Quantitative Models and Construction Methods - **Model Name**: Industry Allocation Model **Model Construction Idea**: This model aims to recommend industry sectors based on medium-term perspectives, focusing on sectors with potential for recovery or growth trends[2][3][10] **Model Construction Process**: The model identifies sectors with recovery potential ("困境反转型板块") and growth opportunities. It recommends sectors such as healthcare (恒生医疗), export-related consumer sectors (e.g., light industry and home appliances), and technology sectors (信创, communication, solid-state batteries). Additionally, it highlights sectors with ongoing upward trends, such as banking and gold[2][3][10] **Model Evaluation**: The model provides actionable insights for medium-term industry allocation, emphasizing sectors with recovery potential and growth trends[2][3][10] - **Model Name**: TWO BETA Model **Model Construction Idea**: This model focuses on identifying technology-related sectors with growth potential[2][3][10] **Model Construction Process**: The TWO BETA model recommends technology sectors, including 信创, communication, and solid-state batteries, based on their growth potential and market trends[2][3][10] **Model Evaluation**: The model effectively identifies technology sectors with strong growth potential, aligning with market trends[2][3][10] - **Model Name**: Timing System Model **Model Construction Idea**: This model evaluates market conditions by analyzing the distance between short-term and long-term moving averages to determine market trends[2][9][14] **Model Construction Process**: 1. Define the short-term moving average (20-day) and long-term moving average (120-day) for the Wind All A Index 2. Calculate the difference between the two moving averages: $ \text{Difference} = \text{20-day MA} - \text{120-day MA} $ - Latest values: 20-day MA = 4946, 120-day MA = 5088 - Difference = -2.80% (previous week: -3.63%) 3. Monitor the absolute value of the difference; when it falls below 3%, the market is considered to be in a consolidation phase[2][9][14] **Model Evaluation**: The model provides a clear signal for market consolidation, aiding in timing decisions[2][9][14] - **Model Name**: Position Management Model **Model Construction Idea**: This model determines the recommended equity allocation based on valuation levels and short-term market trends[3][10] **Model Construction Process**: 1. Assess valuation levels of the Wind All A Index: - PE ratio: 50th percentile (medium level) - PB ratio: 10th percentile (low level) 2. Combine valuation levels with short-term market trends to recommend a 60% equity allocation for absolute return products[3][10] **Model Evaluation**: The model provides a systematic approach to position management, balancing valuation and market trends[3][10] Backtesting Results of Models - **Industry Allocation Model**: No specific numerical backtesting results provided[2][3][10] - **TWO BETA Model**: No specific numerical backtesting results provided[2][3][10] - **Timing System Model**: - Latest moving average difference: -2.80% - Previous week difference: -3.63% - Absolute difference < 3%, indicating a consolidation phase[2][9][14] - **Position Management Model**: - Recommended equity allocation: 60%[3][10]

Quantitative Models and Construction Methods 1. Model Name: Timing System Signal (Wind All A Index Long-term and Short-term Moving Averages) - **Model Construction Idea**: The model uses the distance between the 120-day long-term moving average and the 20-day short-term moving average of the Wind All A Index to identify the overall market environment and potential trend shifts[2][9]. - **Model Construction Process**: - Calculate the 20-day moving average (short-term) and the 120-day moving average (long-term) of the Wind All A Index. - Compute the relative distance between the two moving averages: $$ \text{Distance} = \frac{\text{20-day MA} - \text{120-day MA}}{\text{120-day MA}} $$ - A negative distance indicates the short-term average is below the long-term average, signaling a potential downtrend. Conversely, a positive distance suggests an uptrend[2][9]. - **Model Evaluation**: The model effectively identifies the market's transition to a downtrend when the distance narrows and becomes negative, providing actionable insights for timing decisions[2][9]. 2. Model Name: Industry Allocation Model - **Model Construction Idea**: This model identifies medium-term industry allocation opportunities by focusing on sectors with turnaround potential or strong growth drivers[2][10]. - **Model Construction Process**: - Analyze industry-specific metrics and trends to identify sectors with "distressed reversal" characteristics or those benefiting from structural growth themes. - Recommended sectors include: - Healthcare (e.g., Hang Seng Medical) - Low-valued sectors like new energy and consumer-related industries - Technology sectors driven by domestic substitution, such as AI chips and information innovation (Xinchuang)[2][10]. - **Model Evaluation**: The model provides a systematic approach to identifying sectors with medium-term growth potential, aligning with macroeconomic and structural trends[2][10]. 3. Model Name: TWO BETA Model - **Model Construction Idea**: This model focuses on identifying high-growth sectors, particularly in technology, by leveraging beta factors[2][10]. - **Model Construction Process**: - Analyze beta coefficients of various sectors to identify those with higher sensitivity to market movements. - Emphasize sectors like technology, including AI chips and information innovation, which are expected to outperform due to domestic substitution trends[2][10]. - **Model Evaluation**: The model effectively highlights high-growth sectors, particularly in technology, aligning with market trends and policy support[2][10]. 4. Model Name: Position Management Model - **Model Construction Idea**: This model determines optimal equity allocation levels based on valuation and trend signals[3][10]. - **Model Construction Process**: - Use valuation metrics such as PE and PB ratios of the Wind All A Index: - PE is at the 50th percentile, indicating a moderate valuation level. - PB is at the 20th percentile, indicating a relatively low valuation level. - Combine valuation insights with trend signals (e.g., moving average distances) to recommend a 50% equity allocation for absolute return products[3][10]. - **Model Evaluation**: The model provides a balanced approach to equity allocation, considering both valuation and trend factors[3][10]. --- Model Backtesting Results 1. Timing System Signal - **Distance between 20-day and 120-day moving averages**: -3.08% (indicating a narrowing gap and a potential downtrend)[2][9][13] - **Profitability Effect**: -1.7% (indicating negative short-term market sentiment)[2][10][13] 2. Position Management Model - **PE Ratio**: 50th percentile (moderate valuation level)[3][10] - **PB Ratio**: 20th percentile (relatively low valuation level)[3][10] - **Recommended Equity Allocation**: 50% for absolute return products[3][10] 3. Industry Allocation Model - **Recommended Sectors**: - Healthcare (e.g., Hang Seng Medical) - New energy and consumer-related industries - Technology sectors (e.g., AI chips, information innovation)[2][10][13] 4. TWO BETA Model - **Recommended Sectors**: - Technology sectors, including AI chips and information innovation, driven by domestic substitution trends[2][10][13]