CMS(SH:600999) CMS·2025-12-21 13:08Quantitative Models and Construction Methods 1. Model Name: Short-term Timing Strategy - Model Construction Idea: The model aims to provide short-term market timing signals by analyzing macroeconomic fundamentals, valuation metrics, sentiment indicators, and liquidity conditions. It integrates these factors into a comprehensive signal for market timing decisions [16][17] - Model Construction Process: 1. Macroeconomic Fundamentals: - Manufacturing PMI: A value above 50 indicates expansion, while below 50 indicates contraction. The latest PMI is 49.20, giving a cautious signal [16][19] - Credit Impulse: The current long-term loan pulse growth rate is at the 54.24% percentile over the past 5 years, providing a neutral signal [16][19] - M1 Growth Rate: The filtered M1 growth rate is at the 86.44% percentile, indicating strong growth and a positive signal [16][19] 2. Valuation Metrics: - PE Median: The current PE median is at the 93.55% percentile over the past 5 years, signaling caution [16][19] - PB Median: The current PB median is at the 90.57% percentile, also signaling caution [16][19] 3. Sentiment Indicators: - Beta Dispersion: At the 44.07% percentile, providing a neutral signal [17][19] - Volume Sentiment Score: At the 24.15% percentile, indicating weak sentiment and a cautious signal [17][19] - Volatility: At the 32.01% percentile, providing a neutral signal [17][19] 4. Liquidity Conditions: - Money Market Rate: At the 30.51% percentile, indicating relatively loose liquidity and a positive signal [17][19] - Exchange Rate Expectation: At the 30.51% percentile, indicating a strong RMB and a positive signal [17][19] - Average 5-day Financing Inflows: At the 51.70% percentile, providing a neutral signal [17][19] - Model Evaluation: The model demonstrates strong performance with significant annualized returns and reduced drawdowns compared to the benchmark [18][21] 2. Model Name: Growth-Value Style Rotation Model - Model Construction Idea: This model identifies rotation opportunities between growth and value styles based on macroeconomic cycles, valuation spreads, and sentiment differences [27][28] - Model Construction Process: 1. Macroeconomic Fundamentals: - Profit Cycle Slope: A steep slope benefits growth styles [27][29] - Interest Rate Cycle: High levels favor value styles [27][29] - Credit Cycle: Strengthening credit cycles benefit growth styles [27][29] 2. Valuation Metrics: - PE Spread: The 5-year percentile of the growth-value PE spread is 30.29%, favoring growth styles [27][29] - PB Spread: The 5-year percentile of the growth-value PB spread is 47.25%, also favoring growth styles [27][29] 3. Sentiment Indicators: - Turnover Spread: At the 40.86% percentile, indicating a neutral signal [28][29] - Volatility Spread: At the 65.89% percentile, indicating a neutral signal [28][29] - Model Evaluation: The model has delivered consistent annualized returns and outperformed the benchmark in most years, though it underperformed slightly in 2025 [28][30] 3. Model Name: Small-Cap vs. Large-Cap Rotation Model - Model Construction Idea: This model evaluates the relative performance of small-cap and large-cap stocks using 11 effective rotation indicators, including liquidity, sentiment, and valuation metrics [31][33] - Model Construction Process: - Key Indicators: - Liquidity Metrics: R007 and financing balance changes, both favoring large-cap stocks [31][33] - Sentiment Metrics: Theme trading sentiment and beta dispersion, both favoring large-cap stocks [31][33] - Valuation Metrics: PB dispersion and MACD signals, favoring large-cap stocks [31][33] - Comprehensive Signal: The model aggregates these indicators into a composite signal, which currently suggests a 100% allocation to large-cap stocks [31][33] - Model Evaluation: The model has consistently generated positive annualized excess returns since 2014, with strong performance in 2025 [32][33] --- Model Backtesting Results 1. Short-term Timing Strategy - Annualized Return: 16.37% (Benchmark: 4.76%) [18][21] - Annualized Volatility: 14.79% (Benchmark: 11.59%) [18][21] - Maximum Drawdown: 14.07% (Benchmark: 31.41%) [18][21] - Sharpe Ratio: 0.9641 (Benchmark: 0.2865) [18][21] - 2025 Performance: Strategy Return: 23.60%, Benchmark Return: 13.41%, Excess Return: 10.19% [18][21] 2. Growth-Value Style Rotation Model - Annualized Return: 12.71% (Benchmark: 7.96%) [28][30] - Annualized Volatility: 20.79% (Benchmark: 20.64%) [28][30] - Maximum Drawdown: 43.07% (Benchmark: 44.13%) [28][30] - Sharpe Ratio: 0.5842 (Benchmark: 0.3782) [28][30] - 2025 Performance: Strategy Return: 25.36%, Benchmark Return: 26.19%, Excess Return: -0.84% [28][30] 3. Small-Cap vs. Large-Cap Rotation Model - Annualized Return: 33.64% (Benchmark: 22.11%) [32][33] - Annualized Excess Return: 11.53% [32][33] - Maximum Drawdown: 40.70% [32][33] - 2025 Performance: Strategy Return: 33.64%, Benchmark Return: 22.11%, Excess Return: 11.53% [32][33]