2025年9月量化行业配置月报：高切低，布局低位消费-20250910

Quantitative Models and Construction 1. Model Name: Timing Model for Nonferrous Metals - Model Construction Idea: This model uses macroeconomic scoring to time the allocation between the CSI SW Nonferrous Metals Index and the Wind All A Index, leveraging the dominant role of copper and other industrial metals in the nonferrous metals sector[19][20] - Model Construction Process: - The macroeconomic score for copper is calculated based on global economic and inflationary factors - Allocation Rule: - If the macro score > 0, allocate to the CSI SW Nonferrous Metals Index - Otherwise, allocate to the Wind All A Index - Backtesting Period: March 2009 to September 2025 - Formula: Not explicitly provided, but the scoring system is based on historical macroeconomic data[19][20] - Model Evaluation: The model demonstrates strong timing ability, capturing the upward trends in the nonferrous metals sector, except during 2012-2013 when the sector underperformed despite a bullish signal[20] 2. Model Name: Comprehensive Allocation Strategy - Model Construction Idea: This strategy dynamically allocates weights to industries based on their economic cycle signals (upward, flat, or downward) and crowding levels, with flat-cycle industries receiving half the weight of upward-cycle industries[35] - Model Construction Process: - Identify industries with upward or flat economic cycle signals - Exclude industries with high crowding levels - Assign weights: - Upward-cycle industries: Full weight - Flat-cycle industries: Half weight - Monthly updates based on the latest signals[35] - Model Evaluation: The strategy underperformed its benchmarks in the most recent month, suggesting potential limitations in capturing short-term market dynamics[35] --- Model Backtesting Results 1. Timing Model for Nonferrous Metals - Excess Return: 245% relative to the Wind All A Index during the backtesting period (March 2009 - September 2025)[20] 2. Comprehensive Allocation Strategy - 1-Month Return: 4.6% - Excess Return vs. Equal-Weighted Index: -5.7% - Excess Return vs. CSI 800: -3.9%[35][39] --- Quantitative Factors and Construction 1. Factor Name: Macroeconomic Score for Copper - Factor Construction Idea: This factor evaluates the economic and inflationary environment to assess the attractiveness of copper as a leading indicator for the nonferrous metals sector[19][21] - Factor Construction Process: - Historical macroeconomic data is used to calculate a score for copper - The score ranges from negative to positive, reflecting unfavorable to favorable conditions[21] - Formula: Not explicitly provided, but the scoring system is derived from macroeconomic indicators[21] 2. Factor Name: Sector Crowding Indicator - Factor Construction Idea: This factor measures the crowding level in various sectors to identify potential risks of over-concentration[32][34] - Factor Construction Process: - Calculate the crowding level for each sector based on historical trading data - Identify sectors exceeding the 95% warning threshold[32][34] --- Factor Backtesting Results 1. Macroeconomic Score for Copper - Latest Score: 4, indicating a historically high level of attractiveness for the nonferrous metals sector[19][21] 2. Sector Crowding Indicator - Sectors Above 95% Threshold: Nonferrous Metals, Electronics, Communication, Machinery, Comprehensive, Beauty & Personal Care, Defense, and Pharmaceuticals[32][34]