量化观市：微盘茅指数轮动信号切换，微盘股还应该持有吗？

Quantitative Models and Construction Macro Timing Model - Model Name: Macro Timing Strategy - Model Construction Idea: The model evaluates macroeconomic signals to determine equity allocation levels, focusing on economic growth and monetary liquidity signals[4][41] - Model Construction Process: - The model assigns weights to economic growth and monetary liquidity signals - Economic growth signal strength is derived from macroeconomic indicators - Monetary liquidity signal strength is based on liquidity conditions in the market - The final equity allocation recommendation is a weighted combination of these signals - Example: For September, economic growth signal strength was 100%, monetary liquidity signal strength was 50%, leading to a recommended equity allocation of 75%[41][42] - Model Evaluation: The model is described as providing a dynamic and systematic approach to equity allocation, with a focus on macroeconomic conditions[41] --- Quantitative Factors and Construction Equity Selection Factors - Factor Categories: Eight major categories, including size, value, growth, reversal, quality, technical, volatility, and consensus expectations[46][60] - Factor Construction Process: - Size Factor: Constructed using the logarithm of market capitalization (LN_MktCap)[60] - Value Factor: Includes metrics like book-to-price ratio (BP_LR) and earnings-to-price ratio (EP_FTTM)[60] - Growth Factor: Includes metrics like quarterly operating income growth (OperatingIncome_SQ_Chg1Y)[60] - Reversal Factor: Based on price changes over different time horizons (e.g., Price_Chg60D)[61] - Quality Factor: Includes metrics like return on equity (ROE_FTTM) and gross margin (GrossMargin_TTM)[61] - Technical Factor: Includes metrics like 20-day turnover rate (Turnover_Mean_20D)[61] - Volatility Factor: Includes residual volatility from CAPM and Fama-French models (IV_CAPM, IV_FF)[61] - Consensus Expectations Factor: Includes metrics like changes in expected EPS over the past 3 months (EPS_FTTM_Chg3M)[61] - Factor Evaluation: Factors like value, low volatility, and technical indicators showed stronger performance in the past week, particularly in small and mid-cap stocks[46][47] Convertible Bond Factors - Factor Categories: Five convertible bond selection factors, including equity-related factors and valuation factors[57] - Factor Construction Process: - Equity-Related Factors: Derived from the relationship between convertible bonds and their underlying stocks, such as consensus expectations and growth metrics[57] - Valuation Factor: Includes metrics like parity-to-floor premium rate[57] - Factor Evaluation: Positive returns were observed for factors like consensus expectations, growth, financial quality, and value in the past week[57][58] --- Backtesting Results Macro Timing Model - Performance: - Year-to-date return: 11.75% - Benchmark (Wind All A Index) return: 22.98% - Model's excess return: -11.23%[41][44] Equity Selection Factors - IC Mean: - Size Factor: 20.93% (All A-shares), 19.09% (CSI 500), 19.10% (CSI 1000)[47] - Value Factor: 11.11% (All A-shares), 12.94% (CSI 500), 17.07% (CSI 1000)[47] - Technical Factor: 8.58% (All A-shares), 18.71% (CSI 500), 20.23% (CSI 1000)[47] - Multi-Long-Short Returns: - Size Factor: 36.13% (All A-shares), 6.17% (CSI 500), 5.73% (CSI 1000)[47] - Value Factor: 24.38% (All A-shares), 1.72% (CSI 500), 13.11% (CSI 1000)[47] Convertible Bond Factors - Multi-Long-Short Returns: - Consensus Expectations: 1.4 - Growth: 1.3 - Financial Quality: 1.2 - Value: 1.1 - Valuation: 1.0[58][59]