Core Viewpoint - The article discusses various strategies for enhancing investment returns, focusing on fundamental enhancement, quantitative enhancement, and new share subscription methods. Group 1: Fundamental Enhancement - Fundamental enhancement involves allocating more to high-performing sectors such as consumer and healthcare, as well as to companies with high Return on Equity (ROE) and strong long-term profitability [4]. - It emphasizes the importance of investing in leading companies within industries that exhibit a leader effect, which can provide better returns [4]. - This strategy is typically employed by actively managed funds with strong individual stock research capabilities, and the findings can also be applied to index-enhanced funds [4][5]. Group 2: Quantitative Enhancement - Quantitative enhancement utilizes various quantitative factors to build models that capture investment opportunities, requiring strong capabilities from the fund's quantitative team [6]. - Common quantitative factors include valuation factors, fundamental factors, price-related factors, and sentiment factors, which can be used individually or in combination [6]. - A successful quantitative model typically includes factors that identify high-quality stocks and those that are undervalued, allowing for strategic buying during low valuation periods [7]. Group 3: New Share Subscription - In addition to fundamental and quantitative enhancements, funds can also enhance returns through new share subscriptions, which are typically accessible to funds with a scale of over 200 million [7].

- Model Name: Diffusion Index Model; Model Construction Idea: The model monitors the critical points of future diffusion index changes; Model Construction Process: The model uses a table to monitor the future diffusion index change points. The horizontal axis represents the percentage change in stock prices from the current week, ranging from 1.1 to 0.9, indicating a 10% rise to a 10% fall. The vertical axis represents the length of the review period from the current week, with T ranging from 20 to 10, indicating the number of trading days from the current week, i.e., N from 0 to 10, N=20-T. For example, a horizontal axis value of 0.95 and a vertical axis value of 15 days is 0.21, indicating that if all stocks in the micro-cap index fall by 5% after N=5 days, the value of the micro-cap diffusion index is 0.21. The current value of the diffusion index is 0.76 (horizontal axis 20, vertical axis 1.00) [40][41][42] - Model Name: Initial Threshold Method (Left-Side Trading); Model Construction Idea: The model triggers a short position signal when the diffusion index reaches a certain threshold; Model Construction Process: The initial threshold method triggered a short position signal at the close of May 8, 2025, with a value of 0.9850 [45][46] - Model Name: Delayed Threshold Method (Right-Side Trading); Model Construction Idea: The model triggers a short position signal when the diffusion index reaches a certain threshold; Model Construction Process: The delayed threshold method triggered a short position signal at the close of May 15, 2025, with a value of 0.8975 [47][49] - Model Name: Double Moving Average Method (Adaptive Trading); Model Construction Idea: The model triggers a short position signal when the diffusion index reaches a certain threshold; Model Construction Process: The double moving average method triggered a short position signal at the close of August 4, 2025 [50][51] - Factor Name: Logarithmic Market Value Factor; Factor Construction Idea: The factor ranks stocks based on their logarithmic market value; Factor Construction Process: The factor is calculated by taking the logarithm of the market value of stocks and ranking them accordingly; Factor Evaluation: The factor performed well this week with a rank IC of 0.206, compared to a historical average of -0.033 [4][18][35] - Factor Name: Nonlinear Market Value Factor; Factor Construction Idea: The factor ranks stocks based on their nonlinear market value; Factor Construction Process: The factor is calculated by taking the nonlinear transformation of the market value of stocks and ranking them accordingly; Factor Evaluation: The factor performed well this week with a rank IC of 0.206, compared to a historical average of -0.033 [4][18][35] - Factor Name: Unadjusted Stock Price Factor; Factor Construction Idea: The factor ranks stocks based on their unadjusted stock price; Factor Construction Process: The factor is calculated by taking the unadjusted stock price of stocks and ranking them accordingly; Factor Evaluation: The factor performed well this week with a rank IC of 0.15, compared to a historical average of -0.014 [4][18][35] - Factor Name: Profitability Factor; Factor Construction Idea: The factor ranks stocks based on their profitability; Factor Construction Process: The factor is calculated by taking the profitability metrics of stocks and ranking them accordingly; Factor Evaluation: The factor performed well this week with a rank IC of 0.141, compared to a historical average of 0.022 [4][18][35] - Factor Name: Single Quarter ROE Factor; Factor Construction Idea: The factor ranks stocks based on their single quarter return on equity (ROE); Factor Construction Process: The factor is calculated by taking the single quarter ROE of stocks and ranking them accordingly; Factor Evaluation: The factor performed well this week with a rank IC of 0.137, compared to a historical average of 0.022 [4][18][35] - Diffusion Index Model, Rank IC: 0.76 [40][41][42] - Initial Threshold Method, Rank IC: 0.9850 [45][46] - Delayed Threshold Method, Rank IC: 0.8975 [47][49] - Double Moving Average Method, Rank IC: 0.76 [50][51] - Logarithmic Market Value Factor, Rank IC: 0.206 [4][18][35] - Nonlinear Market Value Factor, Rank IC: 0.206 [4][18][35] - Unadjusted Stock Price Factor, Rank IC: 0.15 [4][18][35] - Profitability Factor, Rank IC: 0.141 [4][18][35] - Single Quarter ROE Factor, Rank IC: 0.137 [4][18][35]

- The macro timing strategy model recommended an equity position of 50% for July, with a signal strength of 100% for economic growth and 0% for monetary liquidity[4][27][28] - The macro timing strategy's year-to-date return as of the end of June 2025 was 1.34%, compared to the Wind All A Index return of 1.04%[4][27] - The micro-cap/large-cap index relative net value rose to 2.00 times, above its 243-day moving average of 1.48 times, indicating strong short-term momentum for micro-cap stocks[5][31] - The volatility congestion ratio was -13.56% year-on-year, well below the 55% risk threshold, indicating that the risk warning has been completely lifted[5][31] - The 10-year government bond yield was -21.85% year-on-year, also below the 30% interest rate risk control line, indicating that medium-term risks are under control[5][31] - Value factor in the CSI 300 pool had an IC of 12.36%, while the growth factor in the CSI 500 pool had an IC of -14.01%[37] - Quality factor in the CSI 500 and CSI 1000 pools had ICs of -18.32% and -2.99%, respectively[37] - Market capitalization factor in the All A-share pool had an IC of -7.07%[37] - Value factor in the CSI 300 pool recorded a weekly return of approximately 3.05%, while the consensus expectation factor in the CSI 500 pool had a drawdown of approximately -1.23%[37] - Market capitalization factor in the All A-share pool had a drawdown of approximately -0.56%, while the reversal factor in the CSI 300 pool recorded a return of approximately 2.09%[37] - Quality factor in the All A-share pool recorded a return of approximately 0.40%[37] - The quantifiable bond selection factors for convertible bonds showed significant differentiation in performance, with the stock growth factor leading with a weekly return of approximately 1.25%[41] - The stock consensus expectation factor followed closely with a weekly return of approximately 1.14%, while the stock quality factor recorded a return of approximately -0.13%[41] - The stock value factor had a drawdown of approximately -0.30%, and the convertible bond valuation factor had the deepest decline with a weekly return of -0.68%[41]

Quantitative Factors and Construction Methods 1. Factor Name: BP (Book-to-Price Ratio) - **Factor Construction Idea**: Measures the valuation of a stock by comparing its book value to its market value [13] - **Factor Construction Process**: - Formula: $ BP = \frac{\text{Current Net Asset}}{\text{Current Total Market Value}} $ [13] 2. Factor Name: BP Three-Year Percentile - **Factor Construction Idea**: Evaluates the relative valuation of a stock over the past three years [13] - **Factor Construction Process**: - Formula: $ \text{BP Three-Year Percentile} = \text{Percentile of Current BP in the Last Three Years} $ [13] 3. Factor Name: Quarterly EP (Earnings-to-Price Ratio) - **Factor Construction Idea**: Measures profitability relative to market value on a quarterly basis [13] - **Factor Construction Process**: - Formula: $ \text{Quarterly EP} = \frac{\text{Quarterly Net Profit}}{\text{Net Asset}} $ [13] 4. Factor Name: Quarterly EP One-Year Percentile - **Factor Construction Idea**: Tracks the relative profitability of a stock over the past year [13] - **Factor Construction Process**: - Formula: $ \text{Quarterly EP One-Year Percentile} = \text{Percentile of Current Quarterly EP in the Last Year} $ [13] 5. Factor Name: Quarterly SP (Sales-to-Price Ratio) - **Factor Construction Idea**: Measures revenue generation relative to market value on a quarterly basis [13] - **Factor Construction Process**: - Formula: $ \text{Quarterly SP} = \frac{\text{Quarterly Operating Revenue}}{\text{Net Asset}} $ [13] 6. Factor Name: Quarterly SP One-Year Percentile - **Factor Construction Idea**: Tracks the relative revenue generation of a stock over the past year [13] - **Factor Construction Process**: - Formula: $ \text{Quarterly SP One-Year Percentile} = \text{Percentile of Current Quarterly SP in the Last Year} $ [13] 7. Factor Name: Quarterly Gross Margin - **Factor Construction Idea**: Measures profitability efficiency by comparing gross profit to sales revenue [13] - **Factor Construction Process**: - Formula: $ \text{Quarterly Gross Margin} = \frac{\text{Quarterly Gross Profit}}{\text{Quarterly Sales Revenue}} $ [13] 8. Factor Name: Standardized Unexpected Earnings (SUE) - **Factor Construction Idea**: Quantifies earnings surprises relative to historical growth trends [13] - **Factor Construction Process**: - Formula: $ \text{SUE} = \frac{\text{Current Quarterly Net Profit} - (\text{Last Year Same Quarter Net Profit} + \text{Average Growth of Last 8 Quarters})}{\text{Standard Deviation of Growth in Last 8 Quarters}} $ [13] 9. Factor Name: Standardized Unexpected Revenue (SUR) - **Factor Construction Idea**: Quantifies revenue surprises relative to historical growth trends [13] - **Factor Construction Process**: - Formula: $ \text{SUR} = \frac{\text{Current Quarterly Revenue} - (\text{Last Year Same Quarter Revenue} + \text{Average Growth of Last 8 Quarters})}{\text{Standard Deviation of Growth in Last 8 Quarters}} $ [13] 10. Factor Name: 1-Month Turnover Rate and Price Correlation - **Factor Construction Idea**: Measures the relationship between turnover rate and price over the past month [13] - **Factor Construction Process**: - Formula: $ \text{Correlation} = \text{Correlation Coefficient of Turnover Rate and Price over the Last 20 Trading Days} $ [13] --- Factor Backtesting Results IC Performance - **BP**: Weekly IC: -7.07%, Monthly IC: 0.84%, Yearly IC: 1.37%, Historical IC: 2.35% [9] - **BP Three-Year Percentile**: Weekly IC: -4.35%, Monthly IC: -0.95%, Yearly IC: 2.26%, Historical IC: 1.73% [9] - **Quarterly EP**: Weekly IC: 4.35%, Monthly IC: 0.50%, Yearly IC: -0.03%, Historical IC: 1.07% [9] - **Quarterly EP One-Year Percentile**: Weekly IC: -0.91%, Monthly IC: 2.98%, Yearly IC: 1.21%, Historical IC: 1.72% [9] - **Quarterly SP**: Weekly IC: -1.33%, Monthly IC: 0.50%, Yearly IC: 0.45%, Historical IC: 0.70% [9] - **Quarterly SP One-Year Percentile**: Weekly IC: 1.57%, Monthly IC: 1.02%, Yearly IC: 2.99%, Historical IC: 1.87% [9] - **Quarterly Gross Margin**: Weekly IC: 7.04%, Monthly IC: 0.06%, Yearly IC: 0.49%, Historical IC: 0.50% [9] - **SUE**: Weekly IC: 4.59%, Monthly IC: 4.44%, Yearly IC: 0.87%, Historical IC: 0.97% [9] - **SUR**: Weekly IC: 3.53%, Monthly IC: 2.05%, Yearly IC: 0.98%, Historical IC: 0.86% [9] - **1-Month Turnover Rate and Price Correlation**: Weekly IC: 10.17%, Monthly IC: 2.65%, Yearly IC: 2.75%, Historical IC: 1.69% [9] Excess Return of Long-Only Portfolios - **BP**: Weekly: -0.90%, Monthly: 0.06%, Yearly: -0.30%, Historical: 33.52% [11] - **BP Three-Year Percentile**: Weekly: -0.60%, Monthly: -2.29%, Yearly: -0.76%, Historical: -1.67% [11] - **Quarterly EP**: Weekly: -0.16%, Monthly: 0.58%, Yearly: 2.84%, Historical: 29.38% [11] - **Quarterly EP One-Year Percentile**: Weekly: -0.61%, Monthly: 0.55%, Yearly: 3.45%, Historical: 31.87% [11] - **Quarterly SP**: Weekly: -0.39%, Monthly: 0.15%, Yearly: 0.93%, Historical: -3.80% [11] - **Quarterly SP One-Year Percentile**: Weekly: -0.30%, Monthly: -0.19%, Yearly: 10.46%, Historical: -0.86% [11] - **Quarterly Gross Margin**: Weekly: -0.09%, Monthly: -0.15%, Yearly: 5.26%, Historical: 15.26% [11] - **SUE**: Weekly: 0.92%, Monthly: 2.09%, Yearly: -0.37%, Historical: 6.59% [11] - **SUR**: Weekly: 0.83%, Monthly: 1.29%, Yearly: 1.23%, Historical: 13.76% [11] - **1-Month Turnover Rate and Price Correlation**: Weekly: 0.13%, Monthly: 1.11%, Yearly: 7.31%, Historical: 20.14% [11]

- The macro timing strategy model suggests a recommended equity position of 45% for June, with signal strengths of 50% for economic growth and 40% for monetary liquidity[3][26][27] - The micro-cap stock rotation and timing signals remain strong, with the micro-cap/Chow index relative net value rising to 1.93 times, above its 243-day moving average of 1.41 times[4][29] - The micro-cap stock's 20-day price slope is 0.00257, indicating stronger upward momentum compared to the Chow index's -0.00019[4][29] - The risk warning has been lifted, with volatility congestion at -0.415%, well below the warning threshold of 0.55%, and the 10-year government bond yield at -0.27%, below the risk control line of 0.30%[4][29] - The market's recent rise has favored small-cap growth styles, leading to strong performance in market cap, consensus expectations, and growth factors, while technical and low-volatility factors have underperformed[4][40] - The market cap factor had the highest IC in the CSI 300 pool at 0.2241, while the growth factor had a weak signal in the CSI 500 pool with an IC of -0.0305[39] - The market cap factor also performed well in the entire A-share pool with an IC of 0.2347[39] - The weekly performance of multi-factor strategies showed the market cap factor leading with a gain of approximately +2.21% in the CSI 300 pool, while the growth factor rose by about +0.17%[39] - The consensus expectations factor and growth factor are expected to continue performing well, while technical and low-volatility factors may see a rebound as market sentiment slows down[40] - The convertible bond selection factors showed the stock growth factor leading with a gain of about 0.72%, followed by the stock consensus expectations factor with a return of about 0.63%[45] - The stock quality factor fell by about 0.26%, the stock value factor retreated by about 0.66%, and the convertible bond valuation factor had the largest decline of about 1.70%[45] Model Backtest Results - Macro timing strategy model, equity position: 45%[3][26][27] - Micro-cap stock/Chow index relative net value: 1.93 times[4][29] - Micro-cap stock 20-day price slope: 0.00257[4][29] - Volatility congestion: -0.415%[4][29] - 10-year government bond yield: -0.27%[4][29] - Market cap factor IC in CSI 300 pool: 0.2241[39] - Growth factor IC in CSI 500 pool: -0.0305[39] - Market cap factor IC in entire A-share pool: 0.2347[39] - Market cap factor weekly gain in CSI 300 pool: +2.21%[39] - Growth factor weekly gain in CSI 300 pool: +0.17%[39] - Stock growth factor weekly gain: 0.72%[45] - Stock consensus expectations factor weekly return: 0.63%[45] - Stock quality factor weekly decline: -0.26%[45] - Stock value factor weekly decline: -0.66%[45] - Convertible bond valuation factor weekly decline: -1.70%[45]

- The report discusses the performance of major market indices in China over the past week, highlighting that the SSE 50, CSI 300, CSI 500, and CSI 1000 indices all experienced gains, with respective increases of 1.93%, 2%, 1.6%, and 2.22%[2][12] - The report mentions the release of April inflation data in China, noting that the PPI was -0.27% year-on-year, down 0.2% from the previous month, and the CPI was -0.1% year-on-year, unchanged from the previous month[3][20] - The People's Bank of China announced ten specific measures, including a 0.5% reserve requirement ratio cut and a 0.1% interest rate cut, which positively impacted the banking sector[3][20] - The report highlights the implementation of the "Action Plan to Promote High-Quality Development of Public Funds" by the China Securities Regulatory Commission, which aims to ensure that fund managers' performance compensation is significantly reduced if their products underperform the benchmark by more than 10% over three years[3][20] - The report suggests that fund managers will focus more on closely tracking performance benchmarks and allocating funds to large-cap stocks to reduce market volatility and avoid significant style deviations[3][20] - The report recommends maintaining core positions in large-cap value stocks and tactically switching to financial and domestic consumption sectors for the upcoming week[4][21] - The report discusses the micro-cap stock index timing and rotation indicators, noting that the micro-cap stock index relative net value crossed above the annual line on October 14, 2024, and the trend has continued since then[5][30] - The micro-cap timing model uses two mid-term risk warning indicators: the ten-year government bond yield year-on-year indicator and the volatility congestion degree year-on-year indicator. As of October 15, 2024, the volatility congestion degree indicator fell below the threshold, and the ten-year government bond yield indicator was -20.45%, not triggering the risk control threshold of 0.3[5][30] - The report tracks the performance of eight major stock selection factors across different stock pools (all A-shares, CSI 300, CSI 500, and CSI 1000). The market capitalization factor performed best in the CSI 300 stock pool, while the reversal factor performed well in the CSI 500 and CSI 1000 stock pools[39][40] - The report notes that due to continued market volatility, volume-price factors maintained good performance, and small-cap stocks performed well, driving the market capitalization factor upward. The value factor also performed well due to the positive impact of the reserve requirement ratio cut on low-valuation sectors like banking[40] - The report provides the IC mean and long-short returns for the major factors, showing that the volatility factor achieved positive returns in the all A-shares stock pool, indicating some stability[41] - The report discusses the construction of quantitative bond selection factors for convertible bonds, tracking the performance of five bond selection factors. The equity growth factor achieved positive long-short returns last week[45][46] - The report includes detailed definitions and classifications of major factors, such as market capitalization, value, growth, quality, consensus expectations, technical, volatility, and reversal factors[51]

- The micro-cap stock index rotation signal indicates that the micro-cap stock index relative net value crossed above the annual line on October 14, 2024, and this trend has continued since then[29] - The 20-day closing price slopes of both the micro-cap stock index and the Moutai index are positive, suggesting a favorable outlook for the micro-cap index's relative performance[29] - In the micro-cap timing model, the volatility congestion indicator, which reflects market trading sentiment, fell below the threshold on October 15, 2024, lifting the risk warning signal[29] - The interest rate year-on-year indicator, which is more fundamental, was -20.45%, not triggering the interest rate risk control threshold of 0.3[29] - The micro-cap timing model has not triggered any risk controls, so investors who prefer to hold micro-cap stocks long-term are advised to continue holding[29] Quantitative Factors and Construction Methods 1. Factor Name: Size Factor; Construction Idea: Measures the impact of company size on stock returns; Construction Process: Calculated as the logarithm of the market capitalization (LN_MktCap)[40][51] 2. Factor Name: Value Factor; Construction Idea: Evaluates the stock's valuation; Construction Process: Includes metrics like book-to-price ratio (BP_LR), earnings-to-price ratio (EP_FTTM), and sales-to-enterprise value ratio (Sales2EV)[40][51] 3. Factor Name: Growth Factor; Construction Idea: Assesses the company's growth potential; Construction Process: Includes metrics like single-quarter operating income growth (OperatingIncome_SQ_Chg1Y) and single-quarter revenue growth (Revenues_SQ_Chg1Y)[40][51] 4. Factor Name: Quality Factor; Construction Idea: Measures the company's financial health; Construction Process: Includes metrics like operating cash flow to current debt (OCF2CurrentDebt) and gross margin (GrossMargin_TTM)[40][51] 5. Factor Name: Consensus Expectation Factor; Construction Idea: Reflects market expectations; Construction Process: Includes metrics like expected return on equity change over three months (ROE_FTTM_Chg3M) and target return over 180 days (TargetReturn_180D)[40][51] 6. Factor Name: Technical Factor; Construction Idea: Based on stock price and volume trends; Construction Process: Includes metrics like 20-day turnover mean (Turnover_Mean_20D) and 60-day return volatility (Volatility_60D)[40][51] 7. Factor Name: Volatility Factor; Construction Idea: Measures stock price volatility; Construction Process: Includes metrics like CAPM model residual volatility (IV_CAPM) and Fama-French three-factor model residual volatility (IV_FF)[40][51] 8. Factor Name: Reversal Factor; Construction Idea: Captures the tendency of stock prices to revert to the mean; Construction Process: Includes metrics like 40-day return (Price_Chg40D) and 60-day return (Price_Chg60D)[40][51] Factor Backtesting Results 1. Size Factor, IC Mean: 35.37% (All A-shares), -9.73% (CSI 300), 13.63% (CSI 500), 17.13% (CSI 1000); Long-Short Return: 8.09% (All A-shares), -3.21% (CSI 300), 3.16% (CSI 500), 4.01% (CSI 1000)[42][43] 2. Value Factor, IC Mean: 2.40% (All A-shares), 14.21% (CSI 300), 15.32% (CSI 500), 8.40% (CSI 1000); Long-Short Return: 3.53% (All A-shares), 1.74% (CSI 300), 3.00% (CSI 500), 3.33% (CSI 1000)[42][44] 3. Growth Factor, IC Mean: -4.85% (All A-shares), 0.05% (CSI 300), -5.97% (CSI 500), -17.08% (CSI 1000); Long-Short Return: 2.23% (All A-shares), 4.13% (CSI 300), 1.21% (CSI 500), 0.56% (CSI 1000)[42][43] 4. Quality Factor, IC Mean: -8.43% (All A-shares), -10.63% (CSI 300), -8.60% (CSI 500), -11.51% (CSI 1000); Long-Short Return: 2.07% (All A-shares), 1.47% (CSI 300), 2.50% (CSI 500), 0.71% (CSI 1000)[42][44] 5. Consensus Expectation Factor, IC Mean: -0.33% (All A-shares), 12.78% (CSI 300), -4.34% (CSI 500), 0.08% (CSI 1000); Long-Short Return: 2.76% (All A-shares), 4.51% (CSI 300), 4.52% (CSI 500), 3.72% (CSI 1000)[42][43] 6. Technical Factor, IC Mean: 4.13% (All A-shares), 2.37% (CSI 300), 3.13% (CSI 500), 11.63% (CSI 1000); Long-Short Return: 8.36% (All A-shares), 4.02% (CSI 300), 6.42% (CSI 500), 8.53% (CSI 1000)[42][44] 7. Volatility Factor, IC Mean: 2.14% (All A-shares), 5.04% (CSI 300), 16.85% (CSI 500), 15.33% (CSI 1000); Long-Short Return: 8.14% (All A-shares), 3.35% (CSI 300), 6.02% (CSI 500), 8.12% (CSI 1000)[42][44] 8. Reversal Factor, IC Mean: 11.17% (All A-shares), 17.06% (CSI 300), 30.80% (CSI 500), 31.65% (CSI 1000); Long-Short Return: 6.60% (All A-shares), 2.81% (CSI 300), 6.37% (CSI 500), 7.58% (CSI 1000)[42][43]

Quantitative Models and Construction Methods 1. Model Name: Macro Timing Strategy - **Model Construction Idea**: The model aims to provide signals for equity allocation based on macroeconomic growth and monetary liquidity indicators[26] - **Model Construction Process**: The model uses dynamic macro event factors to construct a stock-bond rotation strategy. The signal strength for economic growth and monetary liquidity is calculated monthly. For April, the signal strength for economic growth is 0%, and for monetary liquidity is 50%[26][27] - **Model Evaluation**: The model has shown a return of 1.06% from the beginning of 2025 to the present, compared to a 1.90% return for the Wind All A index during the same period[26] 2. Model Name: Micro Cap Timing Model - **Model Construction Idea**: The model focuses on timing and rotation signals for micro-cap stocks based on volatility and interest rate indicators[30] - **Model Construction Process**: The model uses two mid-term risk warning indicators: 1) Ten-year government bond yield YoY indicator and 2) Volatility congestion YoY indicator. On October 15, 2024, the volatility congestion indicator fell below the threshold, lifting the risk warning signal. The interest rate YoY indicator was -20.45%, not triggering the risk control threshold of 0.3[30] - **Model Evaluation**: The model has not triggered risk control, suggesting investors continue holding micro-cap stocks[30] Model Backtest Results 1. Macro Timing Strategy - **Economic Growth Signal Strength**: 0%[27] - **Monetary Liquidity Signal Strength**: 50%[27] - **Equity Allocation Recommendation**: 25%[27] - **Return from 2025 to Present**: 1.06%[26] 2. Micro Cap Timing Model - **Ten-year Government Bond Yield YoY**: -28.69%[31] - **Volatility Congestion YoY**: -50.09%[31] Quantitative Factors and Construction Methods 1. Factor Name: Value Factor - **Factor Construction Idea**: The factor aims to capture the value characteristics of stocks based on fundamental metrics[37] - **Factor Construction Process**: The value factor includes metrics such as the latest annual report book value to market value (BP_LR), future 12-month consensus expected net profit to market value (EP_FTTM), and past 12-month operating income to market value (SP_TTM)[47] - **Factor Evaluation**: The value factor performed best in the CSI 300 stock pool last week[37] 2. Factor Name: Size Factor - **Factor Construction Idea**: The factor aims to capture the size characteristics of stocks based on market capitalization[37] - **Factor Construction Process**: The size factor includes metrics such as the logarithm of circulating market capitalization (LN_MktCap)[47] - **Factor Evaluation**: The size factor showed strong positive returns in the CSI 1000 stock pool last week[37] Factor Backtest Results 1. Value Factor - **IC Mean (CSI 300)**: 25.88%[38] - **IC Mean (CSI 500)**: 10.56%[38] - **IC Mean (CSI 1000)**: 6.32%[38] - **Multi-Long Return (CSI 300)**: 10.84%[38] - **Multi-Long Return (CSI 500)**: 10.56%[38] - **Multi-Long Return (CSI 1000)**: 6.32%[38] 2. Size Factor - **IC Mean (CSI 300)**: 3.33%[38] - **IC Mean (CSI 500)**: -3.23%[38] - **IC Mean (CSI 1000)**: -1.84%[38] - **Multi-Long Return (CSI 300)**: 3.33%[38] - **Multi-Long Return (CSI 500)**: -3.23%[38] - **Multi-Long Return (CSI 1000)**: -1.84%[38]