GF SECURITIES(SZ:000776) GF SECURITIES·2026-02-03 02:32Quantitative Models and Construction Methods Macro Indicator Trend Model - Model Name: Macro Indicator Trend Model - Construction Idea: Establish the relationship between macro indicators and asset performance by analyzing the trend of macro indicators and their impact on monthly asset returns[17][18] - Construction Process: - Use monthly moving averages of macro indicators to classify them into upward or downward trends - Apply T-test to determine whether the distribution of monthly returns of assets differs significantly under upward and downward trends - Formula: $ t = \frac{\overline{R_1} - \overline{R_2}}{\sqrt{\frac{(n_1-1)S_1^2 + (n_2-1)S_2^2}{n_1+n_2-2}(\frac{1}{n_1} + \frac{1}{n_2})}} \sim t_{n_1+n_2-2} $ - $\overline{R_1}$ and $\overline{R_2}$: Average monthly returns under upward and downward trends - $S_1$ and $S_2$: Standard deviations of monthly returns under upward and downward trends - $n_1$ and $n_2$: Number of months under upward and downward trends[17][18] - Evaluation: Effectively identifies macro indicators with significant impacts on asset returns[17][18] Technical Perspective Model - Model Name: Technical Perspective Model - Construction Idea: Evaluate asset trends, valuation, and fund flows using historical data and specific calculation methods[22][23][25] - Construction Process: - Trend: Use closing prices or LLT indicators to calculate trend indicators. Assign +1 for upward trends and -1 for downward trends[22] - Valuation: Calculate equity risk premium (ERP) as the reciprocal of PE(TTM) minus the 10-year government bond yield. Define historical 5-year percentile as: $ (Current ERP - Historical 5-year ERP Minimum) / (Historical 5-year ERP Maximum - Historical 5-year ERP Minimum) $ Assign scores based on percentile levels: +2 for >90%, +1 for 70%-90%, 0 for 30%-70%, -1 for 10%-30%, -2 for <10%[23][25] - Fund Flows: Calculate monthly active net inflows for indices and assess marginal changes. Assign +1 for positive changes and -1 for negative changes[26] - Evaluation: Provides a comprehensive view of asset trends, valuation, and fund flows[22][23][25] Fixed Proportion + Macro Indicators + Technical Indicators Combination Model - Model Name: Fixed Proportion + Macro Indicators + Technical Indicators Combination Model - Construction Idea: Adjust asset weights based on macro and technical indicators while maintaining a fixed proportion baseline[36][40] - Construction Process: - Set baseline weights for equity, bonds, commodities, and currency assets - Adjust weights monthly based on macro and technical indicator signals[36][40] - Evaluation: Balances fixed proportion allocation with dynamic adjustments for improved performance[36][40] Controlled Volatility + Macro Indicators + Technical Indicators Combination Model - Model Name: Controlled Volatility + Macro Indicators + Technical Indicators Combination Model - Construction Idea: Limit annualized volatility to 6% while dynamically adjusting weights based on macro and technical indicators[46][50] - Construction Process: - Use risk parity as the baseline weight - Adjust weights monthly based on macro and technical indicator signals[46][50] - Evaluation: Reduces volatility while maintaining competitive returns[46][50] Equity Style Rotation Models - Model Name: Equity Style Rotation Models (Large/Small Cap and Growth/Value) - Construction Idea: Adjust weights between equity styles based on macro and technical indicators[57][58] - Construction Process: - Set baseline weights for large/small cap and growth/value styles - Adjust weights monthly based on macro and technical indicator signals[57][58] - Evaluation: Captures style rotation opportunities for enhanced returns[57][58] --- Model Backtesting Results Macro Indicator Trend Model - Annualized Return: Not explicitly provided - Maximum Drawdown: Not explicitly provided - Annualized Volatility: Not explicitly provided Technical Perspective Model - Annualized Return: Not explicitly provided - Maximum Drawdown: Not explicitly provided - Annualized Volatility: Not explicitly provided Fixed Proportion + Macro Indicators + Technical Indicators Combination Model - Annualized Return: 10.20%[40] - Maximum Drawdown: 9.27%[40] - Annualized Volatility: 6.14%[40] Controlled Volatility + Macro Indicators + Technical Indicators Combination Model - Annualized Return: 10.46%[50] - Maximum Drawdown: 7.37%[50] - Annualized Volatility: 5.54%[50] Large/Small Cap Rotation Model - Annualized Return: 14.30%[61] - Maximum Drawdown: 49.10%[61] - Annualized Volatility: 22.30%[61] Growth/Value Rotation Model - Annualized Return: 14.43%[68] - Maximum Drawdown: 45.18%[68] - Annualized Volatility: 21.57%[68]