CMS·2026-03-01 08:33Quantitative 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 macro fundamentals, valuation, sentiment, and liquidity indicators[14][15] - Model Construction Process: 1. Macro Fundamentals: - Manufacturing PMI: If >50, it indicates economic expansion; otherwise, contraction. Current value: 49.30, giving a cautious signal[14][17] - Credit Pulse: Measured by the YoY growth rate of medium- and long-term RMB loans, currently at the 59.32% percentile over the past 5 years, giving a neutral signal[14][17] - M1 Growth Rate: Filtered using HP trend removal, currently at 86.44% percentile, giving an optimistic signal[14][17] 2. Valuation: - PE Median: Current value at 100% percentile over the past 5 years, indicating overvaluation and giving a cautious signal[14][17] - PB Median: Current value at 100% percentile over the past 5 years, also indicating overvaluation and giving a cautious signal[14][17] 3. Sentiment: - Beta Dispersion: Current value at 16.95% percentile, indicating low dispersion and giving an optimistic signal[15][17] - Market Volume Sentiment Score: Current value at 46.40% percentile, giving a neutral signal[15][17] - Market Volatility: Current value at 65.84% percentile, giving a neutral signal[15][17] 4. Liquidity: - Money Market Rate: Current value at 33.90% percentile, indicating relatively loose liquidity and giving an optimistic signal[15][17] - Exchange Rate Expectation: Current value at 8.47% percentile, indicating a strong RMB against the USD and giving an optimistic signal[15][17] - 5-day Average Net Financing: Current value at 9.68% percentile, giving a neutral signal[15][17] - Model Evaluation: The model demonstrates significant improvement in annualized returns and reduced drawdowns compared to the benchmark strategy, indicating its effectiveness in short-term market timing[16][22] 2. Model Name: Growth-Value Style Rotation Model - Model Construction Idea: This model identifies the optimal allocation between growth and value styles based on macroeconomic signals, valuation, momentum, and style breadth[24] - Model Construction Process: 1. Dynamic Macro Signal: Currently at 0%, indicating no support for growth style[25] 2. Valuation Reversion Signal: Currently at 100%, favoring value style[25] 3. Short-term Momentum Signal: Currently at 0%, indicating no momentum for growth style[25] 4. Style Breadth Signal: Currently at 0%, indicating no broad-based support for growth style[25] 5. Style Crowding Signal: Currently at 100%, favoring value style[25] - Model Evaluation: The model has consistently outperformed the benchmark since 2011, with an annualized return of 14.62% and an annualized excess return of 7.91%[24][25] 3. Model Name: Small-Cap vs. Large-Cap Style Rotation Model - Model Construction Idea: This model uses 11 effective rotation indicators to generate a composite signal for small-cap and large-cap style rotation[27] - Model Construction Process: 1. Key indicators include: - Financing Purchase Balance Change - A-share Dragon-Tiger List Purchase Intensity - R007 (Interbank Rate) - Theme Investment Sentiment - Grade Spread - Option Volatility Risk Premium - Beta Dispersion - PB Dispersion - Block Trade Discount Rate - CSI 1000 MACD (10,20,10) - CSI 1000 Trading Volume[30] 2. Signals are generated based on the performance of these indicators, with thresholds for confirmation (e.g., three consecutive days of signal triggers)[27][30] - Model Evaluation: The model has generated positive excess returns annually since 2014, with a notable annualized excess return of 12.94% for the 3-day smoothed composite signal[28][30] --- Model Backtesting Results 1. Short-term Timing Strategy - Annualized Return: 16.50% - Benchmark Annualized Return: 5.11% - Annualized Excess Return: 11.39% - Maximum Drawdown: 15.05% (vs. 31.41% for the benchmark) - Sharpe Ratio: 0.9713 (vs. 0.3164 for the benchmark) - Return-to-Drawdown Ratio: 1.0966 (vs. 0.1627 for the benchmark) - Monthly Win Rate: 66.04% (vs. 54.72% for the benchmark)[16][22] 2. Growth-Value Style Rotation Model - Annualized Return: 14.62% - Benchmark Annualized Return: 6.72% - Annualized Excess Return: 7.91% - Maximum Drawdown: 40.08% (vs. 44.11% for the benchmark) - Sharpe Ratio: 0.65 (vs. 0.32 for the benchmark) - Return-to-Drawdown Ratio: 0.36 (vs. 0.15 for the benchmark)[24][25] 3. Small-Cap vs. Large-Cap Style Rotation Model - Annualized Return: 20.68% (3-day smoothed composite signal) - Annualized Excess Return: 12.94% (3-day smoothed composite signal) - Maximum Drawdown: 40.70% (3-day smoothed composite signal) - Average Turnover Interval: 20 trading days - Win Rate (per trade): 50.11%[30]