FOF和资产配置月报：关税让位地缘和基本面，哑铃配置保持轮动思维-20250624

Quantitative Models and Construction Methods 1. Model Name: Rotation Timing Model for High Growth and Dividend Strategies - Model Construction Idea: The model aims to determine the optimal allocation between high-growth and dividend strategies based on effective single-factor signals, such as term spreads, social financing growth, CPI & PPI quadrants, US bond yields, and capital flow dynamics. [56] - Model Construction Process: - At the end of each month, the model selects effective signals from single-factor tests: term spreads, social financing growth, CPI & PPI quadrants, US bond yields, and capital flow indicators (ETF, insurance funds, foreign capital). - Each factor provides a buy signal for either high-growth or dividend strategies. - The average score across all factors is used as the final allocation signal. - Example: Rapid narrowing of term spreads, continued negative growth in CPI & PPI, and high volatility in 10-year US bond yields support a preference for dividend strategies. [56] - Model Evaluation: The model effectively captures shifts in market dynamics and provides actionable allocation signals. [56] --- Model Backtesting Results 1. Rotation Timing Model - Annualized Return: +14.86% - Excess Annualized Return (vs. Benchmark): +11.90% - Performance Period: From September 2024, the model shifted to growth allocation driven by capital flows, while in October, it signaled a return to dividend strategies due to market volatility. [56] --- Quantitative Factors and Construction Methods 1. Factor Name: Fear and Greed Index - Factor Construction Idea: This index aggregates seven market behavior indicators, including market momentum, stock price strength, stock price breadth, put-call options, junk bond demand, market volatility, and safe-haven demand. It measures the overall sentiment of fear or greed in the market. [19] - Factor Construction Process: - Each component is calculated individually and normalized. - The aggregated score is used to determine the market's sentiment level, with higher values indicating greed and lower values indicating fear. [19] 2. Factor Name: Gold Timing Indicators - Factor Construction Idea: These indicators assess gold's short-term and medium-term investment value based on macroeconomic and technical factors. [23][26] - Factor Construction Process: - Macroeconomic Indicators: - Commercial bank total liabilities (monthly data, 25 trading days lag). - Economic policy uncertainty index (30-day moving average). - CFTC gold speculative net long positions (weekly data, 6 trading days lag). - Central bank gold purchases (monthly data, 6 trading days lag). - Technical Indicators: - MAMA (Moving Average Convergence Divergence) with parameters fastlimit=0.1 and slowlimit=0.01. [23][26] --- Factor Backtesting Results 1. Fear and Greed Index - Latest Value: 53.51, indicating limited upside potential in the US stock market. [19] 2. Gold Timing Indicators - Commercial Bank Total Liabilities: Positive correlation (+1). - Economic Policy Uncertainty Index: Positive correlation (+1). - CFTC Gold Speculative Net Long Positions: Latest value: 36,140, positive correlation (+1). - Central Bank Gold Reserves: Latest value: 7,383 ounces, positive correlation (+1). - Technical Indicator (MAMA): Indicates continued bullish momentum for gold. [23][26][28]