基金投顾产品月报系列（20）：基金投顾产品7月调仓一览-20250805

Quantitative Models and Construction Methods Model 1: Industry Rotation Model - Model Name: Industry Rotation Model - Model Construction Idea: The model aims to capture excess returns by rotating investments across different industries based on their performance trends - Model Construction Process: - Identify industry sectors with strong performance trends - Allocate investments to these sectors while reducing exposure to underperforming sectors - Monitor and adjust the portfolio periodically to maintain optimal sector allocation - Model Evaluation: The model has shown to perform well in capturing excess returns by timely rotating across industries[11][13][17] Model 2: Macro-Driven Model - Model Name: Macro-Driven Model - Model Construction Idea: This model leverages macroeconomic indicators to guide investment decisions - Model Construction Process: - Analyze macroeconomic data such as GDP growth, inflation rates, and employment figures - Adjust portfolio allocations based on the expected impact of these indicators on different asset classes - Continuously update the model with new macroeconomic data to refine investment decisions - Model Evaluation: The model has demonstrated effectiveness in aligning investments with macroeconomic trends, leading to favorable returns[11][13] Model Backtesting Results - Industry Rotation Model: - Absolute return in July: 5.85%[13] - One-year return: 30%[17] - Macro-Driven Model: - Absolute return in July: 3.99%[13] - One-year return: 25%[17] Quantitative Factors and Construction Methods Factor 1: Duration Extension - Factor Name: Duration Extension - Factor Construction Idea: Increase the duration of bond holdings to enhance returns in a declining interest rate environment - Factor Construction Process: - Identify bonds with longer maturities - Increase the allocation to these bonds while reducing exposure to shorter-term bonds - Monitor interest rate trends and adjust the duration accordingly - Factor Evaluation: This factor has been effective in enhancing returns during periods of declining interest rates[4][28][32] Factor 2: Equity Allocation Adjustment - Factor Name: Equity Allocation Adjustment - Factor Construction Idea: Adjust the allocation between equity and debt based on market conditions - Factor Construction Process: - Increase equity allocation during bullish market conditions - Reduce equity allocation and increase debt holdings during bearish market conditions - Continuously monitor market indicators to adjust allocations - Factor Evaluation: This factor has shown to improve portfolio performance by dynamically adjusting to market conditions[5][34][37] Factor Backtesting Results - Duration Extension: - Increase in duration for pure bond products: 0.10 years[32] - Increase in duration for fixed income plus products: 0.05 years[32] - Equity Allocation Adjustment: - Increase in equity allocation for mixed bond products: 1.74%[36] - Increase in equity allocation for stock products: 0.97%[36]