量化观市：货币财政双会定调，后续风格该如何配置？

Quantitative Models and Construction Methods 1. Model Name: Rotation Model - Model Construction Idea: The model is based on the relative performance of micro-cap stocks and "Mao Index" (a large-cap index), using rolling slopes and relative net values to determine rotation signals[19][24] - Model Construction Process: 1. Calculate the relative net value of micro-cap stocks to the Mao Index. If the relative net value is above its 243-day moving average, the model prefers micro-cap stocks; otherwise, it prefers the Mao Index[19][24] 2. Compute the 20-day closing price slopes for both micro-cap stocks and the Mao Index. If the slopes diverge and one is positive, the model selects the index with the positive slope to adapt to potential style shifts[19][24] 3. Timing indicators include the 10-year government bond yield (threshold: 0.3) and micro-cap stock volatility crowding (threshold: 0.55). If either indicator hits the threshold, a closing signal is triggered[19][24] - Model Evaluation: The model effectively captures style rotation signals and provides a systematic approach to manage risk and optimize returns[19][24] 2. Model Name: Macro Timing Model - Model Construction Idea: This model integrates macroeconomic growth and monetary liquidity signals to determine equity allocation levels[44][45] - Model Construction Process: 1. Assign signal strengths to economic growth and monetary liquidity dimensions. For December, the signal strengths were 50% and 60%, respectively[45] 2. Combine these signals to recommend an equity allocation level. For December, the recommended equity allocation was 55%[45] 3. The model's performance is tracked, with a year-to-date return of 13.57% compared to a 25.65% return for the Wind All-A Index[44] - Model Evaluation: The model provides a balanced approach to equity allocation, leveraging macroeconomic indicators to guide investment decisions[44][45] --- Model Backtesting Results 1. Rotation Model - Relative Net Value: Micro-cap stocks to Mao Index relative net value was 2.06, above the 243-day moving average of 1.80[19] - 20-Day Slope: Micro-cap stocks' 20-day slope was -0.15%, while the Mao Index's slope was 0.00%[19] - Risk Indicators: Volatility crowding was -17.17%, below the 55% risk threshold; 10-year government bond yield was 7.32%, below the 30% risk threshold[19] 2. Macro Timing Model - Economic Growth Signal: 50%[45] - Monetary Liquidity Signal: 60%[45] - Equity Allocation: 55%[45] - Year-to-Date Return: 13.57% (compared to Wind All-A Index's 25.65%)[44] --- Quantitative Factors and Construction Methods 1. Factor Name: Growth Factor - Factor Construction Idea: Measures the growth potential of companies based on financial metrics like net income and operating income growth[58][59] - Factor Construction Process: 1. Use single-quarter net income year-over-year growth (NetIncome_SQ_Chg1Y) and single-quarter operating income year-over-year growth (OperatingIncome_SQ_Chg1Y) as key metrics[59] 2. Combine these metrics to rank stocks and construct the factor[59] - Factor Evaluation: Demonstrated strong performance with an IC mean of 10.62% across all A-shares[48] 2. Factor Name: Consensus Expectation Factor - Factor Construction Idea: Captures market sentiment and expectations based on analysts' forecasts[58][59] - Factor Construction Process: 1. Use metrics like expected ROE changes over the past three months (ROE_FTTM_Chg3M) and target return over 180 days (TargetReturn_180D)[59] 2. Rank stocks based on these metrics to construct the factor[59] - Factor Evaluation: Performed well with an IC mean of 9.57% across all A-shares[48] 3. Factor Name: Volatility Factor - Factor Construction Idea: Measures stock price stability and risk using historical price and volume data[58][59] - Factor Construction Process: 1. Use metrics like 60-day return volatility (Volatility_60D) and CAPM residual volatility (IV_CAPM)[59] 2. Rank stocks inversely based on these metrics to construct the factor[59] - Factor Evaluation: Underperformed with an IC mean of -20.21% across all A-shares[48] --- Factor Backtesting Results 1. Growth Factor - IC Mean: 10.62% (all A-shares)[48] - Multi-Long-Short Portfolio Return: 20.54% (all A-shares, year-to-date)[49] 2. Consensus Expectation Factor - IC Mean: 9.57% (all A-shares)[48] - Multi-Long-Short Portfolio Return: 15.95% (all A-shares, year-to-date)[49] 3. Volatility Factor - IC Mean: -20.21% (all A-shares)[48] - Multi-Long-Short Portfolio Return: -2.96% (all A-shares, year-to-date)[49]