Quantitative Models and Construction Timing Model: Three-Dimensional Timing Framework - **Model Name**: Three-Dimensional Timing Framework - **Construction Idea**: The model integrates liquidity, divergence, and prosperity indices to assess market timing opportunities. It aims to identify optimal investment periods by analyzing these three dimensions. [7][12][14] - **Construction Process**: 1. **Liquidity Index**: Tracks market liquidity trends using aggregated data from financial markets. 2. **Divergence Index**: Measures market disagreement or dispersion among participants. 3. **Prosperity Index**: Evaluates economic and market growth indicators. 4. Combine these indices into a unified framework to determine market timing signals. - **Evaluation**: The model has historically shown strong performance in identifying favorable market conditions. [7][12][14] Funds Flow Convergence Strategy - **Model Name**: Funds Flow Convergence Strategy - **Construction Idea**: Combines financing and large-order flows to identify industries with synchronized capital inflows. [28][31][33] - **Construction Process**: 1. **Financing Factor**: Defined as the net financing buy minus net financing sell, neutralized by Barra market capitalization factor. Calculated as the two-week change in the 50-day moving average. 2. **Large-Order Factor**: Measures net inflows based on industry transaction volume, neutralized by time series. Calculated using the 10-day moving average. 3. Combine the two factors, excluding extreme industries and large financial sectors, to enhance strategy stability. 4. Backtest results show annualized excess returns of 13.5% since 2018, with an IR of 1.7. [31][33] - **Evaluation**: The strategy demonstrates stable positive excess returns and lower drawdowns compared to other convergence strategies. [31][33] --- Quantitative Factors and Construction Style Factors - **Factor Name**: Value, Size, Volatility, Liquidity - **Construction Idea**: Style factors are constructed to capture specific market characteristics such as valuation, size, risk, and liquidity. [35][36] - **Construction Process**: 1. **Value Factor**: Measures the performance of low-valuation stocks relative to high-valuation stocks. 2. **Size Factor**: Tracks the performance of small-cap stocks versus large-cap stocks. 3. **Volatility Factor**: Compares low-volatility stocks to high-volatility stocks. 4. **Liquidity Factor**: Evaluates the performance of low-liquidity stocks against high-liquidity stocks. - **Evaluation**: Value factor recorded positive returns (+0.92%), while size (-0.21%), volatility (-2.38%), and liquidity (-2.23%) factors showed negative returns, reflecting market preferences for low-risk and low-liquidity stocks. [35][36] Alpha Factors - **Factor Name**: Momentum (mom_1y, mom_2y), Turnover Standard Rate (turnover_stdrate_1m, turnover_stdrate_3m), Analyst Forecast (ana_cov) - **Construction Idea**: Alpha factors aim to capture excess returns through predictive metrics such as price momentum, turnover rates, and analyst forecasts. [38][40] - **Construction Process**: 1. **Momentum Factors**: Measure stock returns over 1-year and 2-year periods. 2. **Turnover Standard Rate Factors**: Evaluate turnover rates over 1-month and 3-month periods. 3. **Analyst Forecast Factor**: Tracks the number of analyst forecasts over the past 90 trading days. - **Evaluation**: Momentum factors (mom_1y: +1.58%, mom_2y: +1.26%) and turnover factors (turnover_stdrate_1m: +1.30%, turnover_stdrate_3m: +1.56%) performed well, indicating strong predictive power. Analyst forecast factor (ana_cov: +1.22%) also showed positive returns. [38][40] Cross-Index Factors - **Factor Name**: PE_G, SUE, Turnover Standard Rate (turnover_stdrate_1m, turnover_stdrate_3m) - **Construction Idea**: These factors are designed to perform across different market indices, including large-cap and small-cap stocks. [41][42] - **Construction Process**: 1. **PE_G Factor**: Measures the difference between PE rankings and expected net profit growth rankings. 2. **SUE Factor**: Tracks net profit changes over the past eight quarters. 3. **Turnover Standard Rate Factors**: Evaluate turnover rates over 1-month and 3-month periods. - **Evaluation**: PE_G and SUE factors performed better in large-cap indices (e.g., HS300: PE_G +4.97%, SUE +4.09%) compared to small-cap indices (e.g., CN2000: PE_G +1.15%, SUE +1.34%). Turnover factors also showed higher returns in large-cap indices. [41][42] --- Backtesting Results Timing Model: Three-Dimensional Timing Framework - **Liquidity Index**: Positive trend observed - **Divergence Index**: Declining trend - **Prosperity Index**: Rising trend - **Overall Signal**: Full allocation recommended [7][12][14] Funds Flow Convergence Strategy - **Annualized Excess Return**: 13.5% - **IR**: 1.7 - **Weekly Excess Return**: +0.2% - **Absolute Weekly Return**: +2.8% [31][33] Style Factors - **Value**: +0.92% - **Size**: -0.21% - **Volatility**: -2.38% - **Liquidity**: -2.23% [35][36] Alpha Factors - **Momentum (mom_1y)**: +1.58% - **Momentum (mom_2y)**: +1.26% - **Turnover Standard Rate (turnover_stdrate_1m)**: +1.30% - **Turnover Standard Rate (turnover_stdrate_3m)**: +1.56% - **Analyst Forecast (ana_cov)**: +1.22% [38][40] Cross-Index Factors - **PE_G (HS300)**: +4.97% - **PE_G (CN2000)**: +1.15% - **SUE (HS300)**: +4.09% - **SUE (CN2000)**: +1.34% - **Turnover Standard Rate (turnover_stdrate_1m, HS300)**: +6.99% - **Turnover Standard Rate (turnover_stdrate_1m, CN2000)**: +0.02% [41][42]