Quantitative Models and Construction Methods 1. Model Name: Industry Relative Strength (RSI) Model - **Model Construction Idea**: This model identifies leading industries by calculating their relative strength (RS) based on historical price performance over different time windows [10] - **Model Construction Process**: 1. Use 29 first-level industry indices as the configuration targets [10] 2. Calculate the price change rates for the past 20, 40, and 60 trading days for each industry index [10] 3. Rank the industries based on their price change rates for each time window and normalize the rankings to obtain RS_20, RS_40, and RS_60 [10] 4. Calculate the average of the three rankings to derive the final RS value: $ RS = \frac{RS_{20} + RS_{40} + RS_{60}}{3} $ [10] 5. Industries with RS > 90% by the end of April are identified as potential leading industries for the year [10] - **Model Evaluation**: The model successfully identified key annual industry trends, such as high dividend, resource products, exports, and AI, which were validated by market performance throughout the year [10][12] 2. Model Name: Industry Sentiment-Trend-Crowding Framework - **Model Construction Idea**: This framework provides two industry rotation strategies based on market conditions: 1. High sentiment + strong trend, avoiding high crowding (aggressive strategy) 2. Strong trend + low crowding, avoiding low sentiment (conservative strategy) [6][14] - **Model Construction Process**: 1. Evaluate industries based on three dimensions: sentiment, trend, and crowding [6][14] 2. Use sentiment as the core metric for the aggressive strategy, with crowding as a risk control factor [14] 3. Use trend as the core metric for the conservative strategy, avoiding low-sentiment industries [14] 4. Allocate weights to industries based on their scores in the three dimensions [6][14] - **Model Evaluation**: The framework is effective in adapting to different market conditions and has shown strong performance in historical backtests [6][14] 3. Model Name: Left-Side Inventory Reversal Model - **Model Construction Idea**: This model identifies industries with potential for recovery by analyzing sectors in distress or those with low inventory pressure and high analyst optimism [24] - **Model Construction Process**: 1. Identify industries currently in distress or recovering from past distress [24] 2. Focus on sectors with low inventory pressure and potential for restocking [24] 3. Incorporate analyst long-term positive outlooks for these industries [24] - **Model Evaluation**: The model effectively captures recovery opportunities in industries undergoing inventory restocking cycles, providing significant absolute and relative returns [24] --- Model Backtesting Results 1. Industry Relative Strength (RSI) Model - **Annualized Return**: Not explicitly mentioned - **Excess Return**: Not explicitly mentioned - **Information Ratio (IR)**: Not explicitly mentioned - **Maximum Drawdown**: Not explicitly mentioned - **Monthly Win Rate**: Not explicitly mentioned - **Performance Highlights**: - Industries with RS > 90% by April 2024 included coal, utilities, home appliances, banking, petrochemicals, communication, non-ferrous metals, agriculture, and automotive [10] - These industries showed strong performance, with key themes being high dividends, resource products, exports, and AI [10][12] 2. Industry Sentiment-Trend-Crowding Framework - **Annualized Return**: 22.1% (long-only portfolio) [14] - **Excess Return**: 13.8% (annualized) [14] - **Information Ratio (IR)**: 1.51 [14] - **Maximum Drawdown**: -8.0% [14] - **Monthly Win Rate**: 68% [14] - **Performance Highlights**: - 2023 excess return: 7.3% [14] - 2024 excess return: 5.7% [14] - 2025 YTD excess return: 2.8% [14] 3. Left-Side Inventory Reversal Model - **Annualized Return**: Not explicitly mentioned - **Excess Return**: - 2023: 17.0% (relative to equal-weighted industry benchmark) [24] - 2024: 15.4% (relative to equal-weighted industry benchmark) [24] - 2025 YTD: 7.8% (relative to equal-weighted industry benchmark) [24] - **Information Ratio (IR)**: Not explicitly mentioned - **Maximum Drawdown**: Not explicitly mentioned - **Monthly Win Rate**: Not explicitly mentioned - **Performance Highlights**: - Absolute return: - 2023: 13.4% [24] - 2024: 26.5% [24] - 2025 YTD: 26.4% [24] --- Quantitative Factors and Construction Methods 1. Factor Name: Sentiment Factor - **Factor Construction Idea**: Measures the overall sentiment of an industry to identify high-growth opportunities [14] - **Factor Construction Process**: 1. Evaluate the sentiment of each industry based on relevant metrics (not explicitly detailed in the report) [14] 2. Rank industries by sentiment scores [14] - **Factor Evaluation**: Sentiment is a core metric in the aggressive strategy of the Industry Sentiment-Trend-Crowding Framework, providing strong signals for high-growth opportunities [14] 2. Factor Name: Trend Factor - **Factor Construction Idea**: Measures the strength of market trends to identify industries with strong momentum [14] - **Factor Construction Process**: 1. Evaluate the trend of each industry based on relevant metrics (not explicitly detailed in the report) [14] 2. Rank industries by trend scores [14] - **Factor Evaluation**: Trend is a core metric in the conservative strategy of the Industry Sentiment-Trend-Crowding Framework, offering a simple and replicable approach to industry allocation [14] 3. Factor Name: Crowding Factor - **Factor Construction Idea**: Measures the level of crowding in an industry to identify overbought or underbought sectors [14] - **Factor Construction Process**: 1. Evaluate the crowding level of each industry based on relevant metrics (not explicitly detailed in the report) [14] 2. Rank industries by crowding scores [14] - **Factor Evaluation**: Crowding is used as a risk control factor in both aggressive and conservative strategies of the Industry Sentiment-Trend-Crowding Framework [14] --- Factor Backtesting Results 1. Sentiment Factor - **Annualized Return**: Not explicitly mentioned - **Excess Return**: Not explicitly mentioned - **Information Ratio (IR)**: Not explicitly mentioned - **Maximum Drawdown**: Not explicitly mentioned - **Monthly Win Rate**: Not explicitly mentioned 2. Trend Factor - **Annualized Return**: Not explicitly mentioned - **Excess Return**: Not explicitly mentioned - **Information Ratio (IR)**: Not explicitly mentioned - **Maximum Drawdown**: Not explicitly mentioned - **Monthly Win Rate**: Not explicitly mentioned 3. Crowding Factor - **Annualized Return**: Not explicitly mentioned - **Excess Return**: Not explicitly mentioned - **Information Ratio (IR)**: Not explicitly mentioned - **Maximum Drawdown**: Not explicitly mentioned - **Monthly Win Rate**: Not explicitly mentioned