Zheshang Securities(SH:601878) ZHESHANG SECURITIES·2025-10-10 11:25Quantitative Models and Construction - Model Name: Macro Scoring Model Construction Idea: The model evaluates macroeconomic factors to provide asset allocation signals, focusing on inflation, monetary policy, and global economic conditions[17][20] Construction Process: The model assigns scores to macroeconomic subcategories such as domestic and global inflation, monetary policy, and economic conditions. These scores are aggregated to generate asset-specific macro views. For example: - Domestic inflation: Score = 1 - Global inflation: Score = 0 (downward adjustment this month) - Final macro scores for October: - CSI 800: 3 - 10-year bonds: -2 - S&P 500: 2 - Gold: -1 - Oil: 3 - Copper: 3[20] Evaluation: The model maintains a positive outlook on equities and commodities, reflecting stable macroeconomic conditions[17][20] - Model Name: US Equity Timing Model Construction Idea: The model monitors U.S. economic indicators to assess equity market timing opportunities[21] Construction Process: The model uses three dimensions equally weighted: - Economic sentiment - Capital flows - Financial stress The latest composite timing indicator value is 72.3, showing improvement from the previous month[21] Evaluation: The model supports a bullish view on U.S. equities due to improved economic sentiment and fundamentals[21] - Model Name: Gold Timing Model Construction Idea: The model evaluates fiscal and monetary trends to determine gold allocation timing[24] Construction Process: The model generates a timing indicator based on fiscal deficit trends and global monetary expansion. Current indicator value: -0.63, signaling caution due to reduced U.S. fiscal deficit expansion[24] Evaluation: Despite the cautious signal, the model suggests gold retains strong allocation value under global fiscal expansion trends[24] - Model Name: Oil Timing Model Construction Idea: The model assesses oil market dynamics, including inventory levels and macroeconomic risks[27][29] Construction Process: The model calculates an oil sentiment index based on: - Inventory levels - Dollar strength - Investor expectations - Macro risk levels Current index value: 0.39, down from 0.56 last month[27][29] Evaluation: The model adopts a neutral stance on oil due to inventory accumulation and dollar rebound[27][29] --- Model Backtesting Results - Macro Scoring Model: - September return: 2.3% - 1-year return: 13.5% - Maximum drawdown: 2.9%[3][31] - US Equity Timing Model: - Latest indicator value: 72.3[21] - Gold Timing Model: - Latest indicator value: -0.63[24] - Oil Timing Model: - Latest sentiment index value: 0.39[27][29] --- Asset Allocation Adjustments - Optimized Allocation: - CSI 800: Reduced from 11.9% to 8.7% - S&P 500: Increased from 9.4% to 9.6% - Gold: Reduced from 13.5% to 7.0% - Copper: Reduced from 9.7% to 7.3% - Oil: Reduced from 3.9% to 1.9% - 10-year bonds: Increased from 34.7% to 49.8% - Short-term bonds: Reduced from 16.8% to 15.7%[36]