Quantitative Models and Construction Methods Model 1: Industry Rotation Model - **Model Name**: Industry Rotation Model - **Model Construction Idea**: The model aims to capture excess returns by rotating investments across different industries based on their performance trends - **Model Construction Process**: - Identify industry sectors with strong performance trends - Allocate investments to these sectors while reducing exposure to underperforming sectors - Monitor and adjust the portfolio periodically to maintain optimal sector allocation - **Model Evaluation**: The model has shown to perform well in capturing excess returns by timely rotating across industries[11][13][17] Model 2: Macro-Driven Model - **Model Name**: Macro-Driven Model - **Model Construction Idea**: This model leverages macroeconomic indicators to guide investment decisions - **Model Construction Process**: - Analyze macroeconomic data such as GDP growth, inflation rates, and employment figures - Adjust portfolio allocations based on the expected impact of these indicators on different asset classes - Continuously update the model with new macroeconomic data to refine investment decisions - **Model Evaluation**: The model has demonstrated effectiveness in aligning investments with macroeconomic trends, leading to favorable returns[11][13] Model Backtesting Results - **Industry Rotation Model**: - Absolute return in July: 5.85%[13] - One-year return: 30%[17] - **Macro-Driven Model**: - Absolute return in July: 3.99%[13] - One-year return: 25%[17] Quantitative Factors and Construction Methods Factor 1: Duration Extension - **Factor Name**: Duration Extension - **Factor Construction Idea**: Increase the duration of bond holdings to enhance returns in a declining interest rate environment - **Factor Construction Process**: - Identify bonds with longer maturities - Increase the allocation to these bonds while reducing exposure to shorter-term bonds - Monitor interest rate trends and adjust the duration accordingly - **Factor Evaluation**: This factor has been effective in enhancing returns during periods of declining interest rates[4][28][32] Factor 2: Equity Allocation Adjustment - **Factor Name**: Equity Allocation Adjustment - **Factor Construction Idea**: Adjust the allocation between equity and debt based on market conditions - **Factor Construction Process**: - Increase equity allocation during bullish market conditions - Reduce equity allocation and increase debt holdings during bearish market conditions - Continuously monitor market indicators to adjust allocations - **Factor Evaluation**: This factor has shown to improve portfolio performance by dynamically adjusting to market conditions[5][34][37] Factor Backtesting Results - **Duration Extension**: - Increase in duration for pure bond products: 0.10 years[32] - Increase in duration for fixed income plus products: 0.05 years[32] - **Equity Allocation Adjustment**: - Increase in equity allocation for mixed bond products: 1.74%[36] - Increase in equity allocation for stock products: 0.97%[36]