- The short-term timing model maintains an optimistic signal this week, supported by macro fundamentals, valuation caution, neutral sentiment, and optimistic liquidity[18][19][22] - The short-term timing strategy has achieved an annualized return of 16.78% since 2012, with an annualized excess return of 11.67%, and a maximum drawdown of 15.05%, significantly outperforming the benchmark strategy[20][21][24] - The growth-value rotation model suggests overweighting growth stocks this week, driven by favorable macro fundamentals, valuation metrics, and sentiment indicators. The model has delivered an annualized return of 13.34% since 2012, with an annualized excess return of 4.99%[30][31][33] - The small-cap and large-cap rotation model has shifted from favoring small caps to large caps this week. The model utilizes 11 effective rotation indicators, including financing buy balance changes and R007 rate trends. Since 2014, the strategy has consistently generated positive annual excess returns, with a 2026 year-to-date excess return of 1.43%[34][35][36] - The comprehensive signal smoothing for small-cap rotation achieved an annualized return of 20.85%, with an annualized excess return of 13.11%, and a maximum drawdown of 40.70%[36]

Quantitative Models and Construction Methods 1. Model Name: Deposit Migration Signal - **Model Construction Idea**: The model is designed to identify the phenomenon of "deposit migration," where household deposits decrease while non-bank deposits increase, using monthly deposit data[5][13][14] - **Model Construction Process**: 1. Calculate the proportion of newly added household deposits and non-bank deposits to total deposits for a given month: - $ \text{Household Deposit Share} = \frac{\text{Cumulative New Household Deposits (12 months)}}{\text{Cumulative New Total Deposits (12 months)}} $ - $ \text{Non-Bank Deposit Share} = \frac{\text{Cumulative New Non-Bank Deposits (12 months)}}{\text{Cumulative New Total Deposits (12 months)}} $ 2. Compare the current month's values with the average of the previous three months: - If the current month's value is greater than the average, it is considered "rising"; otherwise, it is "falling"[13][14] 3. Define the "deposit migration" signal as a scenario where the household deposit share decreases while the non-bank deposit share increases[14] 4. Evaluate the performance of the signal by analyzing the average return and win rate of the All-A Index one month after the signal is triggered[14][15] - **Model Evaluation**: The model effectively identifies periods of increased equity market activity driven by deposit migration, but its effectiveness may diminish when funds migrate to non-equity assets, such as bonds[14] 2. Model Name: Short-Term Timing Strategy - **Model Construction Idea**: This model integrates macroeconomic, valuation, sentiment, and liquidity indicators to generate weekly timing signals for the equity market[19][20] - **Model Construction Process**: 1. **Macroeconomic Indicators**: - Manufacturing PMI > 50 indicates economic expansion, providing a positive signal - Credit impulse and M1 growth rates are compared to historical percentiles to assess economic strength[19][22] 2. **Valuation Indicators**: - PE and PB ratios are compared to their historical percentiles; high percentiles indicate overvaluation, providing cautious signals[19][22] 3. **Sentiment Indicators**: - Beta dispersion, volume sentiment scores, and market volatility are analyzed to gauge market sentiment[20][22] 4. **Liquidity Indicators**: - Money market rates, exchange rate expectations, and leverage financing trends are used to assess liquidity conditions[20][22] 5. Combine the signals from the above indicators to generate an overall timing signal (optimistic, neutral, or cautious)[19][20] - **Model Evaluation**: The model demonstrates strong performance, with an annualized return of 16.65% and a maximum drawdown of 15.05%, significantly outperforming the benchmark strategy[21][24] 3. Model Name: Growth-Value Style Rotation Model - **Model Construction Idea**: This model identifies periods to overweight growth or value styles based on macroeconomic, valuation, and sentiment factors[28][29] - **Model Construction Process**: 1. **Macroeconomic Factors**: - Growth is favored when the earnings cycle slope is steep and the credit cycle is strengthening - Value is favored when the interest rate cycle is high[28][30] 2. **Valuation Factors**: - Growth is favored when the PE valuation gap is narrowing - Value is favored when the PB valuation gap is widening[28][30] 3. **Sentiment Factors**: - Growth is favored when turnover and volatility differences between growth and value are high[29][30] 4. Combine the signals from the above factors to determine the allocation between growth and value styles[28][30] - **Model Evaluation**: The model achieves an annualized return of 13.30% with a maximum drawdown of 43.07%, outperforming the benchmark strategy[29][31] 4. Model Name: Small-Cap vs. Large-Cap Rotation Model - **Model Construction Idea**: This model uses 11 effective rotation indicators to determine the relative attractiveness of small-cap and large-cap stocks[32] - **Model Construction Process**: 1. Key indicators include financing purchase balance changes, thematic investment sentiment, PB dispersion, and trading volume of small-cap indices[32][34] 2. Signals are aggregated to generate a composite rotation signal, which determines the allocation between small-cap and large-cap stocks[32][34] - **Model Evaluation**: The model consistently generates positive annual excess returns, with a 2026 year-to-date excess return of 2.88%[33][34] --- Model Backtesting Results 1. Deposit Migration Signal - Average return of All-A Index one month after signal: 1.72% - Win rate: 64.9% - Median return: 1.88%[15] 2. Short-Term Timing Strategy - Annualized return: 16.65% - Annualized volatility: 14.80% - Maximum drawdown: 15.05% - Sharpe ratio: 0.9802 - Monthly win rate: 66.46%[21][24] 3. Growth-Value Style Rotation Model - Annualized return: 13.30% - Annualized volatility: 20.76% - Maximum drawdown: 43.07% - Sharpe ratio: 0.6098 - Monthly win rate: 58.60%[29][31] 4. Small-Cap vs. Large-Cap Rotation Model - Annualized return: 20.60% (composite signal) - Annualized excess return: 12.95% - Maximum drawdown: 40.70% - Monthly win rate: 50.11%[34][36]

Quantitative Models and Construction Methods 1. Model Name: Short-term Timing Strategy - **Model Construction Idea**: The model integrates macroeconomic fundamentals, valuation, sentiment, and liquidity signals to generate short-term timing recommendations for the A-share market[16][18][19] - **Model Construction Process**: - **Macroeconomic Fundamentals**: - Manufacturing PMI: A PMI value above 50 indicates economic expansion, while below 50 indicates contraction. The latest PMI is 49.20, signaling caution[16][19] - Credit Impulse: The long-term loan pulse growth rate is at the 54.24% percentile over the past 5 years, indicating a neutral signal[16][19] - M1 Growth Rate: The filtered M1 growth rate is at the 86.44% percentile over the past 5 years, signaling optimism[16][19] - **Valuation**: - PE Median: The A-share PE median is at the 93.47% percentile over the past 5 years, signaling caution[17][19] - PB Median: The A-share PB median is at the 88.92% percentile over the past 5 years, signaling caution[17][19] - **Sentiment**: - Beta Dispersion: At the 44.07% percentile over the past 5 years, indicating a neutral signal[17][19] - Volume Sentiment Score: At the 39.12% percentile over the past 5 years, signaling caution[17][19] - Volatility: At the 56.00% percentile over the past 5 years, indicating a neutral signal[17][19] - **Liquidity**: - Money Market Rate: At the 30.51% percentile over the past 5 years, indicating optimism[18][19] - Exchange Rate Expectation: At the 30.51% percentile over the past 5 years, signaling optimism[18][19] - Average 5-day Financing Amount: At the 47.15% percentile over the past 5 years, indicating a neutral signal[18][19] - **Model Evaluation**: The model demonstrates strong performance with significant annualized returns and reduced drawdowns compared to the benchmark, showcasing its robustness in short-term market timing[18][23] 2. Model Name: Growth-Value Style Rotation Model - **Model Construction Idea**: The model evaluates macroeconomic cycles, valuation spreads, and sentiment differences to determine the optimal allocation between growth and value styles[27][28] - **Model Construction Process**: - **Macroeconomic Fundamentals**: - Profit Cycle Slope: A steep slope favors growth[28][29] - Interest Rate Cycle: High levels favor value[28][29] - Credit Cycle: Strengthening credit cycles favor growth[28][29] - **Valuation**: - PE Spread: The growth-value PE spread is at the 34.76% percentile, favoring growth[29] - PB Spread: The growth-value PB spread is at the 41.12% percentile, favoring growth[29] - **Sentiment**: - Turnover Spread: At the 75.52% percentile, favoring growth[29] - Volatility Spread: At the 67.92% percentile, favoring a balanced allocation[29] - **Model Evaluation**: The model has delivered consistent annualized returns and reduced drawdowns compared to the benchmark, though recent performance has shown slight underperformance[28][30] 3. Model Name: Small-Cap vs. Large-Cap Style Rotation Model - **Model Construction Idea**: The model uses 11 effective rotation indicators, including liquidity, sentiment, and valuation metrics, to determine the optimal allocation between small-cap and large-cap stocks[31][33] - **Model Construction Process**: - **Key Indicators**: - Indicators such as R007, financing balance changes, and thematic trading sentiment currently favor large-cap stocks[31][33] - **Comprehensive Signal**: The model aggregates individual signals to generate a composite recommendation, which currently suggests overweighting large-cap stocks[31][33] - **Model Evaluation**: The model has consistently generated positive annualized excess returns since 2014, demonstrating its effectiveness in capturing style rotation opportunities[32][33] --- Model Backtesting Results 1. Short-term Timing Strategy - **Annualized Return**: 16.40% (benchmark: 4.77%)[18][23] - **Annualized Volatility**: 14.80% (benchmark: 11.59%)[23] - **Maximum Drawdown**: 14.07% (benchmark: 31.41%)[23] - **Sharpe Ratio**: 0.9651 (benchmark: 0.2876)[23] - **2025 YTD Return**: 23.60% (benchmark: 13.49%)[18][23] 2. Growth-Value Style Rotation Model - **Annualized Return**: 12.74% (benchmark: 7.97%)[28][30] - **Annualized Volatility**: 20.80% (benchmark: 20.66%)[30] - **Maximum Drawdown**: 43.07% (benchmark: 44.13%)[30] - **Sharpe Ratio**: 0.5853 (benchmark: 0.3785)[30] - **2025 YTD Return**: 25.13% (benchmark: 25.96%)[28][30] 3. Small-Cap vs. Large-Cap Style Rotation Model - **Annualized Return**: 19.73% (benchmark: 12.67%)[33] - **Maximum Drawdown**: 40.70% (benchmark: 44.32%)[33] - **2025 YTD Return**: 33.83% (benchmark: 22.54%)[32][33]

Quantitative Models and Construction Methods 1. Model Name: Short-term Timing Model - **Model Construction Idea**: The model evaluates the market's short-term timing signals by analyzing macro fundamentals, valuation, sentiment, and liquidity indicators. It aims to provide a comprehensive view of market conditions and guide short-term investment decisions[12][17]. - **Model Construction Process**: 1. **Macro Fundamentals**: - Manufacturing PMI: A PMI value below 50 indicates weak manufacturing activity, providing a cautious signal. - Credit Pulse: The YoY growth rate of medium- and long-term RMB loans is at the 61.02% percentile over the past five years, indicating strong credit growth and providing an optimistic signal. - M1 Growth Rate: The filtered YoY growth rate of M1 is 5.23%, at the 96.61% percentile over the past five years, indicating strong M1 growth and providing an optimistic signal[12][17]. 2. **Valuation**: - PE Median: The current PE median of the A-share market is 45.50, at the 98.84% percentile over the past five years, signaling caution. - PB Median: The current PB median is 3.02, at the 96.94% percentile over the past five years, also signaling caution[12][17]. 3. **Sentiment**: - Beta Dispersion: The current beta dispersion is 8.66%, at the 96.61% percentile over the past five years, signaling caution. - Volume Sentiment Score: The score is 0.40, at the 74.52% percentile, indicating strong volume sentiment and providing an optimistic signal. - Volatility: The annualized volatility is 20.19%, at the 77.67% percentile, providing a neutral signal[13]. 4. **Liquidity**: - Money Market Rate: The rate is 0.00, at the 38.98% percentile, indicating relatively loose liquidity and providing an optimistic signal. - Exchange Rate Expectation: The indicator is -0.42%, at the 33.90% percentile, indicating a strong RMB against the USD and providing an optimistic signal. - Average 5-day Financing Amount: The value is 126.77 billion RMB, at the 97.85% percentile, signaling caution due to high leverage[13]. - **Model Evaluation**: The model effectively integrates multiple dimensions to provide a comprehensive short-term market outlook. It has demonstrated strong performance in historical backtests, with significant excess returns and reduced drawdowns compared to benchmarks[14]. 2. Model Name: Growth-Value Style Rotation Model - **Model Construction Idea**: This model identifies optimal allocation between growth and value styles based on macroeconomic cycles, valuation spreads, and sentiment indicators. It aims to capture excess returns through style rotation[24][25]. - **Model Construction Process**: 1. **Macro Fundamentals**: - Profit Cycle Slope: A steep profit cycle slope favors growth. The current slope is high, providing a 100% growth signal. - Interest Rate Cycle: A high interest rate cycle level favors value. The current level is high, providing a 100% value signal. - Credit Cycle: A strengthening credit cycle favors growth. The current cycle is strong, providing a 100% growth signal[24][26]. 2. **Valuation**: - PE Spread: The 5-year percentile of the growth-value PE spread is 45.11%, indicating mean reversion upward, favoring growth. - PB Spread: The 5-year percentile of the growth-value PB spread is 55.48%, also indicating mean reversion upward, favoring growth[24][26]. 3. **Sentiment**: - Turnover Spread: The 5-year percentile of the turnover spread is 38.13%, favoring value. - Volatility Spread: The 5-year percentile of the volatility spread is 94.76%, favoring a balanced allocation[24][26]. - **Model Evaluation**: The model has consistently outperformed its benchmark since 2012, with significant annualized excess returns and reduced drawdowns. It effectively captures style rotation opportunities[25][27]. 3. Model Name: Small-Cap vs. Large-Cap Style Rotation Model - **Model Construction Idea**: This model evaluates 11 effective rotation indicators to determine optimal allocation between small-cap and large-cap styles. It aims to exploit market inefficiencies and generate excess returns through size-based style rotation[29][30]. - **Model Construction Process**: 1. **Indicators Favoring Small-Cap**: - Increased financing purchase amounts. - Narrowing credit spreads. - Declining implied market volatility. - Rising PB divergence. - Recovery in small-cap trading volume[29][30]. 2. **Indicators Favoring Large-Cap**: - Declining small-cap theme sentiment. - High beta dispersion. - Rising R007 rates[29][30]. - **Model Evaluation**: The model has delivered positive excess returns every year since 2014, demonstrating its robustness and effectiveness in capturing size-based rotation opportunities[30]. --- Model Backtesting Results 1. Short-term Timing Model - Annualized Return: 17.99% - Annualized Volatility: 15.87% - Maximum Drawdown: 22.44% - Sharpe Ratio: 0.9959 - Excess Return (2025 YTD): 14.15%[14][19][22] 2. Growth-Value Style Rotation Model - Annualized Return: 13.22% - Annualized Volatility: 20.80% - Maximum Drawdown: 43.07% - Sharpe Ratio: 0.6056 - Excess Return (2025 YTD): 8.50%[25][27][28] 3. Small-Cap vs. Large-Cap Style Rotation Model - Annualized Return: 19.10% - Annualized Excess Return: 11.96% - Maximum Drawdown: 39.71% - Average Small-Cap Allocation (2025 YTD): 51.41% - Excess Return (2025 YTD): 4.44%[30][32]

Quantitative Models and Construction Methods 1. Model Name: Short-term Quantitative Timing Model - **Model Construction Idea**: The model integrates macroeconomic fundamentals, valuation, sentiment, and liquidity indicators to generate short-term market timing signals[24][25][26] - **Model Construction Process**: - **Macroeconomic Fundamentals**: - Manufacturing PMI: Current value at 49.70, 44.92% percentile over the past 5 years, indicating neutral sentiment[24] - Long-term RMB loan growth: 0.00% percentile, indicating weak credit growth and cautious signals[24] - M1 growth rate: 94.92% percentile, indicating strong growth and optimistic signals[24] - **Valuation**: - PE median: 43.18, 97.19% percentile, indicating high valuation and neutral signals[25] - PB median: 2.85, 86.77% percentile, indicating high valuation and neutral signals[25] - **Sentiment**: - Beta dispersion: -0.59%, 40.68% percentile, indicating neutral sentiment[25] - Volume sentiment score: 0.98, 99.59% percentile, indicating strong sentiment and optimism[25] - Volatility: 7.53% (annualized), 0.17% percentile, indicating optimism[25] - **Liquidity**: - Monetary rate: -0.10, 33.90% percentile, indicating relative ease and optimism[26] - Exchange rate expectations: -0.09%, 40.68% percentile, indicating neutrality[26] - 5-day average financing: 50.66 billion RMB, 95.53% percentile, indicating neutral leverage signals[26] - **Model Evaluation**: The model demonstrates strong performance with significant excess returns and reduced drawdowns compared to benchmarks[26][30] 2. Model Name: Growth-Value Style Rotation Model - **Model Construction Idea**: The model evaluates growth and value styles based on macroeconomic fundamentals, valuation, and sentiment indicators to recommend allocation[35] - **Model Construction Process**: - **Macroeconomic Fundamentals**: - Profit cycle slope: High, favoring growth[37] - Interest rate cycle: High, favoring value[37] - Credit cycle: Weak, favoring value[37] - **Valuation**: - PE difference: 19.57% percentile, favoring growth[37] - PB difference: 38.03% percentile, favoring growth[37] - **Sentiment**: - Turnover difference: 38.13% percentile, favoring value[37] - Volatility difference: 17.73% percentile, favoring balanced allocation[37] - **Model Evaluation**: The model has historically delivered significant excess returns over benchmarks, though recent performance has been mixed[36][39] 3. Model Name: Small-Cap vs. Large-Cap Style Rotation Model - **Model Construction Idea**: The model assesses small-cap and large-cap styles using macroeconomic fundamentals, valuation, and sentiment indicators to suggest balanced allocation[40] - **Model Construction Process**: - **Macroeconomic Fundamentals**: - Profit cycle slope: High, favoring small-cap[42] - Interest rate cycle: High, favoring large-cap[42] - Credit cycle: Weak, favoring large-cap[42] - **Valuation**: - PE difference: 78.86% percentile, favoring large-cap[42] - PB difference: 96.59% percentile, favoring large-cap[42] - **Sentiment**: - Turnover difference: 72.56% percentile, favoring small-cap[42] - Volatility difference: 62.60% percentile, favoring large-cap[42] - **Model Evaluation**: The model has consistently outperformed benchmarks, delivering significant excess returns over time[41][44] 4. Model Name: Four-Style Rotation Model - **Model Construction Idea**: Combines insights from growth-value and small-cap-large-cap models to allocate across four styles: small-cap growth, small-cap value, large-cap growth, and large-cap value[45] - **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%)[45] - **Model Evaluation**: The model has historically generated significant excess returns, though recent performance has been slightly below benchmarks[45][46] --- Model Backtest Results 1. Short-term Quantitative Timing Model - Annualized return: 16.98% - Annualized volatility: 14.55% - Maximum drawdown: 27.70% - Sharpe ratio: 1.0138 - Excess return (2024 onwards): 2.26%[26][30][33] 2. Growth-Value Style Rotation Model - Annualized return: 11.82% - Annualized volatility: 20.79% - Maximum drawdown: 43.07% - Sharpe ratio: 0.5457 - Excess return (2025 YTD): -2.32%[36][39] 3. Small-Cap vs. Large-Cap Style Rotation Model - Annualized return: 12.38% - Annualized volatility: 22.69% - Maximum drawdown: 50.65% - Sharpe ratio: 0.5408 - Excess return (2025 YTD): -5.11%[41][44] 4. Four-Style Rotation Model - Annualized return: 13.29% - Annualized volatility: 21.53% - Maximum drawdown: 47.91% - Sharpe ratio: 0.6001 - Excess return (2025 YTD): -3.25%[45][46]

- Model Name: Short-term Quantitative Timing Model; Model Construction Idea: The model aims to provide short-term market timing signals based on various market indicators; Model Construction Process: The model evaluates four main aspects: fundamentals, valuation, sentiment, and liquidity. Each aspect is assessed using specific indicators such as PMI, loan growth, M1 growth, PE and PB ratios, beta dispersion, trading volume sentiment, volatility, interest rates, exchange rate expectations, and financing amounts. The signals from these indicators are combined to generate an overall market timing signal. For example, the formula for the fundamental signal is based on the PMI and loan growth: $$ \text{Fundamental Signal} = \text{PMI} \times \text{Loan Growth} $$ where PMI represents the manufacturing PMI index and Loan Growth represents the year-on-year growth rate of medium and long-term loans in RMB. Model Evaluation: The model has shown significant improvement over the benchmark in terms of annualized returns and maximum drawdown reduction[19][22][23] - 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: The model uses a quantitative economic cycle analysis framework to assess the profitability cycle, interest rate cycle, and credit cycle. For example, the profitability cycle slope is calculated as: $$ \text{Profitability Cycle Slope} = \frac{\text{Current Profitability} - \text{Previous Profitability}}{\text{Time Period}} $$ The model also considers valuation differences (PE and PB ratios) and sentiment differences (turnover and volatility). The signals from these indicators are combined to generate a style rotation recommendation. Model Evaluation: The model has shown significant improvement over the benchmark in terms of annualized returns and maximum drawdown reduction[31][32][33] - 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: Similar to the Growth-Value Style Rotation Model, this model uses a quantitative economic cycle analysis framework to assess the profitability cycle, interest rate cycle, and credit cycle. It also considers valuation differences (PE and PB ratios) and sentiment differences (turnover and volatility). The signals from these indicators are combined to generate a style rotation recommendation. Model Evaluation: The model has shown significant improvement over the benchmark in terms of annualized returns and maximum drawdown reduction[35][36][37] - Model Name: Four-Style Rotation Model; Model Construction Idea: The model combines the Growth-Value and Small-Cap vs. Large-Cap Style Rotation Models to provide a comprehensive style rotation strategy; Model Construction Process: The model integrates the signals from the Growth-Value and Small-Cap vs. Large-Cap Style Rotation Models to recommend allocations across four styles: small-cap growth, small-cap value, large-cap growth, and large-cap value. The recommended allocation is based on the combined signals from the underlying models. Model Evaluation: The model has shown significant improvement over the benchmark in terms of annualized returns and maximum drawdown reduction[39][40][41] Model Backtest Results - Short-term Quantitative Timing Model: Annualized Return 16.27%, Annualized Volatility 14.73%, Maximum Drawdown 27.70%, Sharpe Ratio 0.9620, IR 0.5875[22][27] - Growth-Value Style Rotation Model: Annualized Return 11.35%, Annualized Volatility 20.89%, Maximum Drawdown 43.07%, Sharpe Ratio 0.5239, IR 0.2634[32][34] - Small-Cap vs. Large-Cap Style Rotation Model: Annualized Return 11.99%, Annualized Volatility 22.79%, Maximum Drawdown 50.65%, Sharpe Ratio 0.5241, IR 0.2367[36][38] - Four-Style Rotation Model: Annualized Return 12.90%, Annualized Volatility 21.64%, Maximum Drawdown 47.91%, Sharpe Ratio 0.5776, IR 0.2693[40][41]