Quantitative Models and Construction Methods 1. Model Name: Six-Cycle Model - **Model Construction Idea**: The model characterizes macroeconomic states based on three dimensions: monetary, credit, and growth. It identifies different economic phases to guide asset allocation strategies[1][7] - **Model Construction Process**: - The model divides the economic cycle into six stages, with stages 4-6 representing credit contraction and stages 1-3 representing credit expansion[1][7] - Historical data shows that during credit contraction, bonds, gold, and value styles perform better, while credit expansion favors stocks, commodities, and growth styles[7][10] - **Model Evaluation**: The model effectively captures macroeconomic trends and provides actionable asset allocation insights[7] 2. Model Name: Credit Pulse Timing Model - **Model Construction Idea**: This model uses the three-month difference of the year-over-year trailing twelve-month (TTM) growth rate of new medium- and long-term loans to identify the direction of the credit cycle[11] - **Model Construction Process**: - The credit pulse indicator is calculated as the three-month difference of the TTM growth rate of new medium- and long-term loans[11] - Historical analysis shows that during credit expansion, A-shares exhibit high return elasticity, while performance is weaker during credit contraction[11] - Timing based on this model yields an annualized excess return of 6.9%, annualized volatility of 15.2%, maximum drawdown of 24.1%, and a Sharpe ratio of 1.03[11] - **Model Evaluation**: The model demonstrates strong timing ability, significantly improving risk-adjusted returns during credit expansion phases[11] 3. Model Name: CDS-Based Timing Model - **Model Construction Idea**: This model uses the level and direction of China’s sovereign CDS (Credit Default Swap) as a proxy for overseas sentiment towards China’s fundamentals, which is negatively correlated with A-share performance[14] - **Model Construction Process**: - The model assigns different A-share allocation weights based on the rolling 4-year z-score of CDS levels and the 20-day difference in CDS direction[14] - Allocation rules: - CDS declining and at low levels: 100% A-share allocation - CDS declining and at high levels: 75% A-share allocation - CDS rising and at low levels: 25% A-share allocation - CDS rising and at high levels: 0% A-share allocation[15] - Backtesting results show an annualized excess return of 6%, annualized volatility of 14.2%, maximum drawdown of 25.7%, and a Sharpe ratio of 1.03 relative to the CSI 800 index[14] - **Model Evaluation**: The model effectively captures overseas sentiment and provides a systematic approach to adjusting A-share exposure[14] 4. Model Name: Six-Cycle FOF Allocation Model - **Model Construction Idea**: This model integrates the six-cycle framework into a risk-budgeting approach to dynamically allocate assets across equities, bonds, and gold[18] - **Model Construction Process**: - The model adjusts asset risk budgets monthly, targeting a volatility level of 3%[18] - Equity allocation is based on the six-cycle phases: - Phase 1: Growth - Phases 2-3: Manufacturing - Phase 4: Cyclical sectors - Phases 5-6: Dividend-paying stocks[18] - Backtesting from 2013 shows an annualized return of 8%, annualized volatility of 2.6%, maximum drawdown of 2.9%, and a Sharpe ratio of 3.04[18][19] - **Model Evaluation**: The model achieves stable returns with low volatility, making it suitable for conservative investors[18][19] --- Backtesting Results of Models 1. Six-Cycle Model - Annualized Return: Not explicitly provided - Annualized Volatility: Not explicitly provided - Maximum Drawdown: Not explicitly provided - Sharpe Ratio: Not explicitly provided 2. Credit Pulse Timing Model - Annualized Return: 6.9% (excess return) - Annualized Volatility: 15.2% - Maximum Drawdown: 24.1% - Sharpe Ratio: 1.03[11] 3. CDS-Based Timing Model - Annualized Return: 6% (excess return) - Annualized Volatility: 14.2% - Maximum Drawdown: 25.7% - Sharpe Ratio: 1.03[14] 4. Six-Cycle FOF Allocation Model - Annualized Return: 8% - Annualized Volatility: 2.6% - Maximum Drawdown: 2.9% - Sharpe Ratio: 3.04[18][19]