Quantitative Models and Construction Methods 1. Model Name: Short-term Quantitative Timing Model - **Model Construction Idea**: The model integrates macroeconomic fundamentals, valuation, sentiment, and liquidity indicators to generate short-term market timing signals[24][25][26] - **Model Construction Process**: - **Macroeconomic Fundamentals**: - Manufacturing PMI: Current value at 49.70, 44.92% percentile over the past 5 years, indicating neutral sentiment[24] - Long-term RMB loan growth: 0.00% percentile, indicating weak credit growth and cautious signals[24] - M1 growth rate: 94.92% percentile, indicating strong growth and optimistic signals[24] - **Valuation**: - PE median: 43.18, 97.19% percentile, indicating high valuation and neutral signals[25] - PB median: 2.85, 86.77% percentile, indicating high valuation and neutral signals[25] - **Sentiment**: - Beta dispersion: -0.59%, 40.68% percentile, indicating neutral sentiment[25] - Volume sentiment score: 0.98, 99.59% percentile, indicating strong sentiment and optimism[25] - Volatility: 7.53% (annualized), 0.17% percentile, indicating optimism[25] - **Liquidity**: - Monetary rate: -0.10, 33.90% percentile, indicating relative ease and optimism[26] - Exchange rate expectations: -0.09%, 40.68% percentile, indicating neutrality[26] - 5-day average financing: 50.66 billion RMB, 95.53% percentile, indicating neutral leverage signals[26] - **Model Evaluation**: The model demonstrates strong performance with significant excess returns and reduced drawdowns compared to benchmarks[26][30] 2. Model Name: Growth-Value Style Rotation Model - **Model Construction Idea**: The model evaluates growth and value styles based on macroeconomic fundamentals, valuation, and sentiment indicators to recommend allocation[35] - **Model Construction Process**: - **Macroeconomic Fundamentals**: - Profit cycle slope: High, favoring growth[37] - Interest rate cycle: High, favoring value[37] - Credit cycle: Weak, favoring value[37] - **Valuation**: - PE difference: 19.57% percentile, favoring growth[37] - PB difference: 38.03% percentile, favoring growth[37] - **Sentiment**: - Turnover difference: 38.13% percentile, favoring value[37] - Volatility difference: 17.73% percentile, favoring balanced allocation[37] - **Model Evaluation**: The model has historically delivered significant excess returns over benchmarks, though recent performance has been mixed[36][39] 3. Model Name: Small-Cap vs. Large-Cap Style Rotation Model - **Model Construction Idea**: The model assesses small-cap and large-cap styles using macroeconomic fundamentals, valuation, and sentiment indicators to suggest balanced allocation[40] - **Model Construction Process**: - **Macroeconomic Fundamentals**: - Profit cycle slope: High, favoring small-cap[42] - Interest rate cycle: High, favoring large-cap[42] - Credit cycle: Weak, favoring large-cap[42] - **Valuation**: - PE difference: 78.86% percentile, favoring large-cap[42] - PB difference: 96.59% percentile, favoring large-cap[42] - **Sentiment**: - Turnover difference: 72.56% percentile, favoring small-cap[42] - Volatility difference: 62.60% percentile, favoring large-cap[42] - **Model Evaluation**: The model has consistently outperformed benchmarks, delivering significant excess returns over time[41][44] 4. Model Name: Four-Style Rotation Model - **Model Construction Idea**: Combines insights from growth-value and small-cap-large-cap models to allocate across four styles: small-cap growth, small-cap value, large-cap growth, and large-cap value[45] - **Model Construction Process**: - Allocation recommendation: Small-cap growth (12.5%), small-cap value (37.5%), large-cap growth (12.5%), large-cap value (37.5%)[45] - **Model Evaluation**: The model has historically generated significant excess returns, though recent performance has been slightly below benchmarks[45][46] --- Model Backtest Results 1. Short-term Quantitative Timing Model - Annualized return: 16.98% - Annualized volatility: 14.55% - Maximum drawdown: 27.70% - Sharpe ratio: 1.0138 - Excess return (2024 onwards): 2.26%[26][30][33] 2. Growth-Value Style Rotation Model - Annualized return: 11.82% - Annualized volatility: 20.79% - Maximum drawdown: 43.07% - Sharpe ratio: 0.5457 - Excess return (2025 YTD): -2.32%[36][39] 3. Small-Cap vs. Large-Cap Style Rotation Model - Annualized return: 12.38% - Annualized volatility: 22.69% - Maximum drawdown: 50.65% - Sharpe ratio: 0.5408 - Excess return (2025 YTD): -5.11%[41][44] 4. Four-Style Rotation Model - Annualized return: 13.29% - Annualized volatility: 21.53% - Maximum drawdown: 47.91% - Sharpe ratio: 0.6001 - Excess return (2025 YTD): -3.25%[45][46]

Historical Review of Size and Style Rotation - From 2008 to 2010, small-cap stocks outperformed due to significant economic stimulus and abundant liquidity, with small-cap stocks being more sensitive to funding[6] - Between 2011 and 2013, large-cap stocks gained favor as economic growth pressures increased, highlighting their defensive attributes[8] - The period from 2013 to 2015 saw a resurgence of small-cap stocks driven by the rise of new industries and increased M&A activity, with leverage funds entering the market[9] - From 2016 to 2021, large-cap stocks dominated as supply-side reforms improved profitability for leading companies, while M&A activity cooled[10] - In the 2021 to 2023 period, small-cap stocks regained strength due to changes in funding structure and the rise of new industries like AI[12] Growth vs. Value Style Rotation - From 2011 to 2014, value stocks outperformed as the economy shifted from stimulus-driven growth to self-sustained growth, with GDP growth declining[15] - In 2015, growth stocks saw a rebound due to the rise of the internet and new industries, despite ongoing economic pressures[19] - The period from July 2016 to October 2018 favored value stocks as traditional industries improved amid tightening liquidity[21] - From November 2018 to July 2021, growth stocks outperformed due to the rise of new industries and favorable liquidity conditions[23] - From August 2021 to August 2024, value stocks are expected to dominate due to tightening global liquidity and geopolitical uncertainties[25] Key Indicators and Future Outlook - The historical analysis indicates that size and style rotations are influenced by fundamental factors, liquidity, valuation, and policy[27] - The correct prediction rate for small-cap outperformance since 2005 is 69%, while for growth vs. value since 2011 is 77%[2] - In the first half of 2025, small-cap stocks outperformed with a 7.54% increase in the CSI 1000 index compared to a 1.37% increase in the CSI 300 index[2] - The outlook for the second half of 2025 suggests a potential shift towards large-cap stocks due to institutional investor preferences and external uncertainties[2]

Group 1: Historical Review of Size Style Rotation - From 2008 to 2010, small-cap stocks outperformed due to significant economic stimulus policies and abundant liquidity, making them more sensitive to capital inflows [2][6][4] - Between 2011 and 2013, large-cap stocks gained favor as economic growth pressures increased, highlighting their defensive attributes [2][8] - The period from 2013 to 2015 saw a resurgence of small-cap stocks driven by the rise of new industries and an active M&A market [2][9] - From 2016 to 2021, large-cap stocks dominated as supply-side reforms improved profitability for leading companies, while M&A activity cooled [2][10][11] - In the 2021 to 2023 period, small-cap stocks regained strength due to changes in funding structures and the rise of new economic drivers [2][12] Group 2: Historical Review of Growth vs. Value Style Rotation - From January 2011 to December 2014, value stocks were favored as the economy shifted from stimulus-driven growth to self-sustained growth, with GDP growth declining [2][15][17] - In 2015, growth stocks outperformed due to the rise of new industries and a supportive liquidity environment, despite ongoing economic pressures [2][19][20] - The period from July 2016 to October 2018 saw a resurgence of value stocks as traditional industries gained strength amid tightening liquidity [2][21][22] - From November 2018 to July 2021, growth stocks thrived due to the recovery from the pandemic and the rise of new technologies [2][23][24] - The period from August 2021 to August 2024 is expected to favor value stocks due to tightening global liquidity and economic uncertainties [2][25][26] Group 3: Core Drivers of Style Rotation - The rotation between size styles is less correlated with traditional economic indicators but shows a connection to major economic cycles [2][27] - Liquidity plays a significant role, with small-cap stocks generally outperforming when excess liquidity is present [2][45] - The performance of growth versus value styles is influenced by the relative performance of their underlying earnings growth and return on equity [2][42]

证券研究报告 | 金融工程 2025 年 6 月 22 日 地缘风险仍压制市场表现 ——A 股趋势与风格定量观察 20250622 1. 当前市场观察 风险提示：择时和风格轮动模型结论基于合理假设前提下结合历史数据统计规 律推导而出，市场环境变化下可能导致出现模型失效风险。 任瞳 S1090519080004 rentong@cmschina.com.cn 王武蕾 S1090519080001 wangwulei@cmschina.com.cn 敬请阅读末页的重要说明 定期报告 ❑ 本周市场整体下跌，大盘价值风格维持上涨，小盘成长风格跌幅较大。具体 来看，万得全 A 指数下跌 1.07%，上证 50 上涨约 0.15%，沪深 300、中证 1000 分别下跌约 0.33%、1.63%，国证成长下跌约 0.92%，国证价值上涨约 0.14%。 ❑ 短期来看，地缘风险未见缓解，市场情绪转为谨慎，建议仍持半仓观望。在 上周周报中，我们认为虽然国内经济数据以及投资者情绪均有所回暖，但鉴 于中东地缘风险存在持续发酵可能，短期建议维持半仓。此外，我们也回顾 了俄乌冲突期间全球权益市场表现。从结果上来看，在局势尚未明朗前， ...

- Model Name: Short-term Quantitative Timing Model; Model Construction Idea: The model aims to provide short-term market timing signals based on various market indicators; Model Construction Process: The model evaluates four main aspects: fundamentals, valuation, sentiment, and liquidity. Each aspect is assessed using specific indicators such as PMI, loan growth, M1 growth, PE and PB ratios, beta dispersion, trading volume sentiment, volatility, interest rates, exchange rate expectations, and financing amounts. The signals from these indicators are combined to generate an overall market timing signal. For example, the formula for the fundamental signal is based on the PMI and loan growth: $$ \text{Fundamental Signal} = \text{PMI} \times \text{Loan Growth} $$ where PMI represents the manufacturing PMI index and Loan Growth represents the year-on-year growth rate of medium and long-term loans in RMB. Model Evaluation: The model has shown significant improvement over the benchmark in terms of annualized returns and maximum drawdown reduction[19][22][23] - Model Name: Growth-Value Style Rotation Model; Model Construction Idea: The model aims to rotate between growth and value styles based on economic cycles and market conditions; Model Construction Process: The model uses a quantitative economic cycle analysis framework to assess the profitability cycle, interest rate cycle, and credit cycle. For example, the profitability cycle slope is calculated as: $$ \text{Profitability Cycle Slope} = \frac{\text{Current Profitability} - \text{Previous Profitability}}{\text{Time Period}} $$ The model also considers valuation differences (PE and PB ratios) and sentiment differences (turnover and volatility). The signals from these indicators are combined to generate a style rotation recommendation. Model Evaluation: The model has shown significant improvement over the benchmark in terms of annualized returns and maximum drawdown reduction[31][32][33] - Model Name: Small-Cap vs. Large-Cap Style Rotation Model; Model Construction Idea: The model aims to rotate between small-cap and large-cap styles based on economic cycles and market conditions; Model Construction Process: Similar to the Growth-Value Style Rotation Model, this model uses a quantitative economic cycle analysis framework to assess the profitability cycle, interest rate cycle, and credit cycle. It also considers valuation differences (PE and PB ratios) and sentiment differences (turnover and volatility). The signals from these indicators are combined to generate a style rotation recommendation. Model Evaluation: The model has shown significant improvement over the benchmark in terms of annualized returns and maximum drawdown reduction[35][36][37] - Model Name: Four-Style Rotation Model; Model Construction Idea: The model combines the Growth-Value and Small-Cap vs. Large-Cap Style Rotation Models to provide a comprehensive style rotation strategy; Model Construction Process: The model integrates the signals from the Growth-Value and Small-Cap vs. Large-Cap Style Rotation Models to recommend allocations across four styles: small-cap growth, small-cap value, large-cap growth, and large-cap value. The recommended allocation is based on the combined signals from the underlying models. Model Evaluation: The model has shown significant improvement over the benchmark in terms of annualized returns and maximum drawdown reduction[39][40][41] Model Backtest Results - Short-term Quantitative Timing Model: Annualized Return 16.27%, Annualized Volatility 14.73%, Maximum Drawdown 27.70%, Sharpe Ratio 0.9620, IR 0.5875[22][27] - Growth-Value Style Rotation Model: Annualized Return 11.35%, Annualized Volatility 20.89%, Maximum Drawdown 43.07%, Sharpe Ratio 0.5239, IR 0.2634[32][34] - Small-Cap vs. Large-Cap Style Rotation Model: Annualized Return 11.99%, Annualized Volatility 22.79%, Maximum Drawdown 50.65%, Sharpe Ratio 0.5241, IR 0.2367[36][38] - Four-Style Rotation Model: Annualized Return 12.90%, Annualized Volatility 21.64%, Maximum Drawdown 47.91%, Sharpe Ratio 0.5776, IR 0.2693[40][41]

Group 1 - The report attempts to integrate subjective judgment and quantitative analysis to construct a style rotation framework, primarily based on five dimensions to build a core style rotation model, which will eventually be applied to actual investable portfolios [3][8] - The fundamental perspective of growth and value style rotation strategy has shown long-term excess returns compared to its balanced allocation benchmark, although the performance of the strategy is limited due to varying transmission paths and delays of different fundamental indicators under different contexts [3][10] Group 2 - The report reviews the construction of style indices and the style rotation framework, continuing to explore the growth and value style rotation from a fundamental perspective [8][17] - Common fundamental indicators are primarily micro data, but the report adopts a different perspective by observing the overall situation of the equity market or specific styles, reflecting the specific conditions of certain groups [8][30] Group 3 - The analysis of fundamental factors is conducted from five angles: growth, profitability, financial health and solvency, operational efficiency, and valuation levels, with growth, profitability, and valuation signals being relatively stable and accurate [9][31] - The overall turnover rate of the growth and value style rotation strategy is low, generally favoring long-term holdings of growth or value stocks, with an average monthly win rate of approximately 60.91% and an average annualized return of about 15.26% from January 1, 2005, to April 29, 2025 [10][31] Group 4 - The growth style index and value style index are constructed based on similar logic, with the main difference being the sorting of constituent stocks using growth and value factors respectively [18][21] - The report outlines the style rotation framework, which is expected to be based on five major dimensions to construct the core style rotation model, focusing on the fundamental dimension of growth and value style rotation [27][30] Group 5 - The report categorizes fundamental indicators into two main types: market overall indicators and style difference indicators, further divided into growth indicators, profitability indicators, financial health and solvency indicators, operational efficiency indicators, and valuation indicators [30][31] - The financial health and solvency indicators focus on the reasonableness of capital structure and short-term liquidity, with asset-liability ratio and current ratio being particularly effective in the context of growth and value style rotation [57][65]

文 | 银行螺丝钉 （转载请注明出处） 今天大盘开盘下跌，盘中一度下跌1.5%。 不过下午突然出现神奇两点半，快收盘的时候大盘整体反弹，涨了回来。 到收盘的时候还在4.9星。 沪深300等大盘股整体上涨。 小盘股略微下跌。 小盘股的弹性更大，在上涨阶段涨幅更高，例如2025年1月中旬到3月中旬，小盘股上涨幅度就超过大盘股。 遇到下跌的时候跌幅也更大，例如2024年11月到1月，这段时间小盘股也回调比较多。 盈亏同源。 价值风格整体上涨。 红利、价值等指数上涨。 港股盘中也一度下跌。 下午两点半之后，港股也逐渐上涨。 港股科技、恒生科技等指数领涨，上涨超1.5%。 1. 有朋友问，现在指数基金也有很多不同品种了。 不同类型的指数，投资的时候有什么需要注意的地方呢？ 指数有四大类：宽基、策略、行业、主题。 2. 宽基指数投资，注意大小盘的搭配。 A股也有大小盘轮动的特点。 去年是300等大盘股表现好，小盘股比较低迷。 今年以来则是小盘股比较强势，大盘股低迷。 如果希望再增加一些小盘股，那就是沪深300+中证500+中证1000这样。 还有更小的中证2000，不过基金规模还比较小。 小盘股的波动风险比较大。 像首批 ...