证券研究报告 建议择机入场 2025 年 11 月 23 日│中国内地 量化投资周报 本周观点：建议择机入场 上周，受全球流动性压力、美联储降息预期反复以及 AI 叙事松动多重因素 影响，全球风险偏好下降——VIX 指数攀升至近三个月高位，各类风险资产 均承压，其中比特币、微盘股等对流动性和风偏更敏感的资产领跌。我们的 模型认为 A 股经过上周的调整，整体上消化了过高的估值，观点由防御转 为看平。叠加周五美联储释放了略积极的降息信号，Nowcasting 模型预测 11 月 CPI 或将继续上行至 3.7%-3.8%，但核心 CPI 预计保持平稳，或有利 于市场风偏的恢复。建议择机入场，优选低位防御板块，本周行业轮动模型 加大了对低位消费板块的押注，风格上仍看好红利。 A 股大盘择时模型：上周回调消化了高估值压力，可择机入场 我们以万得全 A 指数作为 A 股大盘代理，从估值、情绪、资金、技术四个 维度对 A 股大盘进行整体方向性判断。今年以来，模型多空择时的扣费后 收益 43.84%，同期 A 股大盘涨跌幅为 20.09%，超额收益为 23.76%；上周 模型超额收益为 10.41%。上周，受全球流动性压力 ...

- The "A-Share Market Timing Model" evaluates the overall directional judgment of the A-share market using four dimensions: valuation, sentiment, funds, and technicals. The model generates daily signals with values of 0, ±1, representing neutral, bullish, and bearish views, respectively. The model's logic includes mean reversion for valuation and sentiment, and trend continuation for funds and technicals[2][9][15] - The "Style Timing Model" favors a barbell structure of dividend and small-cap styles. For the dividend style, the model uses the relative momentum of the CSI Dividend Index to the CSI All Share Index, the 10Y-1Y term spread, and the interbank pledged repo transaction volume. For the small-cap style, the model employs a trend model based on the difference in momentum and trading volume between small-cap and large-cap stocks[3][17][21] - The "Industry Rotation Model" uses genetic programming to directly extract factors from the volume, price, and valuation characteristics of industry indices. The model updates its factor library quarterly and rebalances weekly, selecting the top five industries with the highest multi-factor composite scores for equal-weight allocation[4][29][34] - The "China Domestic All-Weather Enhanced Portfolio" employs a macro factor risk parity framework, selecting four macro risk sources: growth above/below expectations and inflation above/below expectations. The model actively overweights favored quadrants based on macro expectation momentum, adjusting monthly[5][39][42] - The "A-Share Market Timing Model" achieved a year-to-date return of 36.03%, with an excess return of 8.86% over the Wind All A Index, which had a return of 27.18%[2][9] - The "Style Timing Model" for the dividend style yielded a year-to-date return of 25.04%, with an excess return of 7.83% over the benchmark, which had a return of 17.21%[17][20] - The "Style Timing Model" for the small-cap style achieved a year-to-date return of 78.29%, with an excess return of 30.25% over the benchmark, which had a return of 48.04%[22][27] - The "Industry Rotation Model" achieved a year-to-date return of 40.67%, outperforming the industry equal-weight benchmark by 17.96 percentage points[4][32] - The "China Domestic All-Weather Enhanced Portfolio" achieved a year-to-date return of 11.10%, with a Sharpe ratio of 2.22, a maximum drawdown of 2.67%, and a Calmar ratio of 5.15[5][40][43]

- **A-share multi-dimensional timing model**: The model evaluates the overall directional judgment of the A-share market using four dimensions: valuation, sentiment, funds, and technical indicators. Each dimension provides daily signals with values of 0, ±1, representing neutral, bullish, or bearish views. Valuation and sentiment dimensions adopt a mean-reversion logic, while funds and technical dimensions use trend-following logic. The final market view is determined by the sum of the scores across all dimensions [9][15][16] - **Style timing model for dividend style**: The model uses three indicators to time the dividend style relative to the CSI Dividend Index and CSI All Share Index. The indicators include relative momentum, 10Y-1Y term spread, and interbank pledged repo transaction volume. Each indicator provides daily signals with values of 0, ±1, representing neutral, bullish, or bearish views. The final view is based on the sum of the scores across all dimensions. When the model favors the dividend style, it fully allocates to the CSI Dividend Index; otherwise, it allocates to the CSI All Share Index [17][21] - **Style timing model for large-cap and small-cap styles**: The model uses momentum difference and turnover ratio difference between the CSI 300 Index and Wind Micro Cap Index to calculate the crowding scores for large-cap and small-cap styles. The model operates in two crowding zones: high crowding and low crowding. In high crowding zones, it uses a small-parameter dual moving average model to address potential style reversals. In low crowding zones, it uses a large-parameter dual moving average model to capture medium- to long-term trends [22][24][26] - **Sector rotation model**: The genetic programming-based sector rotation model selects the top five sectors with the highest multi-factor composite scores from 32 CITIC industry indices for equal-weight allocation. The model updates its factor library quarterly and rebalances weekly. The factors are derived using NSGA-II algorithm, which evaluates factor monotonicity and performance of long positions using |IC| and NDCG@5 metrics. The model combines multiple factors with weak collinearity into sector scores using greedy strategy and variance inflation factor [29][32][33][36] - **China domestic all-weather enhanced portfolio**: The portfolio is constructed using a macro factor risk parity framework, which emphasizes risk diversification across underlying macro risk sources rather than asset classes. The strategy involves three steps: macro quadrant classification and asset selection, quadrant portfolio construction and risk measurement, and risk budgeting to determine quadrant weights. The active allocation is based on macro expectation momentum indicators, which consider buy-side expectation momentum and sell-side expectation deviation momentum [38][41] --- Model Backtesting Results - **A-share multi-dimensional timing model**: Annualized return 24.97%, maximum drawdown -28.46%, Sharpe ratio 1.16, Calmar ratio 0.88, YTD return 37.73%, weekly return 0.00% [14] - **Dividend style timing model**: Annualized return 15.71%, maximum drawdown -25.52%, Sharpe ratio 0.85, Calmar ratio 0.62, YTD return 19.53%, weekly return -3.43% [20] - **Large-cap vs. small-cap style timing model**: Annualized return 26.01%, maximum drawdown -30.86%, Sharpe ratio 1.08, Calmar ratio 0.84, YTD return 64.58%, weekly return -2.22% [27] - **Sector rotation model**: Annualized return 33.33%, annualized volatility 17.89%, Sharpe ratio 1.86, maximum drawdown -19.63%, Calmar ratio 1.70, weekly return 0.14%, YTD return 39.41% [32] - **China domestic all-weather enhanced portfolio**: Annualized return 11.66%, annualized volatility 6.18%, Sharpe ratio 1.89, maximum drawdown -6.30%, Calmar ratio 1.85, weekly return 0.38%, YTD return 10.74% [42]