Quantitative Models and Construction Methods 1. Model Name: Short-term Quantitative Timing Model - **Model Construction Idea**: This model uses historical data and quantitative indicators to generate short-term market timing signals based on factors such as valuation, liquidity, fundamentals, and sentiment [13][14][15] - **Model Construction Process**: - **Fundamentals**: Signals are derived from indicators like manufacturing PMI (35.59% percentile, cautious), long-term loan growth rate (0.00% percentile, cautious), and M1 growth rate (77.97% percentile, optimistic) [13] - **Valuation**: Signals are based on PE (85.11% percentile, neutral) and PB (35.40% percentile, optimistic) metrics [14] - **Sentiment**: Signals are generated from beta dispersion (52.54% percentile, neutral), volume sentiment score (-0.19, 40.45% percentile, neutral), and market volatility (10.42%, 4.55% percentile, neutral) [14] - **Liquidity**: Signals are derived from monetary rates (-0.03, 33.90% percentile, optimistic), exchange rate expectations (-1.07%, 20.34% percentile, optimistic), and average financing (5.18 billion, 54.01% percentile, neutral) [15] - **Model Evaluation**: The model demonstrates significant performance improvement over the benchmark, with a robust risk-return profile and consistent positive returns in most years [15][16] 2. Model Name: Growth-Value Style Rotation Model - **Model Construction Idea**: This model allocates between growth and value styles based on macroeconomic cycles, valuation spreads, and sentiment indicators [27][28] - **Model Construction Process**: - **Fundamentals**: Signals are based on profit cycle slope (positive, favoring growth), interest rate cycle (high, favoring value), and credit cycle (weak, favoring value) [27] - **Valuation**: Signals are derived from PE spread (14.54%, favoring growth) and PB spread (30.19%, favoring growth) [27] - **Sentiment**: Signals are based on turnover spread (4.71%, favoring value) and volatility spread (35.20%, favoring balanced allocation) [28] - **Model Evaluation**: The strategy outperforms the benchmark with higher annualized returns and lower drawdowns, though it underperformed in certain years like 2025 [28][31] 3. Model Name: Small-Cap vs. Large-Cap Style Rotation Model - **Model Construction Idea**: This model allocates between small-cap and large-cap styles based on macroeconomic cycles, valuation spreads, and sentiment indicators [32][33] - **Model Construction Process**: - **Fundamentals**: Signals are based on profit cycle slope (positive, favoring small-cap), interest rate cycle (high, favoring large-cap), and credit cycle (weak, favoring large-cap) [32] - **Valuation**: Signals are derived from PE spread (71.08%, favoring large-cap) and PB spread (98.53%, favoring large-cap) [33] - **Sentiment**: Signals are based on turnover spread (39.06%, favoring large-cap) and volatility spread (87.23%, favoring large-cap) [33] - **Model Evaluation**: The strategy demonstrates significant outperformance over the benchmark, with higher returns and improved risk-adjusted metrics [33][35] 4. Model Name: Four-Style Rotation Model - **Model Construction Idea**: This model combines the growth-value and small-cap-large-cap rotation models to allocate across four styles: small-cap growth, small-cap value, large-cap growth, and large-cap value [37] - **Model Construction Process**: - Combines signals from the growth-value and small-cap-large-cap models to determine allocation proportions: small-cap growth (12.5%), small-cap value (37.5%), large-cap growth (12.5%), and large-cap value (37.5%) [37] - **Model Evaluation**: The strategy achieves higher annualized returns and lower drawdowns compared to the benchmark, with consistent outperformance in most years [37][38] --- Backtesting Results of Models 1. Short-term Quantitative Timing Model - **Annualized Return**: 16.10% - **Annualized Volatility**: 14.71% - **Maximum Drawdown**: 27.70% - **Sharpe Ratio**: 0.9529 - **Win Rates**: Monthly (67.55%), Quarterly (68.63%), Yearly (85.71%) [20][24] 2. Growth-Value Style Rotation Model - **Annualized Return**: 11.39% - **Annualized Volatility**: 20.86% - **Maximum Drawdown**: 43.07% - **Sharpe Ratio**: 0.5264 - **Win Rates**: Monthly (58.00%), Quarterly (60.00%) [31] 3. Small-Cap vs. Large-Cap Style Rotation Model - **Annualized Return**: 11.92% - **Annualized Volatility**: 22.76% - **Maximum Drawdown**: 50.65% - **Sharpe Ratio**: 0.5219 - **Win Rates**: Monthly (60.67%), Quarterly (56.00%) [35] 4. Four-Style Rotation Model - **Annualized Return**: 12.89% - **Annualized Volatility**: 21.61% - **Maximum Drawdown**: 47.91% - **Sharpe Ratio**: 0.5777 - **Win Rates**: Monthly (59.33%), Quarterly (60.00%) [38]