CMS(SH:600999) CMS·2025-12-07 08:10Quantitative Models and Construction Methods 1. Model Name: Short-term Timing Strategy - Model Construction Idea: The model is based on historical data and statistical rules to identify short-term market timing signals, combining macroeconomic, valuation, sentiment, and liquidity indicators to generate a comprehensive timing signal[16][17][19] - Model Construction Process: 1. Macroeconomic Indicators: - Manufacturing PMI: If PMI > 50, it gives a positive signal; otherwise, a cautious signal. - Credit Pulse: The YoY growth rate of medium- and long-term RMB loans is used, with a higher percentile indicating a positive signal. - M1 YoY Growth Rate: Filtered using HP filter; higher percentiles indicate a positive signal. 2. Valuation Indicators: - PE Median Percentile: A higher percentile indicates a cautious signal due to mean reversion. - PB Median Percentile: A higher percentile also indicates a cautious signal due to mean reversion. 3. Sentiment Indicators: - Beta Dispersion: Neutral signal if within a certain range. - Volume Sentiment Score: Lower percentiles indicate a cautious signal. - Volatility: Neutral signal if within a certain range. 4. Liquidity Indicators: - Money Market Rate: Lower percentiles indicate a positive signal. - Exchange Rate Expectation: A stronger RMB against the USD gives a positive signal. - 5-day average net financing amount: Lower percentiles indicate a positive signal. 5. Combine all signals to generate a comprehensive timing signal[16][17][19] - Model Evaluation: The model demonstrates significant improvement over the benchmark strategy, with higher annualized returns, lower maximum drawdown, and better Sharpe ratio[18][21] 2. Model Name: Growth-Value Style Rotation Model - Model Construction Idea: The model uses a quantitative economic mid-cycle analysis framework, incorporating profitability, interest rate, and credit cycles to determine the relative attractiveness of growth versus value styles[26][27] - Model Construction Process: 1. Macroeconomic Indicators: - Profitability Cycle Slope: A steeper slope favors growth. - Interest Rate Cycle Level: Higher levels favor value. - Credit Cycle Strength: A stronger credit cycle favors growth. 2. Valuation Indicators: - Growth-Value PE Spread: A higher 5-year percentile indicates a preference for growth. - Growth-Value PB Spread: A higher 5-year percentile also indicates a preference for growth. 3. Sentiment Indicators: - Turnover Spread: A higher 5-year percentile indicates a preference for growth. - Volatility Spread: A higher 5-year percentile indicates a balanced preference for both growth and value. 4. Combine all signals to generate a comprehensive style rotation signal[26][27][28] - Model Evaluation: The strategy has shown significant improvement over the benchmark, with higher annualized returns, lower maximum drawdown, and better Sharpe ratio. However, in 2025, the strategy underperformed the benchmark slightly[27][29] 3. Model Name: Small-Cap vs. Large-Cap Style Rotation Model - Model Construction Idea: The model is based on 11 effective rotation indicators, including liquidity, sentiment, and valuation metrics, to determine the relative attractiveness of small-cap versus large-cap styles[30] - Model Construction Process: 1. Indicators Used: - Indicators such as R007, financing balance changes, trading volume, and sentiment metrics are analyzed. - For each indicator, a signal is generated to favor either small-cap or large-cap styles. 2. Comprehensive Signal: - Combine all individual signals into a comprehensive small-cap or large-cap rotation signal. - The model currently favors large-cap due to weak small-cap indicators such as low trading volume and negative sentiment[30][32] - Model Evaluation: The strategy has consistently generated positive annual excess returns since 2014, with a significant improvement over the benchmark in terms of annualized returns and maximum drawdown[31][32] --- Model Backtesting Results 1. Short-term Timing Strategy - Annualized Return: 16.41% - Annualized Volatility: 14.81% - Maximum Drawdown: 14.07% - Sharpe Ratio: 0.9655 - Return-to-Drawdown Ratio: 1.1667 - Monthly Win Rate: 66.24% - Quarterly Win Rate: 60.38% - Annual Win Rate: 78.57%[18][21] 2. Growth-Value Style Rotation Model - Annualized Return: 12.74% - Annualized Volatility: 20.80% - Maximum Drawdown: 43.07% - Sharpe Ratio: 0.5853 - Return-to-Drawdown Ratio: 0.2958 - Monthly Win Rate: 58.33% - Quarterly Win Rate: 59.62%[29] 3. Small-Cap vs. Large-Cap Style Rotation Model - Annualized Return: 19.73% - Annualized Excess Return: 12.67% - Maximum Drawdown: 40.70% - Average Turnover Interval: 20 trading days - Win Rate (per trade): 49.57%[32]