Quantitative Models and Construction Methods 1. Model Name: Short-term Quantitative Timing Model - **Model Construction Idea**: The model integrates macroeconomic fundamentals, valuation, sentiment, and liquidity indicators to generate short-term market timing signals[24][25][26] - **Model Construction Process**: - **Macroeconomic Fundamentals**: - Manufacturing PMI: Current value at 49.70, 44.92% percentile over the past 5 years, indicating neutral sentiment[24] - Long-term RMB loan growth: 0.00% percentile, indicating weak credit growth and cautious signals[24] - M1 growth rate: 94.92% percentile, indicating strong growth and optimistic signals[24] - **Valuation**: - PE median: 43.18, 97.19% percentile, indicating high valuation and neutral signals[25] - PB median: 2.85, 86.77% percentile, indicating high valuation and neutral signals[25] - **Sentiment**: - Beta dispersion: -0.59%, 40.68% percentile, indicating neutral sentiment[25] - Volume sentiment score: 0.98, 99.59% percentile, indicating strong sentiment and optimism[25] - Volatility: 7.53% (annualized), 0.17% percentile, indicating optimism[25] - **Liquidity**: - Monetary rate: -0.10, 33.90% percentile, indicating relative ease and optimism[26] - Exchange rate expectations: -0.09%, 40.68% percentile, indicating neutrality[26] - 5-day average financing: 50.66 billion RMB, 95.53% percentile, indicating neutral leverage signals[26] - **Model Evaluation**: The model demonstrates strong performance with significant excess returns and reduced drawdowns compared to benchmarks[26][30] 2. Model Name: Growth-Value Style Rotation Model - **Model Construction Idea**: The model evaluates growth and value styles based on macroeconomic fundamentals, valuation, and sentiment indicators to recommend allocation[35] - **Model Construction Process**: - **Macroeconomic Fundamentals**: - Profit cycle slope: High, favoring growth[37] - Interest rate cycle: High, favoring value[37] - Credit cycle: Weak, favoring value[37] - **Valuation**: - PE difference: 19.57% percentile, favoring growth[37] - PB difference: 38.03% percentile, favoring growth[37] - **Sentiment**: - Turnover difference: 38.13% percentile, favoring value[37] - Volatility difference: 17.73% percentile, favoring balanced allocation[37] - **Model Evaluation**: The model has historically delivered significant excess returns over benchmarks, though recent performance has been mixed[36][39] 3. Model Name: Small-Cap vs. Large-Cap Style Rotation Model - **Model Construction Idea**: The model assesses small-cap and large-cap styles using macroeconomic fundamentals, valuation, and sentiment indicators to suggest balanced allocation[40] - **Model Construction Process**: - **Macroeconomic Fundamentals**: - Profit cycle slope: High, favoring small-cap[42] - Interest rate cycle: High, favoring large-cap[42] - Credit cycle: Weak, favoring large-cap[42] - **Valuation**: - PE difference: 78.86% percentile, favoring large-cap[42] - PB difference: 96.59% percentile, favoring large-cap[42] - **Sentiment**: - Turnover difference: 72.56% percentile, favoring small-cap[42] - Volatility difference: 62.60% percentile, favoring large-cap[42] - **Model Evaluation**: The model has consistently outperformed benchmarks, delivering significant excess returns over time[41][44] 4. Model Name: Four-Style Rotation Model - **Model Construction Idea**: Combines insights from growth-value and small-cap-large-cap models to allocate across four styles: small-cap growth, small-cap value, large-cap growth, and large-cap value[45] - **Model Construction Process**: - Allocation recommendation: Small-cap growth (12.5%), small-cap value (37.5%), large-cap growth (12.5%), large-cap value (37.5%)[45] - **Model Evaluation**: The model has historically generated significant excess returns, though recent performance has been slightly below benchmarks[45][46] --- Model Backtest Results 1. Short-term Quantitative Timing Model - Annualized return: 16.98% - Annualized volatility: 14.55% - Maximum drawdown: 27.70% - Sharpe ratio: 1.0138 - Excess return (2024 onwards): 2.26%[26][30][33] 2. Growth-Value Style Rotation Model - Annualized return: 11.82% - Annualized volatility: 20.79% - Maximum drawdown: 43.07% - Sharpe ratio: 0.5457 - Excess return (2025 YTD): -2.32%[36][39] 3. Small-Cap vs. Large-Cap Style Rotation Model - Annualized return: 12.38% - Annualized volatility: 22.69% - Maximum drawdown: 50.65% - Sharpe ratio: 0.5408 - Excess return (2025 YTD): -5.11%[41][44] 4. Four-Style Rotation Model - Annualized return: 13.29% - Annualized volatility: 21.53% - Maximum drawdown: 47.91% - Sharpe ratio: 0.6001 - Excess return (2025 YTD): -3.25%[45][46]

Core Viewpoint - The article discusses the significant discount in the futures market compared to previous years and the higher implied volatility of put options compared to call options, suggesting a potential pessimistic outlook among investors. It proposes a quantitative timing strategy based on the synthetic underlying price of ETF options to address these issues [1]. Group 1: Concepts of Premium and Discount - The premium and discount of stock index futures is defined as the difference between futures prices and spot prices, with a positive value indicating a premium and a negative value indicating a discount. The annualized premium rate is often used for better comparison [2]. - The seasonal discount phenomenon in stock index futures is attributed to dividend payouts from constituent stocks, which can lead to a natural decline in the index and is particularly evident from May to September [2]. Group 2: Synthetic Underlying of ETF Options - The price of the synthetic underlying for ETF options can be expressed using the call option price, strike price, and put option price. The premium or discount rate is calculated as the difference between the synthetic price and the underlying ETF price [3]. - There is a strong positive correlation (over 0.97) between the annualized premium rate of the synthetic underlying of ETF options and the annualized premium rate of stock index futures after excluding dividends, indicating that the synthetic underlying may provide a more accurate reflection of market expectations [3]. Group 3: Quantitative Timing Strategy Backtest Results - The strategy suggests that when the valuation of put options is significantly higher than that of call options, it does not necessarily indicate a market downturn. Instead, it may present a buying opportunity [4]. - The strategy is based on the premise that when the ETF synthetic underlying futures premium is at a historical low, it indicates excessive pessimism, and a potential rebound may occur, prompting a buy signal for the next trading day [4]. Group 4: Historical Backtest Performance - The strategy has shown significant outperformance compared to the underlying ETFs since 2018, with an annualized return of 19.05% and a maximum drawdown of -17.83% when trading the Huatai-PineBridge 300 ETF [6]. - The cumulative return of the timing strategy reached 142.9%, significantly higher than the 51.8% return of the IC monthly contract and 2.52% of the 500 ETF [6]. Group 5: Summary - The article highlights the relationship between the synthetic underlying of ETF options and stock index futures, emphasizing the effectiveness of a quantitative timing strategy based on the synthetic premium. The results indicate that significant discounts in the futures market do not necessarily signal a sell-off but rather present opportunities for long positions [12].

Quantitative Models and Construction Methods 1. Model Name: Short-term Timing Model - **Model Construction Idea**: The model aims to provide short-term market timing signals based on various market indicators. - **Model Construction Process**: - **Fundamental Indicators**: - Manufacturing PMI: Current value is 49.70, at the 44.92% percentile over the past 5 years, giving a neutral signal[17] - RMB medium and long-term loan balance growth rate: Current value is 6.78%, at the 0.00% percentile over the past 5 years, giving a cautious signal[17] - M1 growth rate: Current value is 2.30%, at the 77.97% percentile over the past 5 years, giving an optimistic signal[17] - **Valuation Indicators**: - PE median: Current value is 40.16, at the 92.80% percentile over the past 5 years, giving a neutral signal[18] - PB median: Current value is 2.68, at the 71.05% percentile over the past 5 years, giving a neutral signal[18] - **Sentiment Indicators**: - Beta dispersion: Current value is -0.59%, at the 40.68% percentile over the past 5 years, giving a neutral signal[20] - Volume sentiment score: Current value is 0.30, at the 72.70% percentile over the past 5 years, giving an optimistic signal[20] - Volatility: Current value is 11.57% (annualized), at the 12.99% percentile over the past 5 years, giving a neutral signal[20] - **Liquidity Indicators**: - Monetary rate indicator: Current value is -0.10, at the 33.90% percentile over the past 5 years, giving an optimistic signal[20] - Exchange rate expectation indicator: Current value is -0.09%, at the 40.68% percentile over the past 5 years, giving a neutral signal[20] - Average new financing amount over 5 days: Current value is 23.20 billion, at the 80.81% percentile over the past 5 years, giving a neutral signal[20] - **Model Evaluation**: The model provides a comprehensive view of short-term market conditions by integrating fundamental, valuation, sentiment, and liquidity indicators. 2. Model Name: Growth-Value Style Rotation Model - **Model Construction Idea**: The model aims to rotate between growth and value styles based on economic cycles and market conditions. - **Model Construction Process**: - **Fundamental Indicators**: - Profit cycle slope: High, favoring growth[32] - Interest rate cycle level: High, favoring value[32] - Credit cycle trend: Weak, favoring value[32] - **Valuation Indicators**: - PE valuation difference: 5-year percentile is 15.19%, favoring growth[32] - PB valuation difference: 5-year percentile is 34.08%, favoring growth[32] - **Sentiment Indicators**: - Turnover difference: 5-year percentile is 21.01%, favoring value[32] - Volatility difference: 5-year percentile is 20.58%, favoring balanced allocation[32] - **Model Evaluation**: The model effectively captures the rotation between growth and value styles by considering fundamental, valuation, and sentiment factors. 3. Model Name: Small-Cap vs. Large-Cap Style Rotation Model - **Model Construction Idea**: The model aims to rotate between small-cap and large-cap styles based on economic cycles and market conditions. - **Model Construction Process**: - **Fundamental Indicators**: - Profit cycle slope: High, favoring small-cap[36] - Interest rate cycle level: High, favoring large-cap[36] - Credit cycle trend: Weak, favoring large-cap[36] - **Valuation Indicators**: - PE valuation difference: 5-year percentile is 80.60%, favoring large-cap[36] - PB valuation difference: 5-year percentile is 99.59%, favoring large-cap[36] - **Sentiment Indicators**: - Turnover difference: 5-year percentile is 54.26%, neutral[36] - Volatility difference: 5-year percentile is 83.71%, favoring large-cap[36] - **Model Evaluation**: The model provides a balanced approach to rotating between small-cap and large-cap styles by integrating fundamental, valuation, and sentiment indicators. 4. Model Name: Four-Style Rotation Model - **Model Construction Idea**: The model combines the growth-value and small-cap vs. large-cap rotation models to provide a comprehensive allocation across four styles. - **Model Construction Process**: - **Allocation Recommendation**: - Small-cap growth: 12.5%[41] - Small-cap value: 37.5%[41] - Large-cap growth: 12.5%[41] - Large-cap value: 37.5%[41] - **Model Evaluation**: The model offers a diversified approach to style rotation, leveraging insights from both growth-value and small-cap vs. large-cap models. Model Backtest Results Short-term Timing Model - Annualized Return: 16.58%[26] - Annualized Volatility: 14.57%[26] - Maximum Drawdown: 27.70%[26] - Sharpe Ratio: 0.9889[26] - Monthly Win Rate: 69.74%[26] - Quarterly Win Rate: 69.23%[26] - Annual Win Rate: 85.71%[26] Growth-Value Style Rotation Model - Annualized Return: 11.67%[35] - Annualized Volatility: 20.84%[35] - Maximum Drawdown: 43.07%[35] - Sharpe Ratio: 0.5387[35] - Monthly Win Rate: 58.28%[35] - Quarterly Win Rate: 60.78%[35] Small-Cap vs. Large-Cap Style Rotation Model - Annualized Return: 12.21%[40] - Annualized Volatility: 22.73%[40] - Maximum Drawdown: 50.65%[40] - Sharpe Ratio: 0.5336[40] - Monthly Win Rate: 60.93%[40] - Quarterly Win Rate: 58.82%[40] Four-Style Rotation Model - Annualized Return: 13.17%[43] - Annualized Volatility: 21.58%[43] - Maximum Drawdown: 47.91%[43] - Sharpe Ratio: 0.5895[43] - Monthly Win Rate: 59.60%[43] - Quarterly Win Rate: 62.75%[43] - Annual Win Rate: 69.23%[43]