Quantitative Models and Construction Methods 1. Model Name: Short-term Timing Model - **Model Construction Idea**: The model aims to provide short-term market timing signals based on various market indicators. - **Model Construction Process**: - **Fundamental Indicators**: - Manufacturing PMI: Current value is 49.70, at the 44.92% percentile over the past 5 years, giving a neutral signal[17] - RMB medium and long-term loan balance growth rate: Current value is 6.78%, at the 0.00% percentile over the past 5 years, giving a cautious signal[17] - M1 growth rate: Current value is 2.30%, at the 77.97% percentile over the past 5 years, giving an optimistic signal[17] - **Valuation Indicators**: - PE median: Current value is 40.16, at the 92.80% percentile over the past 5 years, giving a neutral signal[18] - PB median: Current value is 2.68, at the 71.05% percentile over the past 5 years, giving a neutral signal[18] - **Sentiment Indicators**: - Beta dispersion: Current value is -0.59%, at the 40.68% percentile over the past 5 years, giving a neutral signal[20] - Volume sentiment score: Current value is 0.30, at the 72.70% percentile over the past 5 years, giving an optimistic signal[20] - Volatility: Current value is 11.57% (annualized), at the 12.99% percentile over the past 5 years, giving a neutral signal[20] - **Liquidity Indicators**: - Monetary rate indicator: Current value is -0.10, at the 33.90% percentile over the past 5 years, giving an optimistic signal[20] - Exchange rate expectation indicator: Current value is -0.09%, at the 40.68% percentile over the past 5 years, giving a neutral signal[20] - Average new financing amount over 5 days: Current value is 23.20 billion, at the 80.81% percentile over the past 5 years, giving a neutral signal[20] - **Model Evaluation**: The model provides a comprehensive view of short-term market conditions by integrating fundamental, valuation, sentiment, and liquidity indicators. 2. 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**: - **Fundamental Indicators**: - Profit cycle slope: High, favoring growth[32] - Interest rate cycle level: High, favoring value[32] - Credit cycle trend: Weak, favoring value[32] - **Valuation Indicators**: - PE valuation difference: 5-year percentile is 15.19%, favoring growth[32] - PB valuation difference: 5-year percentile is 34.08%, favoring growth[32] - **Sentiment Indicators**: - Turnover difference: 5-year percentile is 21.01%, favoring value[32] - Volatility difference: 5-year percentile is 20.58%, favoring balanced allocation[32] - **Model Evaluation**: The model effectively captures the rotation between growth and value styles by considering fundamental, valuation, and sentiment factors. 3. 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**: - **Fundamental Indicators**: - Profit cycle slope: High, favoring small-cap[36] - Interest rate cycle level: High, favoring large-cap[36] - Credit cycle trend: Weak, favoring large-cap[36] - **Valuation Indicators**: - PE valuation difference: 5-year percentile is 80.60%, favoring large-cap[36] - PB valuation difference: 5-year percentile is 99.59%, favoring large-cap[36] - **Sentiment Indicators**: - Turnover difference: 5-year percentile is 54.26%, neutral[36] - Volatility difference: 5-year percentile is 83.71%, favoring large-cap[36] - **Model Evaluation**: The model provides a balanced approach to rotating between small-cap and large-cap styles by integrating fundamental, valuation, and sentiment indicators. 4. Model Name: Four-Style Rotation Model - **Model Construction Idea**: The model combines the growth-value and small-cap vs. large-cap rotation models to provide a comprehensive allocation across four styles. - **Model Construction Process**: - **Allocation Recommendation**: - Small-cap growth: 12.5%[41] - Small-cap value: 37.5%[41] - Large-cap growth: 12.5%[41] - Large-cap value: 37.5%[41] - **Model Evaluation**: The model offers a diversified approach to style rotation, leveraging insights from both growth-value and small-cap vs. large-cap models. Model Backtest Results Short-term Timing Model - Annualized Return: 16.58%[26] - Annualized Volatility: 14.57%[26] - Maximum Drawdown: 27.70%[26] - Sharpe Ratio: 0.9889[26] - Monthly Win Rate: 69.74%[26] - Quarterly Win Rate: 69.23%[26] - Annual Win Rate: 85.71%[26] Growth-Value Style Rotation Model - Annualized Return: 11.67%[35] - Annualized Volatility: 20.84%[35] - Maximum Drawdown: 43.07%[35] - Sharpe Ratio: 0.5387[35] - Monthly Win Rate: 58.28%[35] - Quarterly Win Rate: 60.78%[35] Small-Cap vs. Large-Cap Style Rotation Model - Annualized Return: 12.21%[40] - Annualized Volatility: 22.73%[40] - Maximum Drawdown: 50.65%[40] - Sharpe Ratio: 0.5336[40] - Monthly Win Rate: 60.93%[40] - Quarterly Win Rate: 58.82%[40] Four-Style Rotation Model - Annualized Return: 13.17%[43] - Annualized Volatility: 21.58%[43] - Maximum Drawdown: 47.91%[43] - Sharpe Ratio: 0.5895[43] - Monthly Win Rate: 59.60%[43] - Quarterly Win Rate: 62.75%[43] - Annual Win Rate: 69.23%[43]