Quantitative Models and Factor Analysis Quantitative Models and Construction Methods Model 1: ETF Hot Trend Strategy - **Model Name**: ETF Hot Trend Strategy - **Model Construction Idea**: The strategy is based on selecting ETFs with the highest and lowest prices in an upward trend and further filtering them based on the steepness of the regression coefficients of the highest and lowest prices over the past 20 days[31] - **Model Construction Process**: 1. Select ETFs where both the highest and lowest prices are in an upward trend 2. Construct support and resistance factors based on the steepness of the regression coefficients of the highest and lowest prices over the past 20 days 3. Choose the top 10 ETFs with the highest turnover rate in the past 5 days relative to the past 20 days to construct a risk parity portfolio[31] - **Model Evaluation**: The strategy achieved a return of 61.41% since 2025, with an excess return of 38.22% compared to the CSI 300 Index[31] Model 2: ETF Three-Strategy Fusion - **Model Name**: ETF Three-Strategy Fusion - **Model Construction Idea**: The strategy combines three industry rotation strategies driven by quantitative fundamentals, quality low volatility, and distressed reversal to achieve factor and style complementarity and reduce the risk of a single strategy[34] - **Model Construction Process**: 1. Construct industry rotation strategies based on quantitative fundamentals, quality low volatility, and distressed reversal 2. Combine the three strategies in equal weights to select industries from different dimensions[34] - **Model Evaluation**: The strategy achieved a cumulative return of 12.24% from April 10, 2017, to January 30, 2026, with a Sharpe ratio of 0.74[39] Model 3: All-Weather Strategy - **Model Name**: All-Weather Strategy - **Model Construction Idea**: The strategy aims to achieve stable returns by avoiding the "prediction" dilemma through diversified risk. It follows three basic principles: asset selection, risk adjustment, and structural hedging[53] - **Model Construction Process**: 1. Select assets 2. Adjust risks 3. Perform structural hedging to achieve balanced allocation and smooth out volatility[53] - **Model Evaluation**: The high-volatility version achieved an annualized return of 11.8% with an average maximum drawdown of 3.6% and a Sharpe ratio of 2.3. The low-volatility version achieved an annualized return of 8.8% with an average maximum drawdown of 2.0% and a Sharpe ratio of 3.4[61] Model Backtesting Results ETF Hot Trend Strategy - **Return**: 61.41% since 2025[31] - **Excess Return**: 38.22% compared to CSI 300 Index[31] ETF Three-Strategy Fusion - **Cumulative Return**: 12.24% from April 10, 2017, to January 30, 2026[39] - **Sharpe Ratio**: 0.74[39] All-Weather Strategy - **High-Volatility Version**: - **Annualized Return**: 11.8%[61] - **Average Maximum Drawdown**: 3.6%[61] - **Sharpe Ratio**: 2.3[61] - **Low-Volatility Version**: - **Annualized Return**: 8.8%[61] - **Average Maximum Drawdown**: 2.0%[61] - **Sharpe Ratio**: 3.4[61] Quantitative Factors and Construction Methods Factor 1: Profitability Yield Factor - **Factor Name**: Profitability Yield Factor - **Factor Construction Idea**: Measures the profitability of stocks to identify high-profitability stocks[63] - **Factor Construction Process**: Calculate the profitability yield of stocks and select those with the highest profitability yield[63] - **Factor Evaluation**: Achieved a positive return of 3.24% this week, indicating that high-profitability stocks regained market favor[63] Factor 2: Value Factor - **Factor Name**: Value Factor - **Factor Construction Idea**: Measures the value of stocks to identify high-value stocks[63] - **Factor Construction Process**: Calculate the value of stocks and select those with the highest value[63] - **Factor Evaluation**: Achieved a positive return of 2.67% this week, reflecting that high-value stocks gained market attention[63] Factor 3: Leverage Factor - **Factor Name**: Leverage Factor - **Factor Construction Idea**: Measures the leverage of stocks to identify high-leverage stocks[63] - **Factor Construction Process**: Calculate the leverage of stocks and select those with the highest leverage[63] - **Factor Evaluation**: Achieved a positive return of 1.32% this week, indicating that high-leverage stocks gained market attention[63] Factor Backtesting Results Profitability Yield Factor - **Weekly Return**: 3.24%[63] Value Factor - **Weekly Return**: 2.67%[63] Leverage Factor - **Weekly Return**: 1.32%[63]