建筑装饰指数偏离修复模型效果点评

Group 1 - The core viewpoint of the report is that the model assumes a cyclical pattern of price deviation and regression relative to a benchmark, with the degree of deviation having limits, allowing for strategic buying when prices approach these limits [5][6]. - The model is designed to evaluate the performance of the Shenwan Level 1 Construction Decoration Index relative to the CSI 300 Index, using a statistical approach to identify thresholds for buying and selling signals [5][6]. - The total return of the strategy during the evaluation period was -9.92%, while the buy-and-hold return for the benchmark was -14.66%, indicating an excess return of 4.74% [5]. Group 2 - The model's effectiveness was assessed over a tracking period from January 4, 2010, to March 18, 2025, with significant fluctuations observed in the mid-term, suggesting that the strategy may not hold value for the construction decoration index under current market conditions [6]. - The maximum drawdown recorded was 64.02%, with the longest drawdown period lasting 1816 trading days, highlighting the potential volatility and risk associated with the strategy [5][6].