CMS(SH:600999) CMS·2026-02-01 06:50Quantitative Models and Construction Methods 1. Model Name: Short-term Timing Strategy - Model Construction Idea: The model aims to provide short-term timing signals based on macroeconomic, valuation, sentiment, and liquidity indicators[11][12][13]. - Model Construction Process: - Macroeconomic Indicators: 1) Manufacturing PMI > 50 gives optimistic signals; current value is 49.30, indicating cautious sentiment[15]. 2) Credit pulse growth rate at 79.66% percentile over the past 5 years, indicating strong credit growth and optimistic signals[12][15]. 3) M1 growth rate (HP filtered) at 71.19% percentile over the past 5 years, indicating strong M1 growth and optimistic signals[12][15]. - Valuation Indicators: 1) PE median value at 99.17% percentile over the past 5 years, indicating cautious sentiment[12][15]. 2) PB median value at 98.92% percentile over the past 5 years, indicating cautious sentiment[12][15]. - Sentiment Indicators: 1) Beta dispersion at 55.93% percentile over the past 5 years, indicating neutral sentiment[13][15]. 2) Volume sentiment score at 89.00% percentile over the past 5 years, indicating optimistic sentiment[13][15]. 3) Volatility at 35.15% percentile over the past 5 years, indicating neutral sentiment[13][15]. - Liquidity Indicators: 1) Money market interest rate at 40.68% percentile over the past 5 years, indicating neutral sentiment[13][15]. 2) RMB exchange rate expectation at -0.69%, at 22.03% percentile over the past 5 years, indicating optimistic sentiment[13][15]. 3) 5-day average net financing amount at 0.00% percentile over the past 5 years, indicating optimistic sentiment[13][15]. - Model Evaluation: The model demonstrates strong performance in terms of annualized returns and risk control, with significant improvement over the benchmark strategy[14][18]. 2. Model Name: Growth-Value Style Rotation Model - Model Construction Idea: The model identifies rotation opportunities between growth and value styles based on macroeconomic, valuation, trend, and crowding indicators[23]. - Model Construction Process: - Macroeconomic Indicators: Weak signals from credit pulse, M0, M1, and fiscal expenditure; only inflation scissors and US bond yields support growth style, leading to a value-biased macro signal[23]. - Valuation Indicators: Growth valuation remains neutral to slightly low compared to value, with room for upward movement[23]. - Trend Indicators: Short-term growth style has slightly corrected, but medium-term distribution shows expansion characteristics[23]. - Crowding Indicators: Growth style crowding has decreased to reasonable levels[23]. - Model Evaluation: The model has achieved an annualized return of 14.64% since 2011, with an annualized excess return of 7.98% over the benchmark strategy[23][24]. 3. Model Name: Small-Cap vs Large-Cap Style Rotation Model - Model Construction Idea: The model uses 11 effective rotation indicators to construct a comprehensive signal for small-cap and large-cap style rotation[27]. - Model Construction Process: - Rotation Indicators: 1) A-share leaderboard buying intensity[27]. 2) R007 interbank rate[27]. 3) Financing balance changes[27]. 4) Thematic investment sentiment[27]. 5) Credit spread[27]. 6) Option volatility risk premium[27]. 7) Beta dispersion[27]. 8) PB differentiation[27]. 9) Block trade premium/discount rate[27]. 10) CSI 1000 MACD (10,20,10)[27]. 11) CSI 1000 trading volume[27]. - Signal Aggregation: Signals are aggregated to determine small-cap or large-cap bias. Current signals favor large-cap style[27]. - Model Evaluation: The model has consistently generated positive excess returns annually since 2014, with an annualized excess return of 13.20% for the comprehensive smoothed signal[28]. --- Model Backtesting Results 1. Short-term Timing Strategy - Annualized Return: 16.61% - Benchmark Annualized Return: 5.04% - Annualized Excess Return: 11.58% - Maximum Drawdown: 15.05% - Sharpe Ratio: 0.9788 - Monthly Win Rate: 66.46% - Quarterly Win Rate: 61.11% - Annual Win Rate: 80.00%[14][18][20]. 2. Growth-Value Style Rotation Model - Annualized Return: 14.64% - Benchmark Annualized Return: 6.66% - Annualized Excess Return: 7.98% - Maximum Drawdown: 40.08% - Sharpe Ratio: 0.65 - Monthly Excess Win Rate: 66.49% - Annualized Tracking Error: 5.88% - Information Ratio (IR): 1.36[23][24]. 3. Small-Cap vs Large-Cap Style Rotation Model - Annualized Return: 20.82% (Comprehensive Smoothed Signal) - Benchmark Annualized Return: 7.62% - Annualized Excess Return: 13.20% - Maximum Drawdown: 40.70% - Average Turnover Interval: 20 trading days - Win Rate (Per Trade): 50.32%[27][28].