Group 1 - Economic indicators continue to weaken, and the allocation style remains growth-oriented. The quantitative indicators suggest that the economy is declining, liquidity is neutral to loose, and credit indicators are improving. The micro mapping shows that economic (profit expectations) continues to be weak, while credit is improving. The revised direction indicates economic downturn, tight liquidity, and improved credit, consistent with the previous period. Due to the significant divergence between liquidity and credit, the focus is on factors that are insensitive to the economy but sensitive to credit, maintaining a growth-oriented stock pool allocation style [4][7][9] - The macro asset allocation viewpoint suggests increasing bond positions. Given the current indicators, with the economy declining, liquidity tightening, and credit remaining favorable, the outlook for equities is slightly bearish, leading to a minor reduction in A-share positions. The trend for bonds has improved, with an increase in government bond positions and a reduction in US stock positions to zero [4][31] - The economic leading indicators are entering a declining phase. The updated economic leading indicator model indicates that June 2025 is at the beginning of a decline cycle, which is expected to continue [13][15] Group 2 - Liquidity is showing signs of recovery. In May, interest rates remained stable, with short-term rates slightly exceeding the 12-month average, while long-term rates are still significantly distant from the average. The monetary supply data has rebounded, signaling a return to a neutral stance, although the excess reserve ratio remains low, indicating that overall liquidity has returned to a slightly loose state [24][28][26] - Credit indicators are weak across various dimensions. In the second half of 2024, credit indicators are expected to remain low, with the total social financing stock showing a year-on-year increase for five consecutive months, maintaining a high level of comprehensive credit indicators [29] - The market focus remains on liquidity. Since 2023, credit and inflation have garnered significant attention, but recently liquidity has become the most scrutinized variable, particularly following the market rally at the end of September, indicating that the current market is heavily driven by liquidity [33] Group 3 - In terms of industry selection from a macro perspective, the report indicates a preference for industries that are insensitive to economic fluctuations but sensitive to credit conditions. The analysis suggests that these industries possess growth attributes, leading to a higher overall growth characteristic in the selected industries [34] - The report identifies the top industries based on their sensitivity to economic and credit conditions. The industries with the highest scores for being economically insensitive and credit-sensitive include electronics, media, and personal care, among others [34]
量化资产配置月报:经济指标继续转弱,配置风格仍偏成长-20250602
Shenwan Hongyuan Securities·2025-06-02 14:13