从微观出发的风格轮动月度跟踪-20251013

• The style rotation model is constructed based on the Dongwu quantitative multi-factor system, starting from micro-level stock factors. It selects 80 underlying factors as original features, including valuation, market capitalization, volatility, and momentum, and further constructs 640 micro features. The model replaces the absolute proportion division of style factors with common indices as style stock pools, creating new style returns as labels. A random forest model is trained in a rolling manner to avoid overfitting risks, optimizing features and obtaining style recommendations. The framework integrates style timing, scoring, and actual investment[9][4] - The performance of the style rotation model during the backtesting period (2017/01/01-2025/09/30) shows an annualized return of 16.41%, annualized volatility of 20.43%, IR of 0.80, monthly win rate of 58.49%, and a maximum drawdown of 25.54%. When hedging against the market benchmark, the annualized return is 10.54%, annualized volatility is 10.85%, IR is 0.97, monthly win rate is 55.66%, and the maximum drawdown is 8.79%[10][11] - The style rotation model's latest timing directions for October 2025 are value, large market capitalization, momentum, and low volatility[2][19] - The latest holdings of the style rotation model for October 2025 include indices such as CSI Central Enterprise Dividend (ETF code: 561580.SH), CSI Bank (ETF code: 512700.SH), CSI Film and Television (ETF code: 159855.SZ), CS Battery (ETF code: 159796.SZ), and CSI All Real Estate (ETF code: 512200.SH)[3][19]