Table of Contents
"Chasing the Deer" Alpha Special Report (10) - Photovoltaic Industry Factor Investment Framework: How to Build a Photovoltaic Industry Index Enhancement Strategy?
A repeat of the 1990s, will the United States follow Japan’s example? —— economic cycle long wave series three
2022 mid-term investment strategy report: rafting is a thing of the past, the quantitative fierce battle system is the first
2022 mid-term investment strategy report: fearless of overseas turmoil, wait for A shares to dominate the world
" "Zhulu" Alpha Special Report (9) - Based on QLIB ALPHA360's Temporal Fusion Transformer stock selection model)
The cycle is ebbing, and commodities are about to peak - Part 6 of the hot thinking series on major asset classes
"Chasing the Deer" Alpha Strategy Tour - How have different types of strategies performed in the past?
Fund industry rotation FOF strategy based on theme classification
"Chasing the Deer" Alpha Special Report (8) - Northbound Institutions Positions Deep Digging
2022 Investment Strategy Report: The era of institutionalization acceleration and "research value" value surge
2022 Investment Strategy Report: Monetary policy is stable and progressive. Guide to the theory and application of Chinese assets
: Detailed explanation of the Black-Litterman model - Asset allocation model discussion series 2
Analyst expected adjustment events to enhance stock selection strategies A complete strategy
The style drift of global stock markets is coming to an end - A series of hot thoughts on major asset classes Five
brokerage gold stocks In-depth analysis of the portfolio and further enhancement of analyst factors
A composite industry rotation strategy based on fundamentals and analyst expectations
The rebound of A shares is expected to accelerate
The impact of A shares is expected to finally come in April
The intensity of the RRR cut is lower than expected, but the worst time for A shares Or in the past
the Indian summer of risky assets - major categories Asset Allocation December Strategy Chapter
Incremental funds enter the market, A shares may rebound in impulse
A new round of inflation will continue to suppress the growth performance of technology
Cycle guidance: After the Russia-Ukraine conflict, the US recession and the "golden moment" of gold
Three reasons to be bullish on gold
"Competing" Alpha Special report (10)
Photovoltaic industry factor investment framework
How to build a photovoltaic industry index enhancement strategy?
Introduction to photovoltaics
Photovoltaic power generation is an important part of the new energy revolution. It is a new power generation technology that converts clean and renewable light energy into electrical energy. The industry started in 2000. After several twists and turns, it has now entered a comprehensive marketization stage and is quite competitive compared with traditional energy sources. my country occupies a dominant position in all photovoltaic industry chains. With the implementation of carbon neutrality policies, photovoltaic demand in various countries continues to increase, and Chinese photovoltaic companies will continue to benefit.
Photovoltaic industry factor analysis
In the long term, the factors that the photovoltaic industry needs to pay attention to include the relative volatility of turnover rate (-) in the liquidity category, and the 120-day positive return in the volatility category variance (-), price-to-earnings ratio (PE, TTM) (-) for the value category, change in consensus forecast net profit (next 12 months) for the growth category_1M (+), single-quarter net operating activities for the profit category Earnings (+), And the net cash flow generated by financial security operating activities / total liabilities (+).
Photovoltaic industry index enhancement
In view of the excellent alpha and beta attributes of the industry, we construct an industry index enhancement strategy. The idea of the strategy is as follows. At the end of each month, observe the best-performing factor in the six dimensions in the past year, sort the constituent stocks after excluding sub-new stocks according to the factor score, and select the top 10% stocks. Construct equal weight portfolios. The
strategy started in 2018, and the absolute return of and reached 648%, with an annualized return of 57.69%. The relative photovoltaic equipment index exceeded the quota by 313.52%, and the alpha was 18.71%. Sharpe ratio is 1.27. The overall performance is outstanding.
Risk warning: All model results in this article are from historical data, and the future validity of the model is not guaranteed.
If the 1990s is a repeat of the past, will the United States follow the example of Japan?
Economic cycle long wave series three
Look at the similarities between the current U.S. and Japan in 1990 from excessive interest rate hikes
The current U.S. interest rate hikes are similar to Japan in 1990: (1) With the support of extremely loose liquidity, the economy is in a Overheating condition. (2) A large amount of funds poured into the stock market and real estate market, forming asset price bubbles. (3) Despite the huge asset price bubble, the United States this time, like the Bank of Japan in 1990, lags behind other central banks around the world in starting monetary tightening, and is catching up very quickly.
In the last two interest rate hikes, the global economy and asset prices were affected. Although the current Federal Reserve has only raised interest rates twice, interest rates have risen rapidly, and the real economy has felt the impact of rapidly rising financing costs. Since mid-April, copper and other industrial metals have experienced considerable declines. Refer to the rapid increase in interest rates by the Bank of Japan at that time. Based on the interest rate experience, the global economic recession and commodity decline may reappear.
The Bank of Japan stopped raising interest rates in 1990Q4. The main reason was that the economy began to slow down. Japan's production capacity cycle, industrial production and other hard economic indicators all peaked and fell. Before stopping raising interest rates, the Japanese stock market had nearly halved. The core reasons for strong U.S. demand after the epidemic are mainly large-scale procyclical fiscal stimulus and relatively low interest rates. Both factors have reversed, and U.S. economic data are expected to fall significantly in the future. Considering that the current U.S. interest rate hike is very similar to Japan's interest rate hike at that time, when the risk of future U.S. recession increases, the Federal Reserve may stop raising interest rates like the Bank of Japan did in 1990.
Enlightenment on asset prices
U.S. Treasury bonds: After Japan stopped raising interest rates in the 1990s, although the U.S. economy began to bottom out in 1991, U.S. bond yields fell simultaneously with Japan after the Bank of Japan released liquidity again. Historically, whether it is preventive easing or recessionary easing, U.S. bond yields have mainly fallen, and ten-year U.S. bond yields above 3% have allocation value.
Commodity: At the end of Japan's interest rate hike in the 1990s, the global economy was in recession, and commodity prices began to peak and fall, which is very similar to the current global macro environment. At the same time, historically, whether it is preventive easing or recessionary easing, commodities represented by industrial metals have mainly fallen. Considering that the current commodity valuation is at a high level among major asset classes, it is recommended to remain cautious.
2022 mid-term investment strategy report
Rafting is a thing of the past, The quantitative fierce battle system takes the lead
Multiple macro events impacted, quantitative factors retreated, Jiantou Metalworking 500 strengthened and bucked the trend
Since the beginning of 2022, in the face of geo-military conflicts and overseas Against the background of the central bank's unexpected tightening and domestic regional epidemic disturbances, the equity market mainly fell. In terms of factors, since September last year, traditional factors such as growth and momentum have gradually become ineffective, and factors such as valuation, profitability, leverage , and non-linear market capitalization have performed prominently. The treacherous market in Bo Yun highlights the importance of using multiple strategies to improve the portfolio's ability to resist risks. In the context of the retracement of a large number of quantitative strategies and the triggering of liquidation lines by many quantitative private equity funds , our CSI 500 enhanced strategy remains the same. Eye-catching, relative returns have been rising steadily since 2022, and as of the end of April, the excess returns relative to the benchmark were 9.29%.
The impact of the epidemic is coming to an end, and we are waiting for A-shares to dominate the world.
In the first quarter, under the stimulus of pre-emptive policies, the economy gradually improved. Since then, the economic momentum has declined with the impact of the epidemic, and economic activity has dropped to a low point. However, the impact of the epidemic is nearing its end, and in May The manufacturing PMI improved significantly at 49.6. From the perspective of index profits, a sharp decline in annual report performance is not a common phenomenon. It is more caused by the concentrated losses of some industries that were severely regulated last year. Looking forward to the second half of the year, it is expected that China's economy will bottom out and rebound in the second half of the year, and the profitability will come to an end. At the same time, real estate sales are at the bottom of history, which historically corresponds to the bottom of the market. A shares are expected to rise independently.
Quantitative fundamental industry outlook: Banks, real estate, agriculture, forestry, animal husbandry and fishery, etc. are bullish
Banks: The real economy affects the scale, yield and credit quality of bank interest-earning assets, "GDP: constant price: TTM" 1.06% month-on-month, relative trend -1.49 % cycle is up, bullish on banks. Real estate: Housing prices are falling, first-home loan interest rates are falling, and M2 is rising year-on-year. Be long in real estate in June 2022. Agriculture, forestry, animal husbandry and fishery: The correlation between pig prices and the ROE of the agriculture, forestry, animal husbandry and fishery industry is 0.92. It is predicted that pig prices will rise in the second and third quarters of 2022, and we will be long in agriculture, forestry, animal husbandry and fishery.
Systematization - the industry rotation strategy based on multi-dimensional information has an annualized excess rate of return of 12.27%
Construct industry financial indicators based on formal financial report information. The test shows that profitability and growth capacity-related indicators and their marginal changes are important references for industry selection. significance. Taking the ROE after 2 natural quarters as the target, the calculated ROE increase ratio of the component stocks and the industry ROE change value factor show that the industry rotation effect is better. By sorting out the industry logic, screening important indicators, and selecting indicators that are highly correlated with industry ROE and excess returns to construct a single-industry quantitative fundamental timing strategy. According to the composite factor of composite financial + analyst expectations + quantitative fundamental structure, the grouping has good monotonicity. The annualized excess return rate of the long strategy portfolio of four industries reaches 12.27%, the monthly winning rate is 68.18%, and the Sharpe ratio is 0.494.
Intelligent AI - TFT deep learning stock selection
QLIB is Microsoft open source AI quantitative investment platform, which provides a complete investment research framework and efficient operating performance. Contains data, algorithms, backtest analysis and other modules. Temporal Fusion Transformer is a Transformer-based time series deep learning model proposed by GOOGLE researcher in 21 years. We use the ALPHA360 factor library in QLIB as input and combine it with the TFT model to obtain results that are significantly improved compared to traditional ICIR weighting. The Top50Drop1 strategy can achieve excellent performance of 19.57% annualized, 15.57% excess of CSI 500, 4.6 turnover, and information ratio 1.74.
"The Strongest Brain" Series - Analysts' Expectation Revision and Enhancement stock selection strategy has performed well. Since 2022, the out-of-sample return has reached -7.7%, and the excess CSI 500 return has been 12.13%.
Analyst's Expectation Revision and Enhancement portfolio has returned after historical in-sample return Testing and out-of-sample tracking (starting from December 31, 2020 Starting out-of-sample tracking), in the 12 years from January 2010 to 2022 (as of the end of April), the annualized return of the portfolio was 31.89%. Compared with the annualized excess return of CSI 500 Index , it was 29.30%. Out-of-sample tracking 16 There were only 5 months when the excess return was negative, the monthly winning rate was 69%, and the drawdown was -11.30%. The out-of-sample performance was very good. Since 2022 (as of 5.27), the absolute return of the portfolio has been -7.7%; relative to the excess return of CSI 500, it has been 12.13%.
"The Most Powerful Brain" Series - The 20 Golden Stocks Portfolio has performed well, with an excess CSI 500 return of 13.82% in 2022
We adjust the equal-weighted factors (i.e. expected net profit, expected EPS, expected target price and equal weights) based on analyst expectations Synthetically) select the top 20 stocks to construct a 20-strong gold stock portfolio. After adjusting positions at the closing price on the fifth trading day of each month, the portfolio history The annualized return is 31.36%, the excess CSI 500 return is 31.10%, the information ratio is 1.89, and the excess maximum drawdown is -9.13%; out-of-sample tracking starts from the end of March 2021 to the end of April 2022 , the portfolio return was 24.29%, compared with the CSI 500 Index excess return of 38.31%; from 2022 to the end of April, the portfolio return was -12.22%, compared with the CSI 500 Index excess return of 13.82%.
"The Most Powerful Brain" Series - Industry rotation of public fund holding capital flows from 2011 to this year, the excess is 10.34%
We construct an industry rotation model based on the fund position estimation results, and combine the excess of a single fund The excess return rate of 10 sectors classified according to the CITIC primary industry index is estimated based on constrained regression. Finally, the positions of individual funds are simply averaged to obtain the position estimate of stock fund . On this basis, the momentum strategy is constructed, using the plate structure with the largest plate changes from the past six months to the past month to hold long positions for one month. In order to prevent the channel effect, the strategy is divided into 4 channels. The strategy is held on average relative to the ten sectors, with an excess return of 10.34% from 2011 to this year.
Systematization - the six-dimensional industry rotation model has an excess return rate of 5.87% since the beginning of the year
Based on top-down, combining macro, quantitative fundamentals, financial factors, analyst expectations, institutional preferences, volume and price technology and capital flow and other dimensions , we have constructed a six-dimensional comprehensive industry configuration model and will start tracking externally in February 2022. Since 2022 (as of May 27), the cumulative return rate of the six-dimensional industry rotation model is -9.82%, and the relative industry equal-weighted excess return rate is 5.87%.
2022H2 Focus on sectors: Technology and consumption
The world is currently in the transition period from recession to depression in the fifth Kondratieff cycle. The rising stage of this round of inventory cycle has entered the middle and late stages. According to past rules, the Kang Bo depression period Interest rates will remain low until the end. The assets that benefit from the interest rate cut cycle always include the technology sector. At the same time, the direction of short-term domestic monetary easing is not subject to external constraints. Therefore, in the second half of the year, we are optimistic about the technology industry represented by TMT, including electronics, communications, computers, media and other industries. In addition, the domestic epidemic situation has been well controlled recently, and we are also optimistic about the upcoming period of recovery opportunities for the domestic consumer industry.
risk warning: The model is historical data and may be invalid.
2022 mid-term investment strategy report
Not afraid of overseas turmoil, waiting for A-shares to dominate the world
Global rights and interests: Waiting for A-shares to dominate the world
A-shares: It is expected to have an independent upward trend. Based on our leading indicator system, it is expected that China's economy will bottom out and rebound in the second half of the year, and the profit-killing has come to an end. At the same time, real estate sales are already at the bottom of history. Under the relaxation trend of domestic real estate, the real estate sales cycle is expected to bottom out in the second half of the year. Referring to history, this also corresponds to the bottom area of A-shares, and the rebound will continue in the second half of the year.
Global bond market: Sino-US interest rates are falling in resonance
ChinaBond: Bond yields challenge new lows. Although China's government bond yields are at historically low levels, rising commodity prices actually exert implicit pressure on interest rates. On the other hand, if commodities peak and fall in the future, the pressure on interest rates will be significantly eased, and interest rates will first fall and are expected to reach new lows. .
U.S. debt: ’s winning rate for long U.S. debt is improving, and the trend market needs to wait for the Federal Reserve to turn dovish in the fourth quarter. Referring to the experience of the 2018 interest rate hike cycle, there is a lag of about 2 months from the high level of inflation expectations to the downward trend of actual interest rates. Therefore, we are already in the high interest rate area, and U.S. bonds with more than 3% already have relatively high loss. Rate. Leading indicators further indicate the rapid downward pressure on the U.S. economy in the future, and the winning rate of long U.S. debt will also increase. From a spatial perspective, since CPI is still at a high level, the Federal Reserve may still decide to quickly raise interest rates to near the neutral interest rate in the early stages of the economic recession. Short-term U.S. bond interest rates have fluctuated downwards, and the trend market needs to wait for the Federal Reserve to turn dovish in the fourth quarter.
Global commodities: CRB peaks and falls, gold rises independently
CRB index: The story of commodities will be from supply shortage to demand decline. Although there was a war between Russia and Ukraine in March, the US supplier delivery indicator continued to fall and the industrial production index continued to rise in March, indicating that the US supply chain crisis has eased. The recent decline in crude oil price differentials indicates that supply pricing for the Russia-Ukraine war has also begun to loosen. With the U.S. personal savings rate falling to the normal level of the past five years and interest rates soaring, U.S. consumer spending growth is expected to peak and fall in the second quarter, and the impact of demand recession has begun. In the future, the mismatch between supply and demand will be alleviated, and the probability of commodity correction will increase significantly.
gold: is poised to outperform commodities and post an independent rally. Gold's performance is mediocre in 2021 and far underperforms commodities. This is due to rising expectations for U.S. economic recovery and tightening. However, the U.S. economy will slow down significantly in 2022 and there is a risk of economic recession, while interest rate hikes are expected and to shrink. Table 's acceleration expectations have not caused the price of gold to fall, reflecting gold's "buy expectations, sell facts" characteristics. Therefore, the environment in the second half of 2022 will be more conducive to gold's performance, and gold is expected to outperform commodities and experience an independent rise.From a rhythm point of view, the peak of commodities will also cause a periodic correction in gold, but the correction will bring better buying points. It is recommended to increase gold allocation during corrections.
crude oil: is expected to fluctuate and fall back. It is expected that the demand for crude oil will decline rapidly with the global economic downturn, but the uncertainty of war and geopolitical factors is great. As long as the war between Russia and Ukraine does not spill over, oil prices are expected to fluctuate and fall back.
"Zhulu" Alpha special report (9)
Temporal Fusion Transformer stock selection model based on QLIB ALPHA360
Introduction
This article mainly uses QLIB's ALPHA 360 factor, combined with Temporal Fusion Transformer predicts the future one-day return rate of CSI 500 constituent stocks, uses the prediction results as factors, and uses the TopKdropN method for backtesting. The results show that compared with the traditional ICIR weighted method, the TFT model can achieve better results. . And through parameter adjustment, the TFT model can achieve better performance while keeping the turnover rate close to the mid- to long-term strategy.
data introduction
QLIB is an open source quantitative AI platform developed by Microsoft Research Asia , which provides complete data, model, backtesting and analysis functions. In the data module, in addition to providing basic price and trading volume information, QLIB also provides two complete factor systems, ALPHA 158 and ALPHA 360. Both are volume and price indicators, but they are different in their generation methods.
This article analyzes the performance of ALPHA158 and ALPHA360, and finally selects 20 factors in ALPHA360, which perform better, as model inputs.
model introduction
Temporal Fusion Transformer (TFT) was proposed by Bryan Lim of GOOGLE CLOUD AI and others in 2021, aiming to solve the problem of Transformer being used for time series prediction. TFT is a deep learning model with good generalization performance. It can handle static variables (such as industry classification, store location, etc.), observed input variables (various independent variable inputs) and known variables (such as holiday information, etc.). It can Feature importance is output by sharing weight vectors, and multi-step predictions can be made and quantile prediction values output.
model results
Compared with traditional ICIR weighting, the TFT model can achieve better performance. By constraining different turnover rates, the TFT strategy can achieve a turnover rate similar to that of the mid- to long-term strategy, and the income and stability are also very good. TFT(50,1) can achieve an annualized rate of 19.57%, an excess of 15.57%, and an information ratio 1.74, excellent performance with a turnover rate of 4.6.
Risk warning: All model results in this article are from historical data, and the future validity of the model is not guaranteed.
The cycle is ebbing, and the product is about to peak
Major Asset Hotspot Thoughts Series 6
The story of commodities will be from supply shortage to demand decline
Although there was a war between Russia and Ukraine in March, the US PMI supplier delivery indicator continued to fall in March, and the industrial production index continued to rise, showing that US supply The chain crisis has eased. The recent decline in crude oil price differentials indicates that supply pricing for the Russia-Ukraine war has also begun to loosen. With the U.S. personal savings rate falling to the normal level of the past five years and interest rates soaring, U.S. consumer spending growth is expected to peak and fall in the second quarter, and the impact of demand recession has begun. In the future, the mismatch between supply and demand will be alleviated, and the probability of commodity correction will increase significantly.
It is expected that the commodity is about to peak
From a time perspective, we cross-verified from four different dimensions that the commodity is about to peak:
(1) The RMB exchange rate follows the price cycle, the week of April 22 offshore RMB single week The depreciation reached a new high after the foreign exchange reform. The second highest was in June 2018, corresponding to the previous round of commodity highs. The strength of the RMB and the Vietnam index in the past two years stems from the shift in export shares caused by strong global demand and insufficient supply. Recently, both have broken out and fallen, indicating that the impact of the global demand recession has been reduced, and commodities may fall back from their high levels.
(2) Commodities lag behind the global economy by 1-2 quarters to peak. The rise in commodities since the end of last year is related to additional factors such as the restart of overseas epidemics and the Russia-Ukraine war. Now that pricing has been sufficient, the leading and lagging relationship between commodities and the global economy will return. .
(3) The commodity deviation index we constructed has reached the threshold in March. This position is similar to March 2008. After experiencing sideways fluctuations for about three months, commodities began to break through and accelerate their decline after June 2008. , based on this inference, June 2022 is also a critical time for commodities to peak.
(4) Judging from the experience of the past seven rounds of rapid commodity prices, commodities will take a break after an average of 29 months of price increases. This round of commodity prices began to rise in December 2019, so when considering the lag, the commodity will be around May 2022. Important observation time point for peaking.
"Chasing the Deer" Alpha Strategy Tour
How have different types of strategies performed in the past?
Introduction
This article mainly reviews and updates the main strategies of "Zhulu" in the past year. Strategies include southbound timing and stock picking, northbound institutional stock picking, style rotation strategies, and analyst upward revision and text-exceeding expectations strategies. Each strategy has different characteristics, and they can all achieve relatively stable excess returns.
Hong Kong Stock Connect strategy
At present, the valuation of Hang Seng Index is low, and the southbound strategy is a good allocation choice. We have constructed timing and stock selection strategies based on southbound capital flows and southbound position changes. Timing The strategy can achieve better performance during the turbulent period of Hang Seng Index , and the stock selection strategy performs outstandingly when the southbound net inflow is high.
Mainland China Stock Connect strategy
Northbound stock selection strategy is mainly based on the positions of MORGAN STANLEY to construct position tracking and increase tracking strategies respectively, both of which can achieve good returns. Moreover, the correlation between the two returns is low, and the composite strategy constructed by superimposing the two can effectively smooth the returns.
style rotation strategy
style rotation strategy is mainly based on the difference between leverage factor and profit income factor under different credit cycles. By constructing leading indicators, it imposes style constraints on the two, while constraining the stock weight and market value industry exposure. The results It shows that the strategy can achieve stable excess returns.
Analyst upgrades and text-exceeding expectations event-driven strategy
PEAD has achieved good performance in the past few years. Usually PEAD mainly conducts research from two aspects: financial data and market reaction. We constructed the analysis from the perspective of analysts There are two types of PEAD event-driven strategies: division upgrade and text exceeding expectations, both of which can achieve better performance.
Risk warning: All model results in this article are from historical data, and the future validity of the model is not guaranteed.
Fund industry rotation FOF strategy based on theme classification
Wind Fund classification introduction
Wind's classification of funds is based on the " Publicly Offered Securities Investment Fund Operation and Management Measures " issued by the China Securities Regulatory Commission on August 8, 2014. Combined with the contract type and investment scope, the fund is first classified according to the contract type, and then classified in advance based on the investment type. In the end, mutual fund was divided into 9 first-level classifications and 26 second-level classifications. The classification defined by Wind is more detailed than the fund classification stipulated by the China Securities Regulatory Commission. This article will build a more detailed fund classification on this basis to describe the fund information.
Fund position, timing and stock selection classification system construction
This article first classifies active equity funds from the perspective of position and timing. The "historical average + time point float" method is used to divide positions into three categories: high, medium and low; the timing of equity positions is divided into two categories: position stability and position timing. From the perspective of stock selection, this article classifies funds into three categories: industry theme funds , balanced funds and rotation funds.
Fund industry theme classification system construction
This article first divides active equity funds into ten categories of industry theme anchor funds that are "born" to belong to a certain track based on fund contract information. According to the industry theme anchor funds Historical holdings are used to describe industry theme labels for individual stocks, and based on this, the market-wide active equity fund positions are analyzed and industry themes classified, ultimately forming an industry theme fund pool of "anchor funds + expansion funds". Currently, there are 465 industry theme funds. Only, the coverage rate is 16.79%.
Active equity funds perform industry rotation to obtain excess returns
In terms of the implementation of active equity fund classification, this article not only compares the theme fund products of various industries and compares the competency circles of fund managers, but also constructs theme fund indexes for various industries. And carry out industry rotation. The theme fund index has an average excess return of 6.32% relative to the mainstream industry index each year. The multi-channel industry fund rotation strategy has an annualized return of 24.52% from 2016 to 2021. Compared with the active equity fund index , Annualized excess return of 13.27%.
The FOF strategy of the preferred fund performs better
At the same time, this article combines multiple indicators to construct an industry theme preferred fund index. The preferred fund index has an average annual excess return of 2.96% relative to the theme fund indexes in various industries. The annualized return of the preferred industry fund rotation strategy from 2016 to 2021 was 28.65%, compared with the annualized excess of the active equity fund index of 17.39%. In 2021, the fund industry rotation strategy and the preferred fund industry rotation strategy performed well, with excess returns relative to the active equity fund index being 39.12% and 47.58% respectively.
Risk warning : The model is invalid, and the fund's historical performance does not represent future performance.
"Zhulu" Alpha special report (8)
Deep exploration of northbound institutional positions
Northbound investors have strong stock selection capabilities
In the Zhulu series of reports, we have analyzed the characteristics of overall northbound funds and different types of institutional positions. In this report, we conduct further in-depth research on institutions, and the results show that the position behavior of Morgan Stanley Securities has significantly exceeded the excess returns of other institutions.
We use the position information of Morgan Stanley Securities to construct two types of strategies. The strategy has the characteristics of high returns, large capacity, low correlation, and low turnover. And on the basis of the original position information, analyst upgrades and unexpected events are superimposed, making the strategic returns more significant.
Factor Effectiveness
By analyzing the ICIR of each institution's static position factors and dynamic accumulation factors, the results show that Morgan Stanley Securities performs better than other major institutions in both static positions and dynamic accumulation factors.
Comparing Morgan Stanley Securities positions and the overall position with Northbound, Morgan's positions are obviously overweighted in power equipment and new energy, electronics and computers, while in food and beverage, home appliances, consumer services The configuration is significantly lower than the overall configuration for the north direction.
strategy construction
uses Morgan's position and accumulation factors respectively to construct a position tracking strategy and an accumulation tracking strategy. The two strategies can achieve annualized returns of 30.24% and 25.95% respectively. The turnover rates are 3.88 and 8.91 respectively, and the correlation is low, and the strategy capacity is relatively large. Based on the original position information,
is able to achieve an annualized rate of return of 40.12% by superimposing the tracking enhancement strategy constructed by analysts' upward revisions and unexpected events.
Risk warning: All model results in this article are from historical data, and the future validity of the model is not guaranteed.
2022 Investment Strategy Report
In an era of accelerated institutionalization and surge in "research value" value
The global economy will decline rapidly, and it is expected that A Stocks first declined and then rose
It is expected that the global economy will continue to decline in 2022, and bulk commodities have risen rapidly after nearly 2 years, which will have a huge impact on the demand for midstream and downstream, and the fall in demand will further drive prices down. Therefore, the global economy in 2022 may Gradually shifting from falling volume and rising prices to falling both volume and price , the economic downturn may accelerate. Historically, after two years of rapid commodity price increases, A-shares will experience a wave of mid-term level adjustments. The reason is the reverse destruction mechanism of prices on the economy. The index will first experience a wave of pressure in 2022. Hope comes from loose liquidity, since liquidity has already begun to loosen in the first year of the economic downturn. If this trend continues in 2022, then after the index fully reflects the downward pressure on earnings, rising valuations are expected to drive the emergence of A shares reverse.
Quantitative fundamental industry mid-term outlook: bullish on banks, real estate, building materials, agriculture, forestry, animal husbandry and fishery
Banks: The real economy affects the size of bank interest-earning assets, yields and credit quality, "GDP: constant price: TTM" 3.88% month-on-month, with a relative trend of 0.44%, a cyclical upward trend, bullish on banks;
real estate: residents’ purchasing power, commercial housing sales area, housing construction area and housing completion area are in an upward period, while newly started housing area and residential prices in 100 cities are in a downward period; house prices Downturn, first home loan interest rates are down, M2 is down year-on-year, go long real estate in November 2021;
building materials : The ROE correlation between cement prices and cement manufacturing is as high as 0.94. The average cement price will rise from March 2021 (436.46 yuan/ton) to October 2021 (470.55 yuan/ton). It is estimated that the ROE of the cement manufacturing industry will rise, and we are bullish on the cement manufacturing industry; the glass cost spread will continue to rise from December 2018 (196.44 yuan/weight box) to October 2021 (1288.95 / weight box), the gross profit margin of the glass manufacturing industry is expected to increase, and we are bullish on the glass manufacturing industry;
Chemical Industry: The correlation between the price index of naphtha cracking products and the ROE of the petrochemical industry is 0.42, naphtha The cracked product price index continues to rise from November 2020 (3423) to October 2021 (4510), indicating an upward trend in ROE and a long position in the petrochemical industry; the naphtha cracked product price difference index has increased from 2021 to October 2021 (4510). February 2021 (1030) will drop to October 2021 Month (753), be cautious about the basic chemical industry;
Agriculture, forestry, animal husbandry and fishery: The correlation between pig prices and the ROE of the agriculture, forestry, animal husbandry and fishery industry is 0.92. The pig prices in the fourth quarter of 2021 and the first quarter of 2022 are 8.77 yuan/kg and 17.13 yuan respectively. /kg, the current price is 13.44 yuan/kg, indicating that the profitability of the agriculture, forestry, animal husbandry and fishery industry is about to bottom out, and bargain hunting can be planned for agriculture, forestry, animal husbandry and fishery.
2021-year multi-factor performance review
Since the beginning of this year, the profitability factor has retraced significantly; the growth factor exploded in the third quarter of this year, and then retraced slightly; the financial factors all showed a significant reversal; the valuation factor fluctuated more during the year Obviously; market factors also experienced significant fluctuations, with most factors gradually recovering after experiencing a retracement; analysts expect that the fluctuations in factor performance are smaller than those of other major categories of factors.
Sell-side analyst recommendations accurately adapt to market hot spots. Analysts’ expectation revision-enhanced stock selection strategy has performed well, with out-of-sample returns reaching 52.59% since 2021
Analysts’ expectation revision-enhanced portfolio has undergone historical in-sample backtesting and out-of-sample tracking ( Out-of-sample tracking started on December 31, 2020), in the 11 years from January 2010 to 2021 (as of the end of October), the annualized return of the portfolio was 33.87%, and the annualized excess return relative to the CSI 500 Index was 29.85% , the annualized excess return relative to the CSI 300 Index was 33.29%. The absolute return of the portfolio in 2021 is 52.59%; compared with the CSI 500 excess return of 36.44%, the maximum excess return drawdown is only 6.23%, and the Sharpe ratio reaches 1.77; compared with the CSI 300 excess return of 60.95%, the maximum excess return drawdown is only 10.14%, with a Sharpe ratio of 1.77. The ratio reaches 2.14.
analyst factors have performed well, and the factor's long-short return in 2021 is as high as 32.71%.
has a total of 7 analyst factors and 2 high-frequency factors. The specific backtesting time is the last 10 years. The sample pool is the entire market, and the monthly frequency is adjusted. warehouse. For the analyst factor, the annualized long-short return of the analyst profit expectation adjustment factor is 16.42%, the IC average is 3.94%, and the long-short return since 2021 is 30.02%; the annualized long-short return of the analyst expected EPS adjustment factor is 13.81% , IC mean 4 .13%, and the long-short return since 2021 is 32.71%; the market consensus expects the EPS adjustment range factor long-short return to be 19.47%, the IC average is 3.94%, and the long-short return since 2021 is 28.84%, the overall stock selection effect Very nice. In addition, for high-frequency factors, the factors are market value and industry neutral. The factor's annualized long-short return is 18.49%, the average IC value is 4.75%, and the long-short return since 2021 is 9.91%.
Valuation expectations have a large difference, and we are optimistic about the financial and real estate sector
With the disclosure of fundamental data, the economic downward logic is constantly being verified. It is expected that the market style will turn into a defensive state, which is good for the financial sector. On the other hand, the current situation is highly comparable to the second half of 2017, with similar supply-side reforms and carbon neutrality, the same surge in commodity prices and rapid rise in PPI from low levels. At that time, the financial sector gained excess returns for more than a year. The performance of sub-financial stocks is also promising.In addition, combined with the current undervaluation and the mean reversion characteristics of excess returns, we recommend that the current overweight financial sector (mainly refers to banks and insurance, because securities companies are more affected by market trading volume); on the other hand, in the past six months or so, The country's loose monetary policy is more friendly to the financing side of real estate companies. Combined with the marginal recovery of policies, the real estate industry can be expected to stabilize at this stage. For a list of funds with higher correlations, see the text.
We are optimistic about the technology and consumer sectors in the medium and long term.
The world is currently in the transition period from recession to depression in the fifth Kondratieff cycle. The rising stage of this round of inventory cycle has entered the middle and late stages. According to past rules, the Kang Bo depression period Interest rates will remain low until the end. The assets that benefit from the interest rate cut cycle always include the technology sector. Therefore, we are optimistic about the technology industry represented by TMT in the long term, including electronics, communications, computers, media and other industries. For a list of funds with higher correlations, see the text.
risk warning: The model is historical data and may be invalid.
2022 Investment Strategy Report
Monetary policy is steady and advancing, and China's assets are looming.
The short-term sharp contraction of liquidity is a risk, and easing after recession is a hope.
The Federal Reserve's November interest rate meeting officially announced a taper, and interest rate hike expectations have moved forward. It is expected that the Federal Reserve may begin preparations for raising interest rates in 2022Q1. But it is precisely because the economy is in a late cycle, and the short-term tightening progress combined with the rapid economic downturn next year, the yield curve will quickly flatten and be close to inversion. By then, recession expectations will increase. Historically, the Federal Reserve policy will turn to easing, and global central banks will also follow. Therefore, for global assets, a short-term sharp contraction in liquidity is a risk, and a easing after the recession is a hope.
The global economy will decline rapidly, and there is a risk of recession in the U.S. economy.
The "global economy has peaked one after another, and the road to recovery after the epidemic will not be smooth" mentioned in the 2021 mid-term strategy report has been fully verified. China's PMI fell below the line of prosperity and contraction, and European and American PMIs successively After peaking and falling, Bank of America fund manager survey data showed that investors’ expectations for the global economy peaked and fell, and began to enter the pessimistic quadrant in October. In 2022, the economy may gradually shift from a decline in volume to an increase in both volume and price, and the economic downturn may accelerate. The Fed's pursuit of interest rate hikes will cause short-term interest rates to rise rapidly, while the second wave of economic downturn next year will push down long-term interest rates. There may be signs of an inversion of the interest rate curve in the first half of next year, and recession expectations will rise significantly.
Global equity: first declined and then rose, the focus shifted upwards
A shares: loose liquidity to hedge against economic downturn, the index first declined and then rose. Historically, after two years of rapid commodity price increases, A-shares will experience a wave of mid-term level adjustments. The reason is the reverse destruction mechanism of prices on the economy. The index will first experience a wave of pressure in 2022. Hope comes from loose liquidity, since liquidity has already begun to loosen in the first year of the economic downturn. If this trend continues in 2022, then after the index fully reflects the downward pressure on earnings, rising valuations are expected to drive the emergence of A shares reverse.
US stocks: moving towards deep V, growth dominates. Judging from historical experience, if a strong stimulus policy similar to 1.9 trillion is not introduced again, the U.S. economy will be at risk of recession in 2022, and the U.S. stock market may experience a Davis double kill in stages. After signs of recession emerge, the Federal Reserve will shift its monetary policy, and U.S. stocks will rebound from the bottom.
Global bond market: High-quality assets in recession, it is recommended to overweight
ChinaBond: Credit expansion is limited, and bond yields are expected to hit record lows after the disturbance. The bond market is a relatively high-quality asset in 2022. The core lies in "economic downturn + difficulty in monetary tightening + difficulty in extending credit". It is expected that the yield is expected to hit a record low, and it is recommended to overweight.
U.S. Treasuries: Economic recession expectations + Fed tightening to easing + extreme bond selling sentiment, U.S. bond interest rates are expected to rise and fall to record lows, and it is recommended to flatten the curve. The U.S. economy will enter a second wave of downturn in 2022, which may trigger recession expectations, and expectations of Fed tightening will turn sharply downward.The current sentiment on bonds is extremely pessimistic. Historically, this has often heralded the approach of a downward inflection point in interest rates. In line with fundamental and policy inferences, U.S. debt will usher in an excellent opportunity to allocate U.S. debt after interest rate hike expectations are hyped.
Theory and Application Guide: Black-Litterman Model Detailed Explanation
Asset Allocation Model Discussion Series 2
From Mean Variance to Black-Litterman Model
When the mean-variance model is actually applied, it is easy to obtain extreme weights, is very sensitive to parameter input, and contains errors. issues such as amplification effects. Fischer Black and Robert Litterman proposed the Black-Litterman model at Goldman Sachs. The model believes that there are two types of information sources for the future excess returns of assets: the market equilibrium state and investors' opinions, and both are uncertain, so they can be calculated through probability distributions. Characterize and combine the improved expected distributions of the two types of information.
The four main steps in using the BL model
The four main steps in using the BL model: 1. Calculate the distribution of the mean prior expected return rate; 2. Give a view and calculate the distribution of the mean subjective expected return rate; 3. Put the prior expected return mean The distribution of the mean posterior expected return rate and the mean subjective return rate are fused to obtain the distribution of the mean posterior expected return rate and the distribution of the posterior expected return rate; 4. Substitute the posterior parameters into the mean variance optimizer to obtain the optimal solution.
Setting of a priori equilibrium return rate
Under the framework of mean variance, if the neutral point of view is set to the historical return rate, the unconstrained optimization weight will be highly correlated with the historical Sharpe ratio of each asset; set to the return rate If the ratio is the same, the unconstrained optimization weight will be biased towards assets with smaller marginal risk contributions; if it is set to the same Sharpe ratio, the weight will be biased towards assets with low correlation; if it is set to the market equilibrium rate of return, investors can add their own perspectives, optimization goals and constraints, and integrate them organically.
strictly follows the balanced income method set by market weight. The performance of the portfolio may not have an advantage because the market weight itself may only represent the size difference due to different development stages and is not entirely determined by investors. In actual application, the prior equilibrium rate of return and "market weight" are used as benchmarks and play the role of strategic allocation, which investors can handle flexibly. The
BL method is convenient for integrating views. One benefit of the
BL method for integrating investor views is that when giving relative views, there is no need to artificially specify the rate of return of multiple assets. On the one hand, it is more convenient in operation. On the other hand, it is obtained The posterior expected rate of return actually takes into account the correlation between assets, and the weight obtained by substituting it into unconstrained optimization is more consistent with the setting of the viewpoint.
The covariance matrix affects the posterior expected return rate through the composition of the variance
When the independent influencing factors in the asset variance are small, the fundamental source of the opinion is more affected by the common driving factors of asset return rate, and the posterior expected return rate The changes are likely to be synchronized. In the case where the common driving factors of asset returns are small, the fundamental source of opinions is more of the independent impact on each asset, and the changes in posterior expected return rates are irregular.
An accurate relative view is less likely to deviate from an equilibrium portfolio
Backtesting shows that consistently accurately predicting the relative returns of two asset classes as a view may improve the portfolio less than consistently accurately predicting the absolute return of a single asset as a view , the possibility of a short position in the portfolio is smaller, and it is less likely to deviate significantly from the prior equilibrium portfolio. But the former is a more accessible goal, the latter is almost unattainable.
Risk warning: History does not represent the future. The backtests in this article are for research purposes only and are not recommendations.
Analysts’ forecast adjustment events will enhance stock selection strategies. A complete strategy for stock selection strategies.
Overview of this article.
Analyst forecast adjustments mainly include three aspects of information, namely, profit forecast adjustments, Target price adjustments and investment rating adjustments. This article uses these three aspects of information to construct factors and events, and builds a stock selection strategy based on this, so as to achieve excellent stock selection results based on making full use of analysts' expected adjustment information.Among them, the annualized return of the active upward adjustment of expectations plus profit expectation adjustment factor enhancement strategy is 33.64%, the annualized return of excess CSI 500 is 29.39%, the information ratio is 2.32, and the winning rate is 71.43%. The overall stock selection effect is the best among all enhancement strategies.
Introduction to analysts’ forecast adjustments
Analysts’ adjustments to their past forecasts often mean the arrival of new information, and the intensity of analysts’ forecast adjustments for different stocks can reflect the difference in marginal improvements between different stocks and analysts’ expectations for new information processing capabilities. Furthermore, based on this difference in analyst adjustment amplitude, we can help us construct stock selection factors with better stock selection effects. We try to combine analyst expected stock selection factors with analyst expected adjustment events to construct an event-enhanced stock selection strategy with "strong logic" and obtain excellent historical return performance.
The annualized long-short return of the analyst profit expectation adjustment factor is 14.93%, the Sharpe ratio is 1.8, the IC average is 3.96%, and the annualized IC_IR reaches 2.2
We construct the analyst profit expectation adjustment based on the same analysts' expected adjustments in time series Factor, which reflects the median level of earnings forecast revisions for a stock by all analysts in the market. We expect that the greater the adjustment factor for analysts' earnings expectations, the greater the probability of short-term price increases in the future. The stratification effect of analysts' earnings forecast adjustment factors is very differentiated. There is a monotonic annualized excess return between different groups (relative to the CSI All-Inclusive Index), and the Q1 group has nearly 15% excess return relative to the Q10 group (Q1 exceeds 14% of the long excess returns, and Q10 is only less than -1%) . Analyst earnings estimate adjustment factors demonstrate excellent stock picking capabilities. The annualized long-short return of the factor is 14.93%, the Sharpe ratio is 1.8, the average IC value is 3.96%, and the annualized IC_IR reaches 2.2.
EPS_FY1, EPS_FY2, and net profit FY1 all actively raised their expectations and added the profit expectation adjustment range factor enhancement strategy. The annualized return was 33.64%, and the annualized excess was 29.39%
. We used analysts' profit expectation adjustment factors to predict analyst target price increase events and analysts respectively. Investment rating upgrade events and analyst estimate revision momentum events strengthened. That is, at the end of each month, the 20 stocks with the largest indicator values are selected from the event sample pool according to the order of profit expectation adjustment factors. Among them, EPS_FY1, EPS_FY2, and net profit FY1 all actively raised their expectations and added the profit expectation adjustment factor enhancement strategy to achieve an annualized return of 33.64%. The annualized return of excess CSI 500 was 29.39%, the information ratio was 2.32, and the winning rate was 71.43%. The overall stock selection effect is the best among all enhancement strategies. In terms of the historical holdings of the best stock selection portfolio, at the industry level, the machinery, basic chemicals and pharmaceutical industries account for the highest proportions; at the index level, the CSI 300, CSI 500 and other stocks account for 24.53%, 27.43% and 27.43% respectively. 48.04%.
The style drift of the global stock market is coming to an end.
Series 5 of Hot Thoughts on Major Asset Categories.
The long-term trend of relative growth in the value of U.S. stocks is consistent with commodity prices, and style switching is closely related to the mid-cycle. The starting point of this mid-cycle of is 2020Q2. The epidemic has caused a serious shortage of global production capacity, and large-scale global fiscal policies have begun to inject capital into the residential sector. In an inflationary environment, the dominant style corresponding to this mid-cycle is value. The ultimate interpretation of the growth style since Q2 is a style drift in the value style cycle. It is expected that inflation expectations will rise again in Q3, and the value style will counterattack again.
Since October 2018, the correlation coefficient between the value growth ratio of A shares and the U.S. real interest rate measured by TIPS has been as high as 97.4%. The Fed's hawkish signals may become stronger in the future, while the economic downward slope may slow down at the end of the third quarter, and U.S. real interest rates will bottom out. Growth is front-running trading and broad liquidity has stabilized. However, judging from the current rate of decline in interest rates, it may take about half a year to reach the inflection point of social finance trend upwards. A reverse correction is likely to occur in the future, and the value style of A-shares is expected to outperform growth again.
chooses value in a fragmented market, focusing on finance and cycles. Our A-share value growth deviation index is already at a record high, showing that the current market is extremely fragmented. Historically, after the A-share value growth deviation index reaches the warning line of 10, growth often experiences a mid-term decline.
In-depth analysis of the brokerage gold stock portfolio and the further enhancement of analyst factors
Overview of this article
The brokerage gold stock portfolio is selected by various industry groups of the Securities Research Institute through active research methods such as surveys, interviews and financial analysis, and is further selected by the strategy group The best recommended combination of the month. Generally speaking, the number of monthly gold stock portfolios is 10, therefore, it is also called the "Top Ten Golden Stocks". This article attempts to explore the stock Alpha in the brokerage gold stock portfolio, and deeply analyzes the excess returns of the brokerage gold stock portfolio from the perspectives of brokerage firms, industries, and recommendation overlap. Furthermore, the brokerage gold stock portfolio was enhanced based on the constructed analyst expectation factors, and a 20 gold stock portfolio with stable and excellent returns was obtained. From 2018 to the end of March 2021, when positions were adjusted on the fifth trading day, the annualized return of the 20 gold stock portfolio strategy selected based on analysts' expected equal-weighted factors was 31.36%, and the annualized return of the excess CSI 500 was 31.10%. , the information ratio is 1.89, and the winning rate is 69.23%. The overall stock selection effect is the best among all enhancement strategies.
The historical average excess return (relative to the CSI 500) of gold stocks recommended by various brokerages is 1.84%, and the average excess return of gold stocks recommended by brokerages in various CITIC industries is 1.23%
Let’s analyze it in depth from the perspectives of brokerages, industries and recommendation overlap. The excess returns of brokerage gold stock portfolios. The historical average excess return (relative to CSI 500) of gold stocks recommended by each brokerage firm is 1.84%, and the median is 1.95%. The historical average monthly winning rate of gold stocks recommended by various brokerages (relative to CSI 500) is 65.09%, and the median is 66.67%. There is no significant difference in the performance of stock pools with different recommendation times. Therefore, the returns of stocks cannot be distinguished based on the number of recommendations. The average excess return of brokerage gold stocks in various CITIC industries was 1.23%, and the median was 1.56%.
Adjust positions on the fifth trading day of each month. The annualized return of the 20 gold stock portfolio strategy selected based on analysts’ expected adjustment equal-weighted factors is 31.36%.
We tried to construct three major categories of factors, namely analyst’s expected adjustment. factors, market consensus expected adjustment factors and pure analyst coverage factors, and score the analysts' expected net profit adjustment range, market consensus expected net profit adjustment range and pure analyst coverage factors with equal weights to obtain equal weights. factor. Equally weighted factors show excellent stock selection capabilities. Compared with the Q10 group, the Q1 group has an excess return of more than 21% (of which Q1 exceeds 16% of the long excess return, and Q10 is only less than -4%). The annualized long-short return of the factor is 21.55%, the Sharpe ratio is 1.69, the average IC value is 5.62%, and the annualized IC_IR reaches 1.80. Furthermore, we found that analysts expect adjustment factors to have better long excess performance in the gold stock stock pool. Therefore, we use analysts' profit forecast adjustment factors to enhance the brokerage gold stock portfolio. That is, on the fifth trading day of each month, positions are adjusted. The annualized return of the 20 golden stock portfolio strategy selected based on analysts' expected equal-weighted factors is 31.36%, the annualized return of the excess CSI 500 is 31.10%, the information ratio is 1.89, and the winning rate 69.23%. In terms of the historical holdings of the best stock selection portfolio, at the industry level, the electronics, basic chemicals and pharmaceutical industries account for the highest proportions.
The one-year out-of-sample tracking of the brokerage’s 20 portfolio of gold stocks has an absolute return of 35.18%
We started out-of-sample tracking from the end of March 2021. As of the end of February 2022, the absolute return of the 20 portfolio of gold stocks reached 35.18%, which was exceeded compared to the CSI 500 Index The income is 24.61%, which deserves continued attention.
Composite industry rotation strategy based on fundamentals and analyst expectations
Industry financial factors: Profit and growth indicators are more referential
Based on formal financial report information, seven categories and 49 individual financial indicators are constructed for different industries. The original numerical factor, chain incremental factor, and second-order difference factor of the indicator are tested for their effectiveness respectively. Judging from the performance of grouping and five-group combinations based on variable symbols, indicators related to profitability and growth capabilities and their marginal changes have important reference significance for industry selection.
screens indicators with high excess returns and low correlation, and builds composite financial factors based on the 1/5th group of signals in the symbol group combination or quintile group combination for use in industry rotation strategies. From August 2007 to April 2022, the annualized return of a long portfolio with 4 industry positions was 9.92%, and the excess return compared to the industry equal-weighted benchmark was 6.34%.
Analyst expected factors: Expected adjustment factors are more effective
The test of the actual future ROE factor shows that the single-quarter ROE value, ROE-TTM value, ROE-TTM chain value-added factor in the next two natural quarters, and the industry rotation effect Better than the corresponding indicators in the next natural quarter, among which the expected ROE-TTM quarter-on-quarter incremental factor performs best. However, the performance of expected industry factors calculated using analysts' consensus forecast data is weaker than the corresponding actual future ROE factors. Therefore, the expected adjustment factor is calculated, with the ROE after two natural quarters as the target, and the expected ROE increase ratio of the constituent stocks and the industry ROE change value are calculated. The industry rotation effect is significantly improved, and the annualized excess return rate of the single factor exceeds 5.4%. The Sharpe ratio is close to 0.3.
Quantitative fundamental timing
constructs a single industry timing strategy by sorting out industry logic, screening important indicators, and selecting indicators that are highly correlated with industry ROE and excess returns. We have previously completed meso-level timing for cyclical industries including coal, steel, nonferrous metals, agriculture, forestry, animal husbandry, fishery, building materials, and chemicals. As of April 2022, the annualized long-short returns of timing strategies in each industry have basically exceeded 13%.
Industry rotation strategy based on multi-dimensional information
Composite financial + comprehensive factors expected by analysts, grouping monotonicity is good, the excess return rate of the first group is as high as 10.10%, monthly winning rate is 65.34%, Sharpe ratio is 0.432; long positions in 4 industries The annualized excess return rate of the portfolio is 10.82%, the monthly winning rate is 63.64%, and the Sharpe ratio is 0.448. The comprehensive factor of
compound financial + quantitative fundamental signals has a certain grouping monotonicity. The first group's excess return rate reaches 9.45%, the monthly winning rate is 61.93%, and the Sharpe ratio is 0.407; the annualized excess return of the long portfolio holding four industries The rate is 9.24%, the monthly winning rate is 60.8%, and the Sharpe ratio is 0.388.
composite financial + analyst expected factors + comprehensive factors of quantitative fundamentals, the grouping monotonicity is good, the first group’s excess return rate reaches 10.22%, the monthly winning rate is 64.20%, and the Sharpe ratio is 0.442; the long strategy portfolio of positions in 4 industries has a year The excess return rate reached 12.27%, the monthly winning rate was 68.18%, and the Sharpe ratio was 0.494.
Judging from the performance of the long portfolio, the enhancing effect of quantitative fundamental timing signals on industry rotation began to be reflected in 2020, and the enhancing effect of analyst expectation signals began to appear in 2015. A rotation strategy that integrates all information works best.
Risk warning : The model is built based on historical data, and past rules may become invalid in the future. The backtest in this article is for research reference only and is not recommended.
Commodity attributes are wrongly killed, and golden allocation opportunities are
Major asset allocation July reports·Tactics
on the economy The decline caused by recession concerns reflects gold's commodity attributes, and as the recession progresses, its credit hedging attributes will gradually be reflected. Regarding the pace of interest rate hikes, after the CPI in June was released, many Federal Reserve officials lowered their expectations for a 100bp interest rate hike in July. The actual core CPI has not reached a new high. Therefore, inflationary pressure is expected to ease as oil prices fall, and interest rate hikes are expected. The peak of suppression has most likely passed. In addition, the recent strength of the U.S. dollar is related to the weakness of the euro and the yen. Although the euro has recently fallen to parity with the U.S. dollar, as the European Central Bank takes steps to raise interest rates, it is unlikely to fall sharply again, while the yen The safe-haven properties will also return as the U.S. economy declines.
The risk aversion sentiment in the geopolitical landscape is expected to remain stable. Although it has not yet been reflected in the data in the short term, recession is on the way. After the short-term mistake due to commodity attributes, gold will usher in a good allocation opportunity. It is expected that after the tightening pace slows down in the second half of the year, gold is expected to further Up to $2,000 by the end of the year.
The rebound of A shares is expected to accelerate
Fundamentally speaking, , global commodity prices have gradually emerged in the mid-term head structure, the US CPI has turned, and the US economy has officially turned from stagflation to recession. With the US unemployment rate remaining flat at 3.6%, the US last year 1 The current round of post-epidemic resumption of work cycle that started in February has basically come to an end; the impact of the above overseas information on China will be interpreted at two levels: 1. Domestic import and export data will continue to weaken as external demand fluctuates, but we believe this is important for judging this round. The impact of the bottoming out rhythm of the domestic economy is limited, and the main observation is still on counter-cyclical stimulus such as real estate and infrastructure construction. Judging from the market's lackluster response after export growth returned to single-digit growth on May 9, judging from the pace and intensity of the sector's pull, it can be seen that its impact is no longer the main factor in the market; 2. The middle and late stages of the recession cycle are generally accompanied by the Federal Reserve's interest rate cuts. With current expectations for U.S. interest rate hikes still high, in fact, the interest rate hike observation indicators observed by the Federal Reserve are However, the benchmarks are turning, which means that the most critical moment of this round of interest rate hikes may be passing. As U.S. bond interest rates may peak and fall, the concerns of domestic central banks in implementing their own monetary policies will also be alleviated, and it is expected to be in 6 -July ushered in a clearer signal of monetary easing, which provided support for A-shares from the perspective of marginal changes.
Technically, the market withstood the adverse environment of the overseas plunge last week and emerged from an independent rebound structure, indicating that the balance of long and short forces has been significantly reversed from April, and the subsequent rebound is likely to continue.
Since May, the inflation trend in the United States has shown signs of turning around, and expectations of U.S. interest rate hikes have also stopped rising rapidly. Regarding the epidemic, there are official guidelines for Shanghai to resume business and market in stages. Positive factors are gathering as scheduled. It is recommended to actively participate. The current oversold market remains high The long position remains unchanged; although the valuation of GEM has not completely reached the bottom position in 2018, the quarterly profit situation is also significantly better than that of that time, and the short-term valuation has also been wrongly killed. It also has room for market recovery after the epidemic. It is recommended to maintain high positions and go long unchanged, and return to the GEM first in terms of style.
The impact of A shares is expected to be finally in April.
Based on fundamentals, China's Q1 GDP rebounded significantly to 4.8%, which is in line with our expectations. It is also expected that the economy will start to fall back in March due to the strength in January and February. We reiterated the negative outlook for China in last week's report Economic explanation: "China's macro economy will also face a long-lasting downward impact on overseas demand." This is also an important basic assumption that we gave at the end of last year that the low point of the N-shaped trend of A-shares was in Q2. The actual comparison is with the situation 6 months ago. Fundamental derivation shows that the economic data of China and the United States are almost perfectly fulfilled, but in the Russia-Ukraine war and this round of Under the unexpected impact of the epidemic, inflation has been relatively higher and the short-term economy has also faced additional shocks. As a result, the U.S. interest rate hike is expected to exceed expectations and China's A-share market has been weaker than expected. However, our research believes that the above unexpected shocks will soon pass, and with the U.S. CPI in April peak and the possible medium-term turnaround of the unemployment rate, which is currently at its peak U.S. tightening expectations will also be restored. It is expected that after the above-mentioned indicators fall one after another in May, U.S. bond interest rates are expected to end this mid-term upward trend, and A-shares will also pass the most difficult moment; the RMB exchange rate does exist under the short-term differences between China and the U.S. monetary policies. There is room for depreciation, but it does not necessarily correspond to international capital flows. It is recommended to deal with it calmly.
Technically, the market may still fluctuate in the 3060-3460 range and be at a low level in the short term.
Currently, the main board is facing a direct impact from many factors, including the epidemic, domestic and foreign liquidity, exchange rates, financial reports of listed companies, etc. We screen from the perspective of mid-term certainty of the impact and believe that the most core variable is still liquidity, just like last week’s RRR cut The market adjustment after being significantly lower than expected, but the rise in U.S. Treasury bond interest rates may have peaked, and Treasury bond interest rates still maintain a range of 2.7-2.9% in the short term. Therefore, looking at the recent trend of A-shares, valuations have been in extremely low sentiment, U.S. The debt shock will end around the end of April The end of the epidemic and the impact of the epidemic will be the last uncertain factors for the launch of A-shares. Based on the above, the end of April may be the last negative impact moment for A-shares. After the Fed’s 50BP interest rate hike during the May holiday and the effective control of this round of domestic epidemic, A-shares stocks may usher in a real After bottoming out, it is recommended to hold high positions in A-shares; the GEM is similar to the main board, and is more affected by the sentiment of U.S. monetary policy. It is expected that with the end of the recent peak in U.S. bond interest rates, it is expected to rebound as well, and it is recommended to maintain high positions unchanged. , maintaining balance in style.
The intensity of the RRR cut is lower than expected
However, the worst time for A-shares may be in the past
Fundamentals , the central bank maintained the MLF equal amount continuation in April, and cut the entire RRR by 25BP over the weekend , the above easing intensity is lower than our basic expectations, but considering the background of the US debt soaring by 20BP in a single week, the above operations still reflect the unshakable basic purpose of China's monetary policy, although overseas monetary policies have a negative impact on the domestic growth style. The impact on sentiment is huge, but U.S. inflation is about to peak, and we predict March 8.5% is expected to become the high point of U.S. inflation in this mid-cycle, and the psychological impact of additional interest rate hike expectations will stop there. We believe that the U.S. bond interest rate of 2.85% has reached a stage high, and is expected to be high in the next three months. Stabilizing at the above level, this impact on the valuation of domestic A-shares will also gradually In terms of corporate profits, due to the substantial losses of the real estate sector in the 2021 annual report, the bottom line of A-share profits will also be formed. We expect profits to bottom out in the upcoming quarterly report, although China's macro economy will still face a long period of The downward impact of overseas demand has been affected, but the worst for A-shares may be passing.
Technically, the Shanghai Composite fell below 3,200 points in the short term, forming a negative breakout. However, there were signs of stabilization in subsequent trading days last week, and the technical signals showed no significant long-short preference in the short term.
Although the current fundamentals are impacted, the valuation of A-shares has been significantly advanced. The peaking of U.S. bond interest rates may have completed the stabilization and recovery of A-share sentiment. The RRR cut is lower than expected, but it also has a stage-by-stage support effect. We revise down. With the strength of the rebound after 415 and the index target for the second quarter reaching 3,400 points, A-shares still have room for a moderate rebound. It is recommended to maintain high positions unchanged. Refer to the main board for the short-term trend of the GEM. The difference between the first-quarter results and the main board cycle may be narrowed. It is recommended to maintain high positions unchanged, but maintain a balanced style.
The Indian Summer of Risk Assets
Major Asset Allocation December Strategy Chapter
Commodities: There is a rebound demand for domestic industrial products, and a new round of gold rise is ready.
CRB Index: Domestic policies have shifted to stable growth, with reference to the 2019Q1 experience , there is rebound demand for domestic industrial products. Gold: High inflation and very narrow term interest rate spreads are the basis for gold’s mid-term rise. Due to serious inflation, the December interest rate meeting may make corresponding statements on this. Taking into account the characteristics of gold “buy expectations, sell facts”, gold’s new A rally is poised to take off.
Incremental funds are entering the market, and A-shares may rebound
Fundamentally, import and export prices are decreasing again, price data has accelerated, social financing growth has finally stabilized, and countercyclical policy controls have begun to control upstream industrial product prices , downstream real estate credit and other fields have achieved initial results. The capital market currently has a large gap in expectations for the real estate chain, and A shares are expected to have positive feedback.
Technically, there are signs of incremental funds entering , and the market is expected to start a pulse rebound after successfully bottoming out at 3448.
The current main board fundamentals show a shift in policy will for the first time. The countercyclical control policy has been verified by the macro data stage. The traditional bank real estate sector is expected to start the process of excess returns. Technically, there are signs of synchronized capital entry into the market. The short-term market is expected to bloom, but We should not be overly optimistic about sustainability. It is recommended to increase the main board position to a high position and actively participate in the short-term market rebound. Banking and real estate chains are key related areas. The performance of the GEM has not strengthened, but the overseas Nasdaq sentiment has driven the growth of A-shares to rebound. Considering the short-term momentum effect of incremental capital entry, it is recommended to temporarily increase the position to a high position to participate in the rebound, and maintain a balanced style for the time being.
A new round of inflation will continue to suppress the performance of technology growth
Basically, , unlike the inflation from February to July, this round of inflation comes more from the serious imbalance in the supply of some commodities caused by national policies, such as the increase in crude oil production at the OPEC meeting in the Middle East The non-strict implementation of the policy, as well as climate factors such as hurricanes in the U.S. Gulf of Mexico, have caused oil prices to hit US$80, and caused prices such as natural gas in related industrial chains to rise simultaneously. Western countries are facing a small energy crisis. Compared with the shortage of supply in the industrial chain caused by the epidemic from February to July, this round of crisis is more caused by strong administrative restrictions on production expansion and other reasons, and is more sudden. While the U.S. debt ceiling issue is still unresolved in October, global stock markets will face the double blow of tightening U.S. liquidity policies and rising prices of upstream raw materials, and the mid-term adjustment trend will continue.
Technically, , Hong Kong stocks continued their weak adjustment during the holidays and accumulated a 20% decline. Most Asian countries experienced significant adjustments, which may have a psychological demonstration effect on A-shares.
The current internal structural differentiation of the main board is related to the differentiation of the current economic situation. The weakening of demand is associated with an overall decline in profits. However, some petroleum and petrochemical industries have benefited from OPEC supply control and have experienced additional profits and performance. The Shanghai Stock Exchange has made overall adjustments but the extent is limited. The medium position remains unchanged. . The risk of US liquidity tightening faced by the GEM is more significant than that of the main board, and there are not many cyclical components in the sector. The decline in its third quarter results may exceed market expectations. It is recommended to maintain low position avoidance and continue to maintain the main board allocation in terms of style. priority.
Cycle guidance
After the Russia-Ukraine conflict, the U.S. recession and the "golden moment" for gold
Cycle guidance: The Russia-Ukraine conflict and soaring oil prices foreshadow the eve of the U.S. economic recession
If you look at the three oil crises in history, you can find some commonalities. It occurred near the low point of the U.S. unemployment cycle and the high point of the PMI, and the U.S. economy soon entered a recession. The connection between cycles and event shocks is not accidental. Before the three oil crises, the U.S. economy had already shown the late cycle characteristics of "unemployment rate accelerating downward + inflation accelerating upward". The end of the cycle is often accompanied by various risk events, and the oil crisis is a "crushing death". The last straw for the camel”.
Affected by the conflict between Russia and Ukraine, oil prices have risen by more than 24% since the beginning of the year. The current U.S. economy has entered a late cycle, the U6 unemployment rate has basically returned to pre-epidemic levels, and the U.S. CPI has soared to a 40-year high. Before the first oil crisis, the United States supported Israel in the Yom Kippur War, and this time the United States repeatedly provided arms to Ukraine. From a cyclical perspective, the Russia-Ukraine conflict may once again become a harbinger of recession in the United States. Pay close attention to the aftermath of the Russia-Ukraine conflict. If the conflict escalates further, it will once again confirm the law of the economic cycle. At the same time, our various leading U.S. economic models all point to With a similar conclusion, the probability that the U.S. economy will decline in the future cannot be underestimated.
Three reasons to be bullish on gold
The Federal Reserve has fallen significantly behind the curve, and short-term interest rates are easy to rise and difficult to lower. However, the second wave of economic downturn next year will push down long-term interest rates, and the yield curve will flatten. Yields may rise in the first half of next year. Signs of an inverted curve. Historically, when the yield curve inverts, gold mid-term buying points often appear, because the yield curve inversion generally indicates the risk of future economic recession and tightening will be difficult to sustain. For example, part of the yield curve began to invert at the end of 2018, and in 2019 the Federal Reserve Fully dovish, gold soared 18%.
35 EditorFinancial engineering major asset allocation and funds
CITIC Construction Investment Ace Research’s financial engineering team : Focus on quantitative fundamental timing, multi-factor stock selection and derivatives. As the pioneer and practitioner of the domestic quantitative fundamental system, the team has always adhered to the practical model of combining qualitative logic with quantitative research, and placing equal emphasis on academic research and market verification. New Fortune's 4th best analyst in 2009, 2012 4th, 2013 1st, 2014 3rd, etc.; Crystal Ball's 2009 best analyst, 2013's 1st, etc.; Wind Gold Medal Analyst 2018, 2nd.
CITIC Construction Investment’s Ace Research’s major asset allocation and fund team: Since 2016, the team has begun to focus on research work on major asset allocation and fund research. As the pioneer and practitioner of the domestic quantitative fundamental system, the team has always adhered to a practical research model that combines qualitative logic with quantitative research, and pays equal attention to academic research and market verification, focusing on building a top-down (from major asset allocation to fund Research), and has formed nearly 50 special research reports in this field. The views have remained highly independent and sharp for many years, and have been widely used in large-scale asset pricing analysis, asset allocation, fund screening, fund market analysis, etc. Deeply cultivated in all fields.
Disclaimer
This subscription account (WeChat ID:
China Securities Research) is the only official subscription account established in accordance with the law and independently operated by the Research and Development Department of China Securities Co., Ltd. (hereinafter referred to as "China Securities").
The content contained in this subscription account is only for institutional professional investors that comply with the "Measures for the Suitability Management of Securities and Futures Investors".
CITIC Construction Investment will not regard the subscriber as a customer of CITIC Construction Investment due to any behavior of subscribing or receiving the content of this subscription account.
This subscription account is not a publishing platform for CITIC Construction Investment’s research reports. The content contained in it comes from CITIC Construction Investment’s officially released research reports or the tracking and interpretation of the reports. If subscribers use the information contained therein, they may suffer consequences. Lack of understanding of the complete report leads to misunderstanding of key assumptions, ratings, target prices, etc.
reminds subscribers to refer to the complete securities research report released by CITIC Construction Investment, carefully read the attached statements, information disclosure matters and risk warnings, pay attention to the relevant analysis and key assumptions that the forecast can be established, and pay attention to investment ratings and securities The forecast time period of the target price and accurately understand the meaning of the investment rating.
CITIC Construction Investment does not make any express or implied guarantee as to the accuracy, reliability, timeliness and completeness of the information contained in this subscription account.
The information, opinions, etc. in this subscription account only represent the judgment of the source securities research report on the day when it is released. The relevant research opinions may be changed without notice based on subsequent securities research reports released by CITIC Construction Investment.
CITIC Construction Investment’s sales staff, traders and other professionals may express orally or in writing market comments and/or opinions that are inconsistent with the information in this subscription account based on different assumptions and standards and using different analysis methods.
The content published by this subscription account is not an investment decision-making service and does not constitute any investment advice for the audience who receives the content of this subscription account under any circumstances.
subscribers should fully understand various investment risks, make investment decisions independently based on their own circumstances and bear the investment risks themselves. Any decisions made by
subscribers based on the content of this subscription account have nothing to do with CITIC Construction Investment or the relevant authors.
The content published by this subscription account is owned only by CITIC Construction Investment.
Without the prior written permission of CITIC Construction Investment, no institution and/or individual may forward, reproduce, copy, publish or quote all or part of the content published in this subscription account in any form, nor may it be published without CITIC Construction Investment's written authorization. Any institution, individual or media platform operated by them receives, reproduces, copies or quotes all or part of the content published by this subscription account.
All rights reserved. Violators will be prosecuted.
