Quantitative Models and Construction Methods - **Model Name**: Short-term Quantitative Timing Model **Model Construction Idea**: The model integrates macroeconomic fundamentals, valuation metrics, sentiment indicators, and liquidity metrics to generate short-term timing signals for A-share market trends [17][18]. **Model Construction Process**: 1. **Macroeconomic Fundamentals**: - Manufacturing PMI: Latest value is 49.70, corresponding to the 44.92% percentile over the past 5 years. Neutral signal. - RMB medium-to-long-term loan growth rate: Latest value is 6.78%, corresponding to the 0.00% percentile over the past 5 years. Cautious signal. - M1 growth rate (HP filter detrended): Latest value is 0.00%, corresponding to the 77.97% percentile over the past 5 years. Optimistic signal [17]. 2. **Valuation Metrics**: - PE Median: Latest value is 41.03, corresponding to the 94.79% percentile over the past 5 years. Neutral signal. - PB Median: Latest value is 2.73, corresponding to the 76.34% percentile over the past 5 years. Neutral signal [17]. 3. **Sentiment Indicators**: - Beta Dispersion: Latest value is -0.59%, corresponding to the 40.68% percentile over the past 5 years. Neutral signal. - Volume Sentiment Score: Latest value is 0.59, corresponding to the 90.82% percentile over the past 5 years. Optimistic signal. - Volatility: Latest value is 10.41% (annualized), corresponding to the 4.55% percentile over the past 5 years. Neutral signal [18]. 4. **Liquidity Metrics**: - Monetary Rate Indicator: Latest value is -0.10, corresponding to the 33.90% percentile over the past 5 years. Optimistic signal. - Exchange Rate Expectation Indicator: Latest value is -0.09%, corresponding to the 40.68% percentile over the past 5 years. Neutral signal. - 5-day average net financing: Latest value is 25.53 billion RMB, corresponding to the 84.20% percentile over the past 5 years. Neutral signal [18]. **Model Evaluation**: The model effectively captures short-term market trends and provides actionable signals for timing decisions [17][18]. - **Model Name**: Growth-Value Style Rotation Model **Model Construction Idea**: The model uses a quantitative economic mid-cycle analysis framework to determine the relative attractiveness of growth versus value styles based on profitability, interest rate, and credit cycles [28][29]. **Model Construction Process**: 1. **Macroeconomic Fundamentals**: - Profitability Cycle Slope: Current level is high, favoring growth. - Interest Rate Cycle Level: Current level is high, favoring value. - Credit Cycle Trend: Current trend is weakening, favoring value [28]. 2. **Valuation Metrics**: - PE Spread Percentile: Current value is 14.87%, indicating mean reversion upward, favoring growth. - PB Spread Percentile: Current value is 34.18%, indicating mean reversion upward, favoring growth [28]. 3. **Sentiment Indicators**: - Turnover Spread Percentile: Current value is 21.09%, indicating low turnover spread, favoring value. - Volatility Spread Percentile: Current value is 22.55%, indicating low volatility spread, favoring balanced allocation [29]. **Model Evaluation**: The model provides a systematic approach to style rotation, enhancing returns compared to equal-weighted style allocation [28][29]. - **Model Name**: Small-Cap vs. Large-Cap Style Rotation Model **Model Construction Idea**: The model evaluates the relative attractiveness of small-cap versus large-cap styles based on profitability, interest rate, and credit cycles, as well as valuation and sentiment metrics [33][34]. **Model Construction Process**: 1. **Macroeconomic Fundamentals**: - Profitability Cycle Slope: Current level is high, favoring small-cap. - Interest Rate Cycle Level: Current level is high, favoring large-cap. - Credit Cycle Trend: Current trend is weakening, favoring large-cap [33]. 2. **Valuation Metrics**: - PE Spread Percentile: Current value is 80.35%, indicating mean reversion downward, favoring large-cap. - PB Spread Percentile: Current value is 96.77%, indicating mean reversion downward, favoring large-cap [34]. 3. **Sentiment Indicators**: - Turnover Spread Percentile: Current value is 64.93%, indicating high turnover spread, favoring small-cap. - Volatility Spread Percentile: Current value is 65.44%, indicating mean reversion downward, favoring large-cap [34]. **Model Evaluation**: The model balances small-cap and large-cap allocations effectively, providing consistent returns over time [33][34]. - **Model Name**: Four-Style Rotation Model **Model Construction Idea**: The model combines insights from 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 [36][37]. **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% [36]. **Model Evaluation**: The model achieves superior returns compared to equal-weighted allocation across four styles, with consistent performance over time [36][37]. Model Backtesting Results - **Short-term Quantitative Timing Model**: - Annualized Return: 16.71% - Annualized Volatility: 14.56% - Maximum Drawdown: 27.70% - Sharpe Ratio: 0.9969 - Monthly Win Rate: 69.74% - Quarterly Win Rate: 69.23% [19][22][25] - **Growth-Value Style Rotation Model**: - Annualized Return: 11.73% - Annualized Volatility: 20.82% - Maximum Drawdown: 43.07% - Sharpe Ratio: 0.5416 - Monthly Win Rate: 58.28% - Quarterly Win Rate: 60.78% [29][32] - **Small-Cap vs. Large-Cap Style Rotation Model**: - Annualized Return: 12.21% - Annualized Volatility: 22.73% - Maximum Drawdown: 50.65% - Sharpe Ratio: 0.5336 - Monthly Win Rate: 60.93% - Quarterly Win Rate: 58.82% [34][35] - **Four-Style Rotation Model**: - Annualized Return: 13.25% - Annualized Volatility: 21.56% - Maximum Drawdown: 47.91% - Sharpe Ratio: 0.5931 - Monthly Win Rate: 59.60% - Quarterly Win Rate: 62.75% [36][37]