CMS(SH:600999) CMS·2025-12-14 07:07Quantitative Models and Construction Methods 1. Model Name: Short-term Timing Strategy - Model Construction Idea: The model integrates macroeconomic fundamentals, valuation, sentiment, and liquidity signals to generate short-term timing recommendations for the A-share market[16][18][19] - Model Construction Process: - Macroeconomic Fundamentals: - Manufacturing PMI: A PMI value above 50 indicates economic expansion, while below 50 indicates contraction. The latest PMI is 49.20, signaling caution[16][19] - Credit Impulse: The long-term loan pulse growth rate is at the 54.24% percentile over the past 5 years, indicating a neutral signal[16][19] - M1 Growth Rate: The filtered M1 growth rate is at the 86.44% percentile over the past 5 years, signaling optimism[16][19] - Valuation: - PE Median: The A-share PE median is at the 93.47% percentile over the past 5 years, signaling caution[17][19] - PB Median: The A-share PB median is at the 88.92% percentile over the past 5 years, signaling caution[17][19] - Sentiment: - Beta Dispersion: At the 44.07% percentile over the past 5 years, indicating a neutral signal[17][19] - Volume Sentiment Score: At the 39.12% percentile over the past 5 years, signaling caution[17][19] - Volatility: At the 56.00% percentile over the past 5 years, indicating a neutral signal[17][19] - Liquidity: - Money Market Rate: At the 30.51% percentile over the past 5 years, indicating optimism[18][19] - Exchange Rate Expectation: At the 30.51% percentile over the past 5 years, signaling optimism[18][19] - Average 5-day Financing Amount: At the 47.15% percentile over the past 5 years, indicating a neutral signal[18][19] - Model Evaluation: The model demonstrates strong performance with significant annualized returns and reduced drawdowns compared to the benchmark, showcasing its robustness in short-term market timing[18][23] 2. Model Name: Growth-Value Style Rotation Model - Model Construction Idea: The model evaluates macroeconomic cycles, valuation spreads, and sentiment differences to determine the optimal allocation between growth and value styles[27][28] - Model Construction Process: - Macroeconomic Fundamentals: - Profit Cycle Slope: A steep slope favors growth[28][29] - Interest Rate Cycle: High levels favor value[28][29] - Credit Cycle: Strengthening credit cycles favor growth[28][29] - Valuation: - PE Spread: The growth-value PE spread is at the 34.76% percentile, favoring growth[29] - PB Spread: The growth-value PB spread is at the 41.12% percentile, favoring growth[29] - Sentiment: - Turnover Spread: At the 75.52% percentile, favoring growth[29] - Volatility Spread: At the 67.92% percentile, favoring a balanced allocation[29] - Model Evaluation: The model has delivered consistent annualized returns and reduced drawdowns compared to the benchmark, though recent performance has shown slight underperformance[28][30] 3. Model Name: Small-Cap vs. Large-Cap Style Rotation Model - Model Construction Idea: The model uses 11 effective rotation indicators, including liquidity, sentiment, and valuation metrics, to determine the optimal allocation between small-cap and large-cap stocks[31][33] - Model Construction Process: - Key Indicators: - Indicators such as R007, financing balance changes, and thematic trading sentiment currently favor large-cap stocks[31][33] - Comprehensive Signal: The model aggregates individual signals to generate a composite recommendation, which currently suggests overweighting large-cap stocks[31][33] - Model Evaluation: The model has consistently generated positive annualized excess returns since 2014, demonstrating its effectiveness in capturing style rotation opportunities[32][33] --- Model Backtesting Results 1. Short-term Timing Strategy - Annualized Return: 16.40% (benchmark: 4.77%)[18][23] - Annualized Volatility: 14.80% (benchmark: 11.59%)[23] - Maximum Drawdown: 14.07% (benchmark: 31.41%)[23] - Sharpe Ratio: 0.9651 (benchmark: 0.2876)[23] - 2025 YTD Return: 23.60% (benchmark: 13.49%)[18][23] 2. Growth-Value Style Rotation Model - Annualized Return: 12.74% (benchmark: 7.97%)[28][30] - Annualized Volatility: 20.80% (benchmark: 20.66%)[30] - Maximum Drawdown: 43.07% (benchmark: 44.13%)[30] - Sharpe Ratio: 0.5853 (benchmark: 0.3785)[30] - 2025 YTD Return: 25.13% (benchmark: 25.96%)[28][30] 3. Small-Cap vs. Large-Cap Style Rotation Model - Annualized Return: 19.73% (benchmark: 12.67%)[33] - Maximum Drawdown: 40.70% (benchmark: 44.32%)[33] - 2025 YTD Return: 33.83% (benchmark: 22.54%)[32][33]