全球大类资产配置与A股相对收益：原油基本面量化择时策略

Core Insights - The report analyzes the core driving factors of crude oil prices, constructing a quantitative timing strategy that demonstrates significant excess returns compared to the Brent crude oil benchmark [3] - The strategy shows a cumulative return of 309.21% and an annualized return of 14.48% for a pure long strategy, while a long-short strategy yields a cumulative return of 374.27% and an annualized return of 16.12% [3][42] Crude Oil Price Drivers - The pricing logic of oil is dissected into four dimensions: supply-demand fundamentals, trading attributes, geopolitical conflicts, and pricing mechanisms [3] - Supply-demand fundamentals are the long-term determinants of oil prices, with demand anchored to the economic conditions of China, the US, and Europe [11][22] - Geopolitical conflicts and global risk appetite, as indicated by the VIX index, are key short-term drivers of oil price volatility [3] - The US dollar index shows a significant negative correlation with oil prices, serving as a core currency anchor for oil pricing [29] Quantitative Timing Strategy Construction - A crude oil prosperity index is constructed by equally weighting various indicators related to demand, inventory, and trading sentiment, allowing for a more stable timing signal [34] - The strategy employs a month-end rebalancing mechanism, making position decisions based on the crude oil prosperity signal at the end of each month [39] Strategy Backtesting Performance - From October 2015 to February 2026, the pure long strategy achieved a maximum drawdown of only -20.06% and a Sharpe ratio of 0.88, effectively avoiding significant price declines [42] - The long-short strategy, while yielding higher returns, exhibited a higher maximum drawdown of -57.13% and a lower Sharpe ratio of 0.49, indicating a more aggressive risk profile [42]