宏观资产配置三维金字塔：历史数据复盘——大类资产配置研究（下篇）

Core Viewpoint - The report establishes a tactical analysis framework based on the eight-stage classification of the economic cycle and financial conditions, providing a structured basis for understanding asset performance under different macroeconomic states [2][5][11]. Group 1: Tactical Analysis Framework - The Economic Cycle Index (RECI) quantifies the internal trends of the economy, indicating whether the economy is in an upward or downward phase [6]. - The Financial Conditions Index (FCI) quantifies the degree of financial environment tightness, categorizing it into four states: easing reinforcement, easing convergence, tightening reinforcement, and tightening convergence [9]. - The combination of RECI and FCI allows for the classification of the macroeconomic environment into eight typical stages, aiding in the understanding of asset performance under varying economic conditions [11][12]. Group 2: Asset Performance Review - The report systematically reviews the performance of major asset classes (stocks, bonds, and commodities) from June 2005 to August 2025, using the established eight-stage framework [2][11]. - Historical performance aligns with theoretical expectations in most stages, such as the "economic upturn + financial easing reinforcement" phase, where the asset ranking is "stocks > commodities > bonds > cash" [3][14]. - However, some stages exhibit systematic deviations, such as the "economic downturn + financial easing reinforcement" phase, where commodities outperformed bonds due to pre-priced easing expectations in the bond market [4][27]. Group 3: Historical Backtesting - Historical backtesting shows that during the "economic upturn + financial easing convergence" phase, commodities and stocks outperform cash and bonds, as seen in the period from June 2020 to February 2021 [19][18]. - The "economic downturn + financial tightening convergence" phase typically results in a ranking of "bonds > stocks > cash > commodities," as evidenced in the second quarter of 2014 [43]. - The report emphasizes the need for dynamic application of the framework, incorporating structural economic variables to enhance predictive accuracy [4].