7月风格轮动观点：资金博弈重归成长-20250704

Quantitative Models and Construction Methods 1. Model Name: High-Growth and Dividend Rotation Timing Model - Model Construction Idea: The model aims to identify effective timing signals for rotating between high-growth and dividend strategies based on macroeconomic and market indicators[9]. - Model Construction Process: 1. At the end of each month, the model selects effective signals from single-factor tests, including term spread, social financing growth, CPI and PPI quadrants, US Treasury yields, and capital flow indicators (ETF, insurance funds, foreign capital)[9]. 2. Each indicator provides a signal to either buy high-growth or dividend strategies. 3. The average score of these signals is used as the final score for allocation decisions[9]. - Model Evaluation: The model demonstrates a "defensive and offensive" characteristic, balancing risk and return by maintaining a 60% defensive dividend base and 40% growth allocation during volatile market conditions[9]. --- Model Backtesting Results 1. High-Growth and Dividend Rotation Timing Model - Cumulative Return: 259.92% - Annualized Return: 14.91% - Maximum Drawdown: 27.08% - Annualized Volatility: 23.16% - Annualized Sharpe Ratio: 0.64 - Calmar Ratio: 0.55[6] --- Quantitative Factors and Construction Methods 1. Factor Name: Term Spread - Factor Construction Idea: Reflects fixed-income market investors' expectations of future economic growth. A declining or low term spread is unfavorable for high-growth styles[13]. - Factor Construction Process: 1. Calculate the difference between 10-year and 1-year government bond yields. 2. For June 2025, the 1-year yield was 1.34% (down from 1.46% in May), and the 10-year yield was 1.65% (down from 1.67% in May). 3. The term spread for June 2025 was 0.31, up from 0.22 in May[13]. 2. Factor Name: Social Financing Growth - Factor Construction Idea: Serves as a leading macroeconomic indicator. Higher corporate financing demand indicates economic recovery expectations, supporting high-growth styles[13]. - Factor Construction Process: 1. Use the year-over-year growth rate of the total social financing stock. 2. For May 2025, the growth rate was 8.7%, unchanged from the previous month, continuing its marginal improvement since bottoming out in October 2024[13]. 3. Factor Name: CPI and PPI Quadrants - Factor Construction Idea: Timing effectiveness is higher than the CPI-PPI spread. When CPI and PPI rise simultaneously, especially when CPI rises faster, it indicates strong downstream demand and economic growth, favoring high-growth styles[16]. - Factor Construction Process: 1. Analyze CPI and PPI year-over-year changes. 2. For May 2025, CPI was -0.1% (unchanged from April), and PPI was -3.3% (down from -2.7% in April), indicating continued deflation and favoring dividend styles[16]. 4. Factor Name: US Treasury Yields - Factor Construction Idea: Rising US Treasury yields lead to foreign capital outflows and reduced global risk appetite, negatively impacting high-growth sectors with high valuations[16]. - Factor Construction Process: 1. Monitor the 10-year US Treasury yield. 2. As of June 2025, the yield remained at a high level of 4.35%, suppressing growth styles[16]. 5. Factor Name: Capital Flow Indicators - Factor Construction Idea: Reflects foreign capital's willingness to flow into the domestic market, influenced by factors like the USD index, RMB offshore exchange rate, and CDS spreads[17]. - Factor Construction Process: 1. Construct a composite index using the USD index, RMB offshore exchange rate, and CDS spreads. 2. A stronger USD, weaker RMB, and wider CDS spreads indicate reduced foreign capital inflow willingness[17]. --- Factor Backtesting Results 1. Term Spread - June 2025 Value: 0.31 (up from 0.22 in May)[13] 2. Social Financing Growth - May 2025 Value: 8.7% (unchanged from April)[13] 3. CPI and PPI Quadrants - May 2025 CPI: -0.1% (unchanged from April) - May 2025 PPI: -3.3% (down from -2.7% in April)[16] 4. US Treasury Yields - June 2025 Yield: 4.35% (remained at a high level)[16] 5. Capital Flow Indicators - June 2025 Observation: Foreign capital inflow willingness improved due to reduced ETF dividend net buying and increased foreign capital inflows[9][17]