growth-value and small-cap-large-cap models to allocate weights across the four styles[37]. - Current recommended allocation: small-cap growth (37.5%), small-cap value (12.5%), large-cap growth (37.5%), and large-cap value (12.5%)[37]. - Model Evaluation: The model has delivered significant excess returns over the benchmark since 2012, though it underperformed in 2025 YTD[37][38]. --- Model Backtesting Results 1. "Three-Dimensional Composite Timing Signal" - Annualized Return: 21.26% - Annualized Volatility: 14.46% - Maximum Drawdown: 12.80% - Sharpe Ratio: 1.2676 - Annualized Excess Return: 13.39%[14] 2. "Short-Term Timing Strategy" - Annualized Return: 17.83% - Annualized Volatility: 15.87% - Maximum Drawdown: 22.44% - Sharpe Ratio: 0.9874 - Annualized Excess Return: 13.24%[22][27] 3. "Growth-Value Style Rotation Model" - Annualized Return: 11.76% - Annualized Volatility: 20.77% - Maximum Drawdown: 43.07% - Sharpe Ratio: 0.5438 - Annualized Excess Return: 4.73%[30][32] 4. "Small-Cap vs. Large-Cap Style Rotation Model" - Annualized Return: 12.45% - Annualized Volatility: 22.65% - Maximum Drawdown: 50.65% - Sharpe Ratio: 0.5441 - Annualized Excess Return: 5.21%[34][36] 5. "Four-Style Rotation Model" - Annualized Return: 13.37% - Annualized Volatility: 21.51% - Maximum Drawdown: 47.91% - Sharpe Ratio: 0.5988 - Annualized Excess Return: 5.72%[37][38]