Quantitative Models and Construction - **Model Name**: Macro Scoring Model **Construction Idea**: The model evaluates macroeconomic factors to provide asset allocation signals, focusing on inflation, monetary policy, and global economic conditions[17][20] **Construction Process**: The model assigns scores to macroeconomic subcategories such as domestic and global inflation, monetary policy, and economic conditions. These scores are aggregated to generate asset-specific macro views. For example: - Domestic inflation: Score = 1 - Global inflation: Score = 0 (downward adjustment this month) - Final macro scores for October: - CSI 800: 3 - 10-year bonds: -2 - S&P 500: 2 - Gold: -1 - Oil: 3 - Copper: 3[20] **Evaluation**: The model maintains a positive outlook on equities and commodities, reflecting stable macroeconomic conditions[17][20] - **Model Name**: US Equity Timing Model **Construction Idea**: The model monitors U.S. economic indicators to assess equity market timing opportunities[21] **Construction Process**: The model uses three dimensions equally weighted: - Economic sentiment - Capital flows - Financial stress The latest composite timing indicator value is 72.3, showing improvement from the previous month[21] **Evaluation**: The model supports a bullish view on U.S. equities due to improved economic sentiment and fundamentals[21] - **Model Name**: Gold Timing Model **Construction Idea**: The model evaluates fiscal and monetary trends to determine gold allocation timing[24] **Construction Process**: The model generates a timing indicator based on fiscal deficit trends and global monetary expansion. Current indicator value: -0.63, signaling caution due to reduced U.S. fiscal deficit expansion[24] **Evaluation**: Despite the cautious signal, the model suggests gold retains strong allocation value under global fiscal expansion trends[24] - **Model Name**: Oil Timing Model **Construction Idea**: The model assesses oil market dynamics, including inventory levels and macroeconomic risks[27][29] **Construction Process**: The model calculates an oil sentiment index based on: - Inventory levels - Dollar strength - Investor expectations - Macro risk levels Current index value: 0.39, down from 0.56 last month[27][29] **Evaluation**: The model adopts a neutral stance on oil due to inventory accumulation and dollar rebound[27][29] --- Model Backtesting Results - **Macro Scoring Model**: - September return: 2.3% - 1-year return: 13.5% - Maximum drawdown: 2.9%[3][31] - **US Equity Timing Model**: - Latest indicator value: 72.3[21] - **Gold Timing Model**: - Latest indicator value: -0.63[24] - **Oil Timing Model**: - Latest sentiment index value: 0.39[27][29] --- Asset Allocation Adjustments - **Optimized Allocation**: - CSI 800: Reduced from 11.9% to 8.7% - S&P 500: Increased from 9.4% to 9.6% - Gold: Reduced from 13.5% to 7.0% - Copper: Reduced from 9.7% to 7.3% - Oil: Reduced from 3.9% to 1.9% - 10-year bonds: Increased from 34.7% to 49.8% - Short-term bonds: Reduced from 16.8% to 15.7%[36]