Quantitative Models and Construction A-Share Market Timing Model - **Model Name**: A-Share Multi-Dimensional Timing Model [10] - **Construction Idea**: The model integrates valuation, sentiment, capital, and technical dimensions to assess the directional outlook of the A-share market [10][12][16] - **Construction Process**: - Signals are generated daily for each dimension, with values of 0, ±1 representing neutral, bullish, and bearish views respectively [10] - **Valuation Dimension**: Uses equity risk premium (ERP) to capture mean-reversion characteristics [12][16] - **Sentiment Dimension**: Includes option put-call ratio, implied volatility, and futures member position ratio to reflect market sentiment [12][16] - **Capital Dimension**: Tracks financing purchase amounts to identify market trends [12][16] - **Technical Dimension**: Employs Bollinger Bands and individual stock turnover ratio differences to capture trend continuation [12][16] - The final market view is determined by the sum of scores across all dimensions [10] - **Evaluation**: The model effectively combines mean-reversion and trend-following strategies, balancing risk avoidance and opportunity capture [10] Style Timing Model - **Model Name**: Dividend Style Timing Model [18] - **Construction Idea**: Targets the relative performance of the CSI Dividend Index against the CSI All Index using trend-based indicators [18][22] - **Construction Process**: - Three indicators are used to generate daily signals (0, ±1 for neutral, bullish, bearish views) [18] - **Relative Momentum**: Positive indicator for dividend style [22] - **10Y-1Y Term Spread**: Negative indicator for dividend style, as wider spreads favor growth assets [22] - **Interbank Repo Volume**: Positive indicator for dividend style, reflecting asset scarcity [22] - Signals are aggregated to determine the overall view on dividend style [18] - **Evaluation**: The model captures dividend style trends effectively, leveraging macroeconomic and liquidity factors [18] - **Model Name**: Large-Cap vs Small-Cap Style Timing Model [23] - **Construction Idea**: Differentiates between macro-driven trends in low congestion and fund-driven reversals in high congestion [23][25] - **Construction Process**: - **Momentum Difference**: Calculates the difference in momentum between the Wind Micro-Cap Index and CSI 300 Index across multiple windows, averaging the top/bottom results for small/large-cap scores [27] - **Turnover Ratio**: Similar calculation for turnover ratio differences across windows, averaged for small/large-cap scores [27] - **Congestion Score**: Combines momentum and turnover scores to determine congestion levels (high congestion >90% for small-cap, <10% for large-cap) [27] - **Trend Model**: Uses small/large parameter double moving average models based on congestion levels [25] - **Evaluation**: The model adapts to market conditions, balancing long-term trends and short-term reversals [23][25] Sector Rotation Model - **Model Name**: Genetic Programming Sector Rotation Model [30] - **Construction Idea**: Directly mines factors from sector index data using genetic programming without relying on predefined scoring rules [30][33] - **Construction Process**: - **Factor Mining**: Utilizes NSGA-II algorithm to optimize for monotonicity and top-group performance simultaneously [33][34] - **Factor Combination**: Combines factors with weak collinearity using greedy strategy and variance inflation coefficient [34] - **Weekly Rebalancing**: Selects top five sectors based on multi-factor scores for equal-weight allocation [30] - **Example Factor**: Calculates covariance between standardized weekly low prices and monthly open prices over 25 days, adjusted by standardized weekly high prices over 15 days [38] - **Evaluation**: The model enhances factor diversity and reduces overfitting risks, achieving robust sector rotation performance [33][34] All-Weather Enhanced Portfolio - **Model Name**: China All-Weather Enhanced Portfolio [39] - **Construction Idea**: Implements macro factor risk parity to diversify risks across underlying macro drivers rather than assets [39][42] - **Construction Process**: - **Macro Quadrant Division**: Divides growth and inflation dimensions into four quadrants based on whether they exceed or fall short of expectations [42] - **Quadrant Portfolio Construction**: Constructs sub-portfolios within each quadrant, focusing on downside risk [42] - **Risk Budgeting**: Adjusts quadrant weights monthly based on macro momentum indicators combining buy-side and sell-side expectations [42] - **Evaluation**: The strategy demonstrates strong defensive attributes during market downturns while maintaining consistent returns [40][43] --- Backtesting Results A-Share Market Timing Model - **Annualized Return**: 24.94% [15] - **Maximum Drawdown**: -28.46% [15] - **Sharpe Ratio**: 1.16 [15] - **Calmar Ratio**: 0.88 [15] - **YTD Return**: 43.84% [15] - **Weekly Return**: 5.28% [15] Dividend Style Timing Model - **Annualized Return**: 15.67% [21] - **Maximum Drawdown**: -25.52% [21] - **Sharpe Ratio**: -0.26 [21] - **Calmar Ratio**: 0.85 [21] - **YTD Return**: 20.86% [21] - **Weekly Return**: -3.63% [21] Large-Cap vs Small-Cap Style Timing Model - **Annualized Return**: 27.04% [28] - **Maximum Drawdown**: -32.05% [28] - **Sharpe Ratio**: 1.13 [28] - **Calmar Ratio**: 0.84 [28] - **YTD Return**: 71.14% [28] - **Weekly Return**: -7.80% [28] Sector Rotation Model - **Annualized Return**: 30.83% [33] - **Annualized Volatility**: 17.74% [33] - **Sharpe Ratio**: 1.74 [33] - **Maximum Drawdown**: -19.63% [33] - **Calmar Ratio**: 1.57 [33] - **YTD Return**: 35.44% [33] - **Weekly Return**: -4.39% [33] All-Weather Enhanced Portfolio - **Annualized Return**: 11.51% [43] - **Annualized Volatility**: 6.18% [43] - **Sharpe Ratio**: 1.86 [43] - **Maximum Drawdown**: -6.30% [43] - **Calmar Ratio**: 1.83 [43] - **YTD Return**: 10.75% [43] - **Weekly Return**: -1.53% [43]

Company Overview - Shanghai Jinhesheng Private Fund Management Co., Ltd. was established on August 26, 2020, and completed its registration relocation and name change in July 2025. The company currently manages assets between 1-2 billion and has 32 existing products [4]. - The company adheres to the core value concept of "Integrity, Trust, Kindness, and Virtue," focusing on integrity and professional service, which has led to market recognition and multiple awards [5]. Core Team - The management team is led by Executive Director Sun Tiangang and General Manager Wang Peng, with a focus on various strategy-specific fund managers. The team includes experienced fund managers and researchers with backgrounds in securities and financial institutions [8][9]. - The company has optimized its organizational structure and capability building through capital expansion and talent strategy [9]. Representative Strategy - All-Weather Enhanced Strategy - The All-Weather Enhanced Strategy follows a diversified asset allocation philosophy, aiming for a high risk-return ratio. It invests in stocks, bonds, commodities, and derivatives in both the US and China [11]. - The strategy consists of 65% Beta, which relies on a global portfolio for long-term asset allocation, and 35% Alpha enhancement, achieved through various models and strategies [15]. Core Advantages - The company has a clear equity structure and a stable core research team, ensuring consistent strategy execution. The core research personnel have an average of over 10 years of relevant work experience [16]. - The All-Weather Strategy has a large capacity, allowing for significant scale under the premise of matching team research and management capabilities [17]. - The strategy offers good liquidity, supporting daily subscriptions and redemptions [18]. - It has a low correlation with mainstream stock long strategies, providing valuable low-correlation allocation [19]. - The strategy aims for absolute returns, achieving sustainable long-term returns independent of macroeconomic changes [21]. Continuous Evolution Capability - The company fosters a positive corporate culture and efficient working atmosphere through competitive compensation and reasonable equity incentives, ensuring talent stability and long-term sustainable development [22]. - The All-Weather Strategy model is continuously optimized, with core factors validated through rigorous historical data backtesting, demonstrating long-term stability and effectiveness [22].