绝对收益产品及策略周报（20250603-20250606）：上周467只固收+基金创新高-20250611

• The report introduces a macro timing model called "Countercyclical Allocation Model" which predicts macroeconomic environments using proxy variables. For Q2 2025, the model forecasts an "Inflation" environment, with asset returns as follows: CSI 300 (-0.34%), CSI 2000 (0.75%), Nanhua Commodity (-5.60%), and ChinaBond National Debt Total Wealth Index (1.43%) [20][26][33] - A "Macro Momentum Model" is constructed for monthly timing signals, incorporating factors such as economic growth, inflation, interest rates, exchange rates, and risk sentiment. This model is used for timing stock, bond, and gold allocations. For June 2025, returns are CSI 300 (0.88%), ChinaBond National Debt Total Wealth Index (0.23%), and AU9999 gold contract (1.60%) [20][26][33] - The "Industry ETF Rotation Strategy" is based on multi-factor models including historical fundamentals, expected fundamentals, sentiment, technical price-volume factors, and macroeconomic indicators. It matches ETFs with 23 primary industry benchmarks and constructs a rotation strategy. For June 2025, the recommended ETFs are: CSI Securities ETF (512880.SH), CSI Semiconductor ETF (512480.SH), CSI Banking ETF (512800.SH), and CSI Consumer ETF (159928.SZ), each with a 25% weight. Weekly and monthly returns are 1.66% with an excess return of 0.05% over Wind All A Index [21][23][24] - The "Absolute Return Strategy" includes several configurations: - Macro Timing-based "Stock-Bond 20/80 Rebalancing Strategy" with weekly return 0.34%, YTD return -0.52%, annualized volatility 3.03%, max drawdown 1.78%, and Sharpe ratio -0.40 [25][26][27] - Macro Timing-based "Stock-Bond Risk Parity Strategy" with weekly return 0.25%, YTD return 0.14%, annualized volatility 1.81%, max drawdown 1.50%, and Sharpe ratio 0.18 [25][26][27] - Macro Timing-based "Stock-Bond-Gold Risk Parity Strategy" with weekly return 0.37%, YTD return 0.91%, annualized volatility 2.27%, max drawdown 1.49%, and Sharpe ratio 0.95 [25][26][28] - Macro Timing + Industry ETF Rotation-based "Stock-Bond 20/80 Rebalancing Strategy" with weekly return 0.45%, YTD return -0.30%, annualized volatility 3.38%, max drawdown 1.64%, and Sharpe ratio -0.21 [25][26][31] - Macro Timing + Industry ETF Rotation-based "Stock-Bond Risk Parity Strategy" with weekly return 0.29%, YTD return 0.27%, annualized volatility 1.87%, max drawdown 1.45%, and Sharpe ratio 0.33 [25][26][31] - The "Quantitative Fixed Income Plus Strategy" includes stock-side factors such as PB profitability, high dividend yield, small-cap value, and small-cap growth. Performance metrics are as follows: - Non-timing 10/90 monthly rebalancing: PB profitability (YTD 1.43%), high dividend yield (YTD 0.95%), small-cap value (YTD 3.15%), small-cap growth (YTD 2.89%) [33][35][36] - Non-timing 20/80 monthly rebalancing: PB profitability (YTD 2.22%), high dividend yield (YTD 1.26%), small-cap value (YTD 5.71%), small-cap growth (YTD 5.16%) [33][35][36] - Macro Timing 20/80 monthly rebalancing: PB profitability (YTD 2.12%), high dividend yield (YTD 1.49%), small-cap value (YTD 3.40%), small-cap growth (YTD 3.31%) [33][35][38] - Countercyclical 20/80 quarterly rebalancing: PB profitability + small-cap value (YTD 2.22%), PB profitability + small-cap growth (YTD 2.22%) [33][35][38]