基于宏观风险因子的大类资产轮动模型绩效月报20250531-20250610

Quantitative Models and Construction Methods Model Name: Macro Risk Factor-Based Asset Rotation Model - Model Construction Idea: The model utilizes macroeconomic risk factors to guide asset allocation decisions, aiming to optimize returns while controlling risks[5][8]. - Model Construction Process: 1. Macro Risk Factor System: Six macro risk factors are constructed using economic growth, inflation, interest rates, exchange rates, credit, and term spread indicators[8]. 2. Investment Clock: The model incorporates the "growth-inflation clock" and "interest rate-credit clock" to understand asset performance under different macroeconomic conditions[9][10][11]. 3. Phase Judgment Method: The model uses factor momentum and phase judgment methods to identify macroeconomic turning points[16][17][21][22]. 4. Asset Rotation Model: Combining the investment clock and phase judgment methods, the model adjusts asset allocation based on current macroeconomic conditions[23][24]. 5. Backtesting Period: The model is backtested from January 2011 to December 2023[25]. 6. Performance Metrics: The model's performance is evaluated using total return, annualized return, annualized volatility, Sharpe ratio, maximum drawdown, and win rate[27]. - Model Evaluation: The model demonstrates excellent performance in terms of returns, risk control, and drawdown management, achieving nearly 10% annualized returns with controlled risk exposure[27]. Model Backtesting Results - Macro Risk Factor-Based Asset Rotation Model: - Total Return: 242.45%[27] - Annualized Return: 9.93%[27] - Annualized Volatility: 6.83%[27] - Sharpe Ratio: 1.45[27] - Maximum Drawdown: 6.31%[27] - Win Rate: 73.08%[27] Quantitative Factors and Construction Methods Factor Name: Macro Risk Factors - Factor Construction Idea: The factors are designed to capture various aspects of the macroeconomic environment, providing a comprehensive risk perspective[8]. - Factor Construction Process: 1. Economic Growth: Constructed using industrial added value, PMI, and retail sales growth, processed with HP filtering and weighted by volatility inverse[8]. 2. Inflation: Constructed using PPI and CPI growth, processed with HP filtering and weighted by volatility inverse[8]. 3. Interest Rates: Constructed using bond indices and money market fund indices, weighted equally[8]. 4. Exchange Rates: Constructed using gold prices in Shanghai and London, forming an equal-weighted long-short portfolio[8]. 5. Credit: Constructed using corporate bond and government bond indices, forming a duration-neutral portfolio[8]. 6. Term Spread: Constructed using short-term and long-term bond indices, forming a duration-neutral portfolio[8]. - Factor Evaluation: The factors provide a detailed and comprehensive view of macroeconomic risks, aiding in better asset allocation decisions[8]. Factor Backtesting Results - Economic Growth Factor: Upward trend[36] - Inflation Factor: Downward trend[36] - Interest Rate Factor: Tight interest rate, loose credit[36] - Credit Factor: Downward trend[36] - Exchange Rate Factor: Downward trend[36] - Term Spread Factor: Downward trend[36] Monthly Performance Review (May 2025) - Model Performance: - Monthly Return: -0.29%[30] - Benchmark Return: 0.3%[30] - Excess Return: -0.6%[30] - Asset Allocation: - Large Cap Stocks: 5.3%[34] - Small Cap Stocks: 3.01%[34] - Bonds: 69.95%[34] - Commodities (excluding gold): 12.84%[34] - Gold: 8.9%[34] Next Month's Allocation Suggestion (June 2025) - Model Allocation: - Large Cap Stocks: 1.91%[35] - Small Cap Stocks: 0.96%[35] - Bonds: 88.54%[35] - Commodities (excluding gold): 2.79%[35] - Gold: 5.81%[35] - Risk Allocation: - Large Cap Stocks: 0.06[35] - Small Cap Stocks: 0.06[35] - Bonds: 4[35] - Commodities (excluding gold): 0.125[35] - Gold: 1[35]