Core Insights - The multi-strategy rotation model (Strategy Configuration 1.0) has outperformed the benchmark of equity mixed funds by approximately 5 percentage points in 2025, although it has shown significant volatility since June 2025, underperforming compared to single strategies like growth and small-cap strategies [1][7][31] - The model has been optimized across four levels, including enhancing the timing indicators, increasing observation frequency to daily, and conducting stability tests on the effectiveness of timing indicators [1][8][14] Strategy Configuration 1.0 Model Performance - The model has demonstrated a total annualized return of 40.2% since 2015, with an annualized excess return of 30.0% compared to the equity mixed fund index, and a monthly win rate of 68.7% [3][31] - The model's performance in the validation set for 2024 and 2025 showed annualized returns of 13.4% and 78.9%, respectively, significantly outperforming the benchmark [3][31] Factors Influencing Future Style Returns - For small-cap style, attention should be paid to the willingness of capital inflows, as the active inflow rate is significantly positively correlated with future returns [2][30] - For growth style, the valuation deviation from the market is crucial, as significant deviations indicate a strong mean-reversion characteristic [2][24] - The internal differentiation degree of styles can monitor the crowding level in small-cap and growth styles, with low differentiation indicating potential systemic risk [2][30] Strategy Configuration 2.0 Model - The new model aims for an annualized return of 40%, focusing on the rotation of small-cap, growth, value, and dividend strategies based on the insights from the timing models [3][26] - The model has shown strong performance in both the training and validation sets, confirming its robustness and transferability [31] Performance of Active Quantitative Strategies - The small-cap strategy has shown exceptional performance, with an annualized return of 90.5% in 2025, while the growth strategy also performed well with a return of 48.5% [4][31] - The model's annualized returns and risk control have been validated through backtesting, demonstrating its effectiveness in various market conditions [3][31] Style Timing Model - The style timing model has effectively improved the Sharpe ratio across various styles, with the small-cap style achieving an annualized return of 16.7% and a Sharpe ratio increase from 1.66 to 2.28 [2][28]