金融工程专题报告：基于宏观数据的资产配置与风格行业轮动体系

Quantitative Models and Construction Methods 1. Model Name: Stock Timing Model - Construction Idea: The model is based on the comprehensive judgment of economic growth and liquidity easing[18] - Construction Process: - Construct timing factors from two core dimensions: economic growth and liquidity easing[18] - Factors include PMI YoY smoothed value, manufacturing fixed asset investment completion amount cumulative YoY, CPI YoY smoothed value, and new medium and long-term loans cumulative value YoY[19] - Use the formula: $\text{Factor} = \begin{cases} 1 & \text{if indicator improves} \\ 0 & \text{otherwise} \end{cases}$ - Backtest using CSI 800 total return as the benchmark[19] - Evaluation: The model effectively captures stock market cycles, avoiding downturns[21] 2. Model Name: Bond Timing Model - Construction Idea: The model analyzes from the perspective of monetary liquidity supply and demand[23] - Construction Process: - Factors include DR007, SHIBOR, and social financing scale stock YoY smoothed value[24] - Use the formula: $\text{Factor} = \begin{cases} 1 & \text{if short-term average < long-term average} \\ 0 & \text{otherwise} \end{cases}$ - Backtest using ChinaBond Treasury Total Net Price Index as the benchmark[24] - Evaluation: The model captures bond market trends, minimizing drawdowns[25] 3. Model Name: All-Weather Strategy - Construction Idea: The model adjusts risk budgets for different assets based on timing signals[17] - Construction Process: - Use a risk parity model to allocate risk contributions of assets[30] - Adjust risk budgets based on stock and bond timing signals[32] - Optimize the model: $\begin{array}{c} \min \sum_{i=1}^{N} \left( RC_i - b_i \sigma_p \right)^2 \\ \text{s.t.} \sum_{i=1}^{N} \omega_i = 1 \\ 0 \leq \omega_i \leq 1 \end{array}$ - Backtest using a combination of CSI 800, ChinaBond Treasury Total Wealth Index, CSI Convertible Bond Index, S&P 500 ETF, and AAA Credit Bonds[31] - Evaluation: The strategy provides higher absolute returns while controlling risk[38] Model Backtest Results Stock Timing Model - Annualized Return: 14.1%[21] - Benchmark Annualized Return: 5.4%[21] - Excess Annualized Return: 8.7%[21] - Monthly Win Rate: 56.7%[21] Bond Timing Model - Annualized Return: 2.3%[25] - Benchmark Annualized Return: 1.1%[25] - Excess Annualized Return: 1.1%[25] - Monthly Win Rate: 68.3%[25] All-Weather Strategy - Annualized Return: 6.1%[38] - Benchmark Annualized Return: 5.1%[38] - Excess Annualized Return: 1.0%[38] - Maximum Drawdown: 2.6%[38] - Sharpe Ratio: 2.04[38] Quantitative Factors and Construction Methods 1. Factor Name: Value-Growth Rotation Factor - Construction Idea: The factor is based on economic recovery, liquidity, and market sentiment[47] - Construction Process: - Factors include manufacturing fixed asset investment completion amount, PPI YoY smoothed value, M2 YoY smoothed value, social financing YoY smoothed value, medium and long-term loan growth YoY smoothed value, market turnover rate, and margin balance percentile[48] - Use the formula: $\text{Factor} = \begin{cases} 1 & \text{if indicator improves} \\ 0 & \text{otherwise} \end{cases}$ - Backtest using the National Growth Index and National Value Index[48] - Evaluation: The factor captures the cyclical characteristics of value and growth styles[47] 2. Factor Name: Size Rotation Factor - Construction Idea: The factor is based on economic prosperity, liquidity, and market sentiment[55] - Construction Process: - Factors include manufacturing fixed asset investment completion amount, PPI YoY smoothed value, gold daily return rate, government bond yield, credit spread, M1 YoY smoothed value, market turnover rate, and margin balance percentile[56] - Use the formula: $\text{Factor} = \begin{cases} 1 & \text{if indicator improves} \\ 0 & \text{otherwise} \end{cases}$ - Backtest using the CSI 300 Index and CSI 1000 Index[57] - Evaluation: The factor captures the cyclical characteristics of large-cap and small-cap styles[55] Factor Backtest Results Value-Growth Rotation Factor - Annualized Return: 9.2%[51] - Benchmark Annualized Return: 1.7%[51] - Excess Annualized Return: 7.5%[51] - Monthly Win Rate: 60.2%[51] Size Rotation Factor - Annualized Return: 9.2%[59] - Benchmark Annualized Return: 0.1%[59] - Excess Annualized Return: 9.0%[59] - Monthly Win Rate: 58.3%[59] Industry Rotation Solution 1. Factor Name: Macro Factor - Construction Idea: The factor is based on the second-order changes in economic growth and liquidity[67] - Construction Process: - Factors include PMI, social financing scale, manufacturing fixed asset investment completion amount, CPI, M2 growth rate, 10-year government bond yield, and credit spread[70] - Use the formula: $\text{Factor} = \begin{cases} 1 & \text{if indicator improves} \\ 0 & \text{otherwise} \end{cases}$ - Backtest using industry indices[73] - Evaluation: The factor captures the marginal inflection points of macro trends[67] 2. Factor Name: Fundamental Factor - Construction Idea: The factor is based on historical prosperity, prosperity changes, and prosperity expectations[79] - Construction Process: - Factors include industry component stock median, industry profitability, and industry consensus profit expectations[79] - Use the formula: $\text{Factor} = \begin{cases} 1 & \text{if indicator improves} \\ 0 & \text{otherwise} \end{cases}$ - Backtest using industry indices[82] - Evaluation: The factor captures the core of industry prosperity[79] 3. Factor Name: Technical Factor - Construction Idea: The factor is based on index momentum, leading stock momentum, and K-line patterns[87] - Construction Process: - Factors include industry index relative excess return IR, leading stock sharp ratio, and K-line pattern score[89] - Use the formula: $\text{Factor} = \begin{cases} 1 & \text{if indicator improves} \\ 0 & \text{otherwise} \end{cases}$ - Backtest using industry indices[96] - Evaluation: The factor captures the technical evaluation of industry trends[87] 4. Factor Name: Crowding Factor - Construction Idea: The factor is based on financing inflows, turnover rate, and transaction proportion[100] - Construction Process: - Factors include industry financing buy amount, industry turnover rate, and industry transaction amount proportion[101] - Use the formula: $\text{Factor} = \begin{cases} 1 & \text{if indicator improves} \\ 0 & \text{otherwise} \end{cases}$ - Backtest using industry indices[104] - Evaluation: The factor captures the crowding level of industries[100] Industry Rotation Backtest Results Macro Factor - Annualized Return: 42.9%[73] - Benchmark Annualized Return: -22.8%[73] - Excess Annualized Return: 65.7%[73] Fundamental Factor - Annualized Return: 11.3%[85] - Benchmark Annualized Return: 2.8%[85] - Excess Annualized Return: 8.5%[85] - IC Mean: 8.2%[85] Technical Factor - Annualized Return: 9.7%[97] - Benchmark Annualized Return: 2.8%[97] - Excess Annualized Return: 6.9%[97] - IC Mean: 8.2%[97] Crowding Factor - Annualized Return: -2.9