Summary
Style rotation: Continue to be optimistic about the growth style in the short term
The current (2022-07-01) growth/value rotation comprehensive indicator value is 0.13, the growth style continues to dominate, and the indicator value has dropped slightly from 0.22 last month. Specifically, market sentiment is slightly biased towards the value style; in terms of macro, the economic environment indicator is 0.31 and the financial environment indicator is 0.15, both of which are biased towards the growth style. Taken together, we believe that the growth style may continue to have advantages in the short term.
Industry rotation: optimistic about food and beverage, coal, home appliances, electric power equipment and new energy, basic chemicals, non-ferrous metals
multi-dimensional superposition industry rotation model in July, the latest recommended positions are: food and beverage, coal, home appliances, electric power equipment and New energy, basic chemicals, non-ferrous metals . Compared with the positions in June, there is no change in the positions this time, and the scores of consumer sectors such as food and beverages and home appliances have improved significantly.
This combination rose or fell by 11.8% in June. During the same period, the industry-wide equal-weighted benchmark rose or fell by 7.8%. The combination outperformed the benchmark by 4.0ppt. The out-of-sample (2021/6/1-2022/06/30) portfolio return rate is 5.3%, the industry equal-weighted benchmark return rate during the same period is 0.1%, and the excess return rate is 5.2%.
Industry Prosperity Model View: The industry judged to be in a high-prosperity state this month is the coal industry; the model determines that the industries with average prosperity are non-ferrous metals, basic chemicals, and petroleum and petrochemicals; the model determines that the industries with poor prosperity are electric power and public utilities , automobiles, steel, electronics, transportation.
multi-factor stock selection: CSI 500 enhanced combination outperformed the benchmark by 1.85ppt in June
CSI 300 Index enhanced outperformed the benchmark by 0.04ppt. Since the portfolio's out-of-sample tracking (2019-01-01 to 2022-06-30), the cumulative return has been 89.73%, and the cumulative outperformance of the benchmark has been 40.02ppt. CSI 500 index enhanced outperformed the benchmark by 1.85ppt. Since the out-of-sample tracking of the portfolio (2021-01-01 to 2022-06-30), the cumulative return has been 24.35%, and the cumulative outperforming the benchmark is 24.99ppt. Active Quantitative Stock Selection : Growth Trend Stock Selection Strategy This year’s excess partial stock hybrid fund index 8.0ppt
Growth trend resonance model has a yield of 3.7% this month. Since January 1, 2009, this strategy has achieved an annualized rate of return of 35.9%. Based on the partial stock hybrid fund index, the annualized excess rate of return has reached 22.9%. The yield so far this year is -2.0%, exceeding the benchmark by 8.0ppt; the yield this month is 3.7%, underperforming the benchmark by 6.4ppt.
’s Value Stock Preferred Strategy returned 2.7% this month. Since May 5, 2009, this strategy has achieved an annualized rate of return of 21.6%. Based on the basic pool of value stocks, the annualized excess rate of return is 5.2%. The yield this year has reached 2.2%, exceeding the benchmark by 6.4ppt; the yield this month is 2.7%, underperforming the benchmark by 3.3ppt.
Quantitative allocation: commodities, stocks and bonds
Comprehensive information from macro driving forces, economic expectations difference, left-side endogenous structure, technical indicators and other dimensions, we are currently neutral on domestic stock assets, marginally bearish on bond assets, and commodity assets The most optimistic level.
) Macro driving force dimension: long stocks, short bonds, and long commodities. The macro driving force model determines that the core driving force of the current stock market is economic growth. From the information dimension of economic growth, we are currently bullish on stocks; for bonds and commodities, from the information dimension of macro liquidity, we are currently short on bonds and bullish on commodities.
) Dimension of macro-expectation difference: short on stocks, short on bonds, and long on commodities. From the stock market, PPI in May exceeded expectations, and the overall impact on the stock market is negative; from the bond market, there are no important indicators released recently, and the impact on the bond market is neutral; from the commodity market, the industry increased in May The value of exceeded expectations, the USD/CNY exceeded expectations, PMI exceeded expectations, and the overall impact on the commodity market was positive.
) Timing dimension on the left: The current stock market is a bearish signal, and the stock market rebound may be over. In the current timing system on the left side of , there is a total of 1 indicator that sends a bearish signal, which is the securities lending balance growth rate indicator of market sentiment; there is no indicator that sends a bullish signal; the remaining 9 indicators maintain a no-view status.Therefore, at the current point in time, we believe that market valuations have returned to normal levels and are no longer in a low valuation environment. Market sentiment may be overheated, and there may be market adjustments in the future caused by cooling sentiment.
) Dimension of resistance and support: The current stock market is a bullish signal, and market support is relatively stronger. The current stock market resistance and support indicators maintain bullish signals in all major broad-based indexes. We believe this means that the resistance faced by the current upward trend of the market is relatively weak and the support is relatively stronger.
) Systemic risk dimension: The early warning signal for stocks and bonds has ended, and it is unlikely that stocks and bonds will fall together in the future. On March 15, the early warning indicator for both stocks and bonds was triggered, and it lasted until April 22. From April 23 to the present, the early warning indicator has not been triggered. Therefore, at this point in time, we believe that it is unlikely that stocks and bonds will fall together in the future.
three-dimensional integrated stock and bond allocation model: income in June was 1.25%, currently increasing stock assets. The model added stock assets on June 27, with the allocation ratio of each asset being 22.13% for the CSI 300 Index and 77.87% for the ChinaBond Total Wealth Index. In June, the model achieved a total absolute return of 1.25% for and , which was worse than the 1.44% of the risk parity benchmark and 1.58% of the 2-share and 8-bond benchmark. Out-of-sample (December 25, 2020) to date, the model has accumulated a return of 6.51%, which is better than the risk parity benchmark of 3.45% and the 2-shares-8-bonds benchmark of 5.46%.
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Style rotation: Continue to favor growth style
Growth/value style rotation model: Short-term growth style may have advantages
Model introduction
We are in the report "Quantitative multi-factor series (3): How to capture the style wheel of growth and value" move? 》In the report, the prediction model was established based on the relative strength of the returns of value and growth styles, and the style rotation strategy of growth and value was constructed through four major categories of indicators: market sentiment, factor congestion, financial environment and economic environment.
► Market sentiment:
depicts the emotional changes of market participants from multiple dimensions. The four indicators of institutional research preferences, the number of new investors, the proportion of strong style stocks and changes in northbound capital preferences all have an impact on growth/value style returns. Have predictive capabilities.
► Factor crowding degree:
uses the factor crowding index to measure whether the factor is currently crowded. When the degree of congestion is high, it is necessary to avoid such possible failure factors. The crowding index has significant predictive power for growth/value style returns.
► Financial environment:
term spread , the growth rate difference between M2 and M1 has a significant correlation with the growth/valuation factor income.
► Economic environment:
CPI-PPI scissor difference shows a certain positive correlation with growth/value style returns.
latest opinion
The current (2022-07-01) growth/value rotation comprehensive indicator value is 0.13. The growth style continues to dominate, and the indicator value has dropped slightly from 0.22 last month. Specifically, market sentiment is slightly biased towards the value style; in terms of macro, the economic environment indicator is 0.31 and the financial environment indicator is 0.15, both of which are biased towards the growth style. Taken together, we believe that the growth style may continue to have advantages in the short term.
Chart 1: Current 11 segmented indicator values (after standardization) (2022-07-01)
Source: Wind Information, CICC Research Department
Chart 2: Major category indicators and comprehensive indicator values (2022-07 -01)
Data source: Wind Information, CICC Research Department (as of 2022-07-01)
Industry rotation: Coal maintains high prosperity, and the consumer sector ranks top
Multi-dimensional superposition rotation model: food and beverage, Coal, home appliances, power equipment and new energy, basic chemicals, non-ferrous metals
Introduction to the model
In the report "Industry Rotation Series (2): How to Use Macro and Meso Information under the Scoring System", based on the industry constituent stocks are based on the microstructure of , with macro scenes and meso-level climate information superimposed.After integrating the information from each dimension, a comprehensive industry rotation indicator is constructed:
►Micro characteristics:
includes seven types of characteristics: profit expectations, growth trends, operational efficiency improvement, financial leverage utilization, institutional sentiment, capital sentiment, and volume and price technology, a total of 20 subdivided micro-indicators.
► Macro scenario:
constructs a macroeconomic growth index and macro liquidity index, and dynamically weights each micro feature based on the macro scenario.
►Meso-level prosperity index: Based on the meso-level industry prosperity index of some cyclical industries, it adopts the methods of correlation screening, numerical status and cross-sectional standard deviation weighting to overcome the problem of meso-level prosperity data in the industry rotation scoring system. Difficulties include the mismatch between prosperity and stock price returns, the incomparability of prosperity in different industries, and the incomplete coverage of industries by prosperity data. Integrate meso scoring into the rotation system.
tracking performance
The A-share market continued the rebound trend from April to the end of May. It continued to fluctuate upward in June, with the CSI All-Share Index rising 5.5% monthly. Most industries showed an upward trend in June, and different industries continued to show huge differences in income. The income difference between the industry with the highest monthly income and the industry with the lowest monthly income exceeded 20 ppt. The consumer services industry experienced a rebound after the epidemic was effectively brought under control, rising 22% in June. The overall performance of the electronics industry chain was still strong in June, with the electronics and automobile industries performing better, with monthly increases of 18% and 15% respectively. Also performing well in June were the food and beverage, home appliances and other industries in the consumer sector.
Chart 3: Monthly return rate of CITIC primary industry
Source: Wind Information, CICC Research Department
Multi-dimensional overlay industry rotation combination The holding industries in June are: coal, power equipment and new energy, non-ferrous metals, and basic chemicals , food and beverages, home appliances. The portfolio rose or fell by 11.8% in June, while the industry-wide equal-weighted benchmark rose or fell by 7.8% during the same period, and the portfolio outperformed the benchmark by 4.0ppt.
’s rotation portfolio return this year has been -2.5%, the industry’s equal-weighted benchmark return over the same period has been -6.9%, and the excess return is 4.8%. The
out-of-sample (2021/6/1-2022/06/30) portfolio return rate is 5.3%, the industry equal-weighted benchmark return rate is 0.1% during the same period, and the excess return rate is 5.2%.
Chart 4: Rotation model out-of-sample tracking net value
Source: Wind Information, CICC Research (as of 2022-06-30)
Chart 5: Rotation model income performance
Source: Wind Information, CICC Research Department (as of 2022-06-30)
latest opinion
model’s latest recommended positions in July are: food and beverage, coal, home appliances, power equipment and new energy, basic chemicals, and non-ferrous metals. Compared with the position in June, the current position of has not changed.
Chart 6: Position changes in the past 6 months
Source: Wind Information, CICC Research Department
The latest industry rotation views and corresponding information details of each dimension are as follows:
► Macro data corresponding scenarios: Macroeconomic upward trend and liquidity upward trend . The weights of micro-features corresponding to capital sentiment, institutional sentiment, and operating efficiency types increase, while the weights of micro-features of volume-price technology and financial leverage utilization types decrease.
► In terms of meso prosperity, the coal industry is in a high prosperity stage and receives extra points from the meso dimension; automobiles and steel are in a low prosperity stage and receive additional points deductions; other industries have no score adjustment in the meso dimension.
Chart 7: Overview of industry score details
Source: Wind Information, CICC Research Department
Industry prosperity: The coal industry has a relatively high prosperity
In our report "Fundamental Quantitative Series (5): How to Quantitatively Track Cyclicity" In "Industry Prosperity", a prosperity scoring model was constructed for industries with obvious cyclicality.Based on the prosperity scoring model of each industry, the views in July 2022 are as follows:
►Industries with high prosperity: coal
►Industries with average prosperity: non-ferrous metals, basic chemicals, petroleum and petrochemicals
►Industries with low prosperity: electric power And public utilities, automobiles, steel, electronics, transportation
Among them, after testing, we found that only the petroleum and petrochemical, coal, non-ferrous metals, steel, building materials, automobile industry prosperity model has a strong prediction ability for industry excess returns. Therefore, mapped to the level of industry excess returns, the only industry that may still have relative performance is the coal industry.
Chart 8: Scores of different prosperity dimensions of each industry in July 2022
Source: Wind Information, CICC Research
Chart 9: Comprehensive score of prosperity of each industry in July 2022
Source: Wind Information, CICC Research
Multi-factor stock picking: CSI 500 Enhanced Portfolio outperformed benchmark in June by 1.85ppt
The recent performance of CSI 300 Index Enhanced and CSI 500 Index Enhanced is shown below:
Chart 10: CICC Quantitative index enhanced portfolio out-of-sample return performance update
Source: Wind Information, CICC Research Department (as of 2022-06-30)
CSI 300 Index Enhanced
This month (2022-06-01 to 2022-06 -30), CICC Quantitative CSI 300 Index strengthened and outperformed the benchmark by 0.04ppt. Since the portfolio's out-of-sample tracking (2019-01-01 to 2022-06-30), the cumulative return has been 89.73%, and the cumulative outperformance of the benchmark has been 40.02ppt.
Chart 11: CICC Quantitative CSI 300 Index enhanced out-of-sample net value trend
Source: Wind Information, CICC Research Department (as of 2022-06-30)
CSI 500 Index enhanced
This month (2022- 06-01 to 2022-06-30), CICC Quantitative CSI 500 Index strengthened and outperformed the benchmark by 1.85ppt. Since the out-of-sample tracking of the portfolio (2021-01-01 to 2022-06-30), the cumulative return has been 24.35%, and the cumulative outperforming the benchmark is 24.99ppt.
Chart 12: CICC Quantitative CSI 500 Index enhanced out-of-sample net value trend
Source: Wind Information, CICC Research Department (as of 2022-06-30)
Active quantitative stock selection: Growth trend stock selection strategy this year Since outperforming 8.0 ppt
, the active quantitative stock selection strategy aims to combine active equity investment concepts and quantitative tools, and use quantitative methods to screen stocks that conform to the logic of active equity investment to build a stock selection portfolio. Currently, we have constructed two active quantitative stock selection models: growth trend resonance and value stock selection respectively. This chapter tracks the recent return performance of the portfolio.
Growth Trend Resonance Stock Selection Strategy
In the report "Fundamental Quantitative Series (3): Is there continuity in performance growth?", we carried out the logical basis of "the performance growth of listed companies has a certain continuity" verify. Based on this logic, the construction of the growth trend resonance stock selection model is mainly divided into the following three steps:
►Performance acceleration growth basic pool: In the entire market, screen TTM to rank in the top third of the net profit attributable to the parent company in terms of month-on-month growth rate 1 stocks, and further select the top 50% of stocks with acceleration indicators and an absolute value of acceleration greater than 0 as the base pool.
► Avoid risks caused by non-recurring factors: Non-recurring factors have a greater impact on the sustainability of the company's performance growth. Therefore, within the basic pool, we further screen out the companies with non-profit deductions accounting for more than 50%, and those that have not been in the past year. Companies with equity financing events and solvency index greater than -1 serve as candidate stock pools. Combining the research results of the report "Fundamental Quantitative Series (4): Accurately Characterizing the Accelerated Growth Trend of Performance", we eliminated stocks with obvious seasonal distribution of performance. For the sake of robustness, we added ROE greater than 0.01, average daily trading volume in the past six months to rank in the top 90% of the market, and excluded ST stocks and also added them to the screening criteria.
► Superimposing analyst expectations and technical information to increase returns: ranks and scores the stock pool to be selected based on the improved momentum factor, analyst consensus forecast adjustment factor, and analyst consensus forecast performance growth factor, and sums them up with equal weights For the comprehensive score, the stock with the highest comprehensive ranking is taken as the final position.
Chart 13: Implementation steps of the growth trend resonance stock selection strategy
Source: CICC Research
Chart 14: Income performance of the growth trend resonance stock selection strategy
Source: Wind Information, Chaoyang Sustainability, CICC Research (As of 2022-06-30)
Chart 15: Growth Trend Resonance Stock Selection Strategy Income Performance (Since 2021)
Source: Wind Information, Chaoyang Sustainability, CICC Research Department (As of 2022-06- 30)
Chart 16: Annual income statistics of growth trend resonance stock selection strategy
Data source: Wind Information, Chaoyang Sustainability, CICC Research Department (as of 2022-06-30; the 2022 rate of return is the actual rate of return , non-annualized data)
Value stock selection strategy
In the report "Fundamental Quantitative Series (1): How to View the "Value" of Value Stocks", we discussed the relative advantages of value stocks and believed that the relative advantages of value stocks The main reason is that the downside risk is smaller and the drawdown is smaller, making it more suitable for prudent investors. Therefore, in the process of constructing the value stock selection strategy, we also emphasize the characteristics of low downside risk. The specific implementation process is as follows:
► Basic pool: is based on CITIC's first-level industry classification, and each industry is screened separately PB-ROE factor value comparison The small one-third of stocks serve as the base pool of value stocks.
► Preferred positions: adds leading indicators, average dividend rate quantiles, and stable growth indicator quantiles with equal weights in the basic pool to obtain a comprehensive score, and selects stocks with top comprehensive scores as final positions.
Chart 18: Income performance of value stock preferred strategies
Source: Wind Information, Chaoyang Sustainability, CICC Research Department (as of 2022-06-30)
Chart 19: Income performance of value stock preferred strategies (since 2021 )
Data sources: Wind Information, Chaoyang Sustainability, CICC Research Department (as of 2022-06-30)
Chart 20: Annual income statistics of value stock selection strategies
Data sources: Wind Information, Chaoyang Sustainability , CICC Research Department (as of 2022-06-30; the 2022 rate of return is the actual rate of return, non-annualized data)
Quantitative allocation: commodities, stocks and bonds
From the perspective of the quantitative model , we judge the future types of The trend and relative strength of assets. Comprehensive information on macro driving forces, economic expectations difference, left-side endogenous structure, technical indicators and other dimensions, we currently have a neutral view on domestic stock assets, bond assets are marginally bearish, and commodity assets are the most optimistic.
Dimension of macro driving forces: long stocks, short bonds, long commodities
The report we released on August 23, 2021 "Quantitative Allocation Series (6) Rotation of Macro Driving Forces in the Stock Market: Economic Growth or Liquidity?" 》, a rotation model of the driving degree of economic growth and liquidity on the stock market was constructed.
Chart 22: Core driving stage division
Source: Wind Information, CICC Research Department
is currently in the core driving stage of growth, and the stock market remains bullish. According to the judgment results at the end of June, the stock market in July was the core driving stage of growth. According to the trend of the stock macro growth driver index, the current marginal changes in economic fundamentals are good for the stock market. Therefore, from the perspective of economic growth, we currently remain bullish on the stock market. View.
Chart 23: Recent trend of stock macro growth-driven index
Source: Wind Information, CICC Research Department
Our report "Quantitative Allocation Series (4): Asset Macro Liquidity Driven Index" released on May 5, 2021 and Its Applications", the driving index of bonds and commodities is constructed from the perspective of macro liquidity.
From the information dimension of liquidity, we are currently bullish on bonds and commodities. According to the data at the end of June, the macro liquidity of bonds drives the index to rise, and the macro liquidity of commodities drives the index to rise. Therefore, from the information dimension of macro liquidity, we are currently bullish on both bonds and commodities.
Chart 24: The recent trend of the bond liquidity-driven index
Source: Wind Information, CICC Research
Chart 25: The recent trend of the commodity liquidity-driven index
Source: Wind Information, CICC Research
Macro Dimension of expected difference: short on stocks, flat on bonds, long on commodities
In the report "Quantitative Allocation Series (7): Capturing the Economic Expectation Difference and Allocating Assets Following the Trend" released on November 28, 2021, based on the important domestic macro When economic indicators exceed expectations or fall short of expectations when releasing actual data, we quantitatively screen out the expected difference indicators that have a significant predictive effect on the future trends of domestic stocks, bonds, and commodity assets, and construct expected difference indexes for various assets.
Chart 26: Macro Expectation Difference Index Construction Process
Source: Wind Information, CICC Research Department
From the perspective of macro expectation difference, we are currently short on stocks, flat on bonds, and long on commodities. As of June 30, from the perspective of the stock market, the PPI in May exceeded expectations, and the overall impact on the stock market was negative; from the bond market, there were no important indicators released recently, and the impact on the bond market was neutral; from the commodity market Look, industrial added value in May exceeded expectations, the U.S. dollar against the yuan exceeded expectations, PMI exceeded expectations, and the overall impact on the commodity market was positive. Therefore, from the perspective of expected differences, we are currently short on stocks, flat on bonds, and long on commodities.
Chart 27: Latest views on the expected difference index
Source: Wind Information, CICC Research Department, as of 2022-06-30
Timing dimension on the left: The current stock market is a bearish signal, and the stock market rebound may end
We are here In the report "Quantitative Allocation Series (8) Pre-emptive: Discussion on the Left Timing Indicators of A-shares" released on April 8, 2022, we look for indicators that can predict the future emergence of the stock market from the perspectives of valuation levels, market sentiment and capital flow. It is an indicator of price regression and comprehensively constructs a composite indicator for timing the left side of the stock market.
Chart 28: Summary of indicators on the left side of the stock market
Source: Wind Information, CICC Research Department
The current left-hand timing system sends out a bearish signal, and the stock market rebound may be over. As of June 30, there is currently 1 indicator in the timing system on the left that has issued a bearish signal, which is the securities lending balance growth rate indicator of market sentiment; no indicator has issued a bullish signal; and the remaining 9 indicators have maintained a no-view status . Therefore, at the current point in time, we believe that market valuations have returned to normal levels and are no longer in a low valuation environment. Market sentiment may be overheated, and there may be market adjustments in the future caused by cooling sentiment.
Chart 29: The current left indicator trigger situation
Source: Wind Information, CICC Research Department, as of 2022-06-30
Resistance and support dimensions: The current stock market is a bullish signal, and the market support is relatively stronger
We are in 2021 In the report "Quantitative Timing Series (1): The Art of Technical Timing from the Perspective of Financial Engineering" released in January 2019, technical timing indicators for each broad-based index were constructed from the perspective of the relative strength of market resistance and support.
Chart 30: Resistance support application logic
Source: CICC Research Department
Current indicators send bullish signals in major broad-based indexes, and market support is relatively stronger. As of June 30, the current stock market resistance and support indicators have maintained bullish signals in all major broad-based indexes. We believe this means that the resistance faced by the current upward trend of the market is relatively weak and the support is relatively stronger.
Chart 31: QRS quantitative timing indicator value
Source: Wind Information, CICC Research Department.Calculation as of 2022-06-30
Dimensions of systemic risk: The warning signal for the double kill of stocks and bonds has ended, and the probability of stocks and bonds falling together in the future is unlikely
The report "Quantitative Allocation Series (3): Smart Knowledge" we released on February 5, 2021 "Tail Correlation, Avoid Portfolio Systemic Risks", with the help of the upper and lower tail correlation coefficient between assets, an early warning indicator for the decline of domestic stocks and bonds was constructed. Specifically, when the following three conditions are met, the stock and bond double decline warning indicator is triggered:
► The lower tail correlation coefficient is greater than 0. The lower tail correlation coefficient of is greater than 0, which is a necessary condition for stock and bond assets to show lower tail correlation, which indicates that the probability of a double decline in stocks and bonds increases significantly. The lower tail correlation coefficient is calculated using data from the past 63 trading days.
►The upper tail correlation coefficient is equal to 0. When the market fluctuates greatly, stock and bond yields tend to have more positive outliers and negative outliers. At this time, the lower and upper tail correlation coefficients are both greater than 0, which means it is biased towards a two-tail correlation. In order to distinguish between lower-tail correlation and two-tail correlation, we require that the upper-tail correlation coefficient must be equal to 0, thus ensuring that when the lower-tail correlation coefficient is 0, there is a high probability that it can correspond to the real period of both stock and bond declines. The upper tail correlation coefficient is calculated using data from the past 63 trading days.
► One of the assets, stocks and bonds, is in a downward trend. In order to avoid false signals caused by short-term disturbances when both assets are in an upward trend, we require that one of the stock and bond assets be in a downward trend. Trends are calculated using standard DIF values (12-day moving average - 26-day moving average).
The warning signal has ended, and it is unlikely that stocks and bonds will fall together in the future. On March 15, the early warning indicator for both stocks and bonds was triggered, and it lasted until April 22. From April 23 to the present, the early warning indicator has not been triggered. Therefore, at this point in time, we believe that it is unlikely that stocks and bonds will fall together in the future.
Chart 32: Changes in the tail correlation coefficient of stocks and bonds since last year
Source: Wind Information, CICC Research Department. The CSI 300 is used for stocks, and the ChinaBond Comprehensive Wealth Index is used for bonds.
Three-dimensional integrated stock and bond allocation model: June income is 1.25%, currently increasing stock assets
According to our in-depth report released on December 25, 2020, "The Effectiveness of Exogenous Environment, Endogenous Structure, and Trend Momentum in Earning Forecasts" Combining ", we fuse signals from different prediction dimensions to obtain a unified direction signal, and convert the direction signal into an estimate of asset expectations, and apply it to the risk budget model to obtain allocation weights.
Chart 33: Asset direction determination logic
Source: CICC Research
Chart 34: Asset weight determination logic
Source: CICC Research
On June 27, the trend momentum indicator of the Shanghai and Shenzhen 300 Index turned from negative to positive. , triggering portfolio rebalancing. On the day of position adjustment, the CSI 300 Index is a bullish signal, the CSI 500 Index is a bearish signal, the view on bond assets is bullish, and credit bonds are relatively optimistic. Therefore, the model allocates more stock assets on the rebalancing day, allocates the CSI 300 Index, and allocates credit bonds on the bond side. The allocation ratio of each asset is 22.13% for the CSI 300 Index and 77.87% for the ChinaBond Total Wealth Index. The
model maintained the allocation recommendation on June 27 at the end of June. The allocation ratio of each asset was 22.13% for the CSI 300 Index and 77.87% for the ChinaBond Total Wealth Index.
html In 16 months, the model achieved a total absolute return of 1.25%, which was worse than the 1.44% of the risk parity benchmark and the 1.58% of the 2-share and 8-bond benchmark. Out-of-sample (December 25, 2020) to date, the model has accumulated a return of 6.51%, which is better than the risk parity benchmark of 3.45% and the 2-shares-8-bonds benchmark of 5.46%.Chart 35: Three-dimensional integrated stock and bond allocation model historical allocation ratio
Source: Wind Information, CICC Research Department
Chart 36: Three-dimensional integrated stock and bond allocation model historical net worth curve
Source: Wind Information, CICC Research Department Research Department
Chart 37: Three-dimensional integrated stock and bond allocation model out-of-sample return curve
Source: Wind Information, CICC Research Department.Out-of-sample started on 2020/12/25
Chart 38: Out-of-sample performance statistics of the three-dimensional integrated stock and bond allocation model
Source: Wind Information, CICC Research Department. Out-of-sample started on 2020/12/25
Article source
This article is excerpted from: "Quantitative Monthly Report (16)" published on July 1, 2022: The stock market may turn into a shock, and the growth advantage will continue"
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