Quantitative Models and Construction Methods 1. Model Name: Growth-Value Rotation Model - **Model Construction Idea**: The model captures the switching rhythm between growth and value styles by using dividend low volatility and the ChiNext Composite Index as proxies for value and growth styles, respectively [3][14] - **Model Construction Process**: - The model uses historical data to identify the switching points between growth and value styles - It evaluates the relative attractiveness of the two styles based on their historical performance and other market indicators - The model then allocates weights dynamically between the two styles to maximize returns [3][14] - **Model Evaluation**: The model demonstrates the ability to effectively capture the switching rhythm between growth and value styles, achieving significant excess returns in the out-of-sample period [3][14] 2. Model Name: Large-Cap vs. Small-Cap Rotation Model - **Model Construction Idea**: The model identifies the rotation between large-cap and small-cap styles using CSI 300 and CSI 2000 as proxies for large-cap and small-cap styles, respectively [3][14] - **Model Construction Process**: - The model evaluates the relative attractiveness of large-cap and small-cap styles based on their historical performance and other market indicators - It dynamically allocates weights between the two styles to optimize returns [3][14] - **Model Evaluation**: The model shows effective generalization in capturing the rotation between large-cap and small-cap styles, achieving robust excess returns in the out-of-sample period [3][14] 3. Model Name: Dynamic Time Warping (DTW) Timing Model - **Model Construction Idea**: The DTW timing model is based on similarity analysis, comparing current market index trends with historical trends to identify similar patterns and generate timing signals [12] - **Model Construction Process**: - Calculate the similarity between the current index trend and historical trends using the DTW algorithm - Select historical segments with high similarity as references - Compute the weighted average future returns and standard deviations of the selected historical segments, using the inverse of the distance as weights - Generate trading signals based on the average future returns and standard deviations [12] --- Model Backtesting Results 1. Growth-Value Rotation Model - **Annualized Return**: 19.41% - **Annualized Volatility**: 23.63% - **Maximum Drawdown**: 29.09% - **Sharpe Ratio**: 0.82 - **Return-to-Drawdown Ratio**: 0.67 - **Out-of-Sample Return (since 2024)**: 86.53% - **2025 Return**: 60.89% - **2026 Return**: 5.45% [19] 2. Large-Cap vs. Small-Cap Rotation Model - **Annualized Return**: 22.05% - **Annualized Volatility**: 23.19% - **Maximum Drawdown**: 28.66% - **Sharpe Ratio**: 0.95 - **Return-to-Drawdown Ratio**: 0.77 - **Out-of-Sample Return (since November 2025)**: 14.68% - **2025 Return**: 51.47% - **2026 Return**: 12.95% [24] 3. DTW Timing Model - **Latest Signal for CSI 300**: Optimistic (Average Return: 0.13%, Standard Deviation: 0.06%) - **Latest Signal for CSI 2000**: Neutral (Average Return: -0.61%, Standard Deviation: 0.08%) - **Latest Signal for ChiNext Index**: No Signal (Average Return: -0.69%, Standard Deviation: 0.13%) [13] --- Quantitative Factors and Construction Methods 1. Factor Name: Style Odds - **Factor Construction Idea**: The relative valuation levels of market styles are key determinants of their expected odds, with a negative correlation between valuation levels and odds [8] - **Factor Construction Process**: - Calculate the valuation differential percentile between styles - Estimate the odds for value vs. growth styles and large-cap vs. small-cap styles based on the valuation differential percentile - Current odds: Value vs. Growth = 1.23, Large-Cap vs. Small-Cap = 1.68 [8] 2. Factor Name: Style Win Rate - **Factor Construction Idea**: The win rate of a style is determined by various market indicators, such as bond yields, market trends, and momentum [10][11] - **Factor Construction Process**: - Evaluate the win rate of each style based on a set of market indicators - Current win rates: Growth = 56.25%, Value = 43.75%; Large-Cap = 14.29%, Small-Cap = 85.71% [10][11] 3. Factor Name: Style Scores - **Factor Construction Idea**: Style scores are calculated based on the combination of odds and win rates to determine the attractiveness of each style [11] - **Factor Construction Process**: - Use the formula: $ \text{Investment Weight Score} = \frac{\text{Win Rate} \times \text{Odds} - (1 - \text{Win Rate})}{\text{Odds}} $ - Current scores: Large-Cap = -0.37, Small-Cap = 0.62, Growth = 0.02, Value = -0.02 [11] --- Factor Backtesting Results 1. Style Odds - **Value vs. Growth Odds**: 1.23 - **Large-Cap vs. Small-Cap Odds**: 1.68 [8] 2. Style Win Rate - **Growth Win Rate**: 56.25% - **Value Win Rate**: 43.75% - **Large-Cap Win Rate**: 14.29% - **Small-Cap Win Rate**: 85.71% [10][11] 3. Style Scores - **Large-Cap Score**: -0.37 - **Small-Cap Score**: 0.62 - **Growth Score**: 0.02 - **Value Score**: -0.02 [11]