2025年9月大类资产配置月报：Q4：看好金铜共振-20250904

Quantitative Models and Construction 1. Model Name: Macro Scoring Model - Model Construction Idea: The model evaluates macroeconomic factors to generate scores for various asset classes, reflecting their relative attractiveness under current macroeconomic conditions [16][18]. - Model Construction Process: - The model incorporates global macroeconomic factors such as global monetary conditions, global inflation, and global economic sentiment. - Each factor is scored based on its current trend (e.g., uptrend or downtrend) and its historical relationship with asset performance. - The scores are aggregated to produce a final macro score for each asset class, including equities, commodities, and bonds [16][18]. - Model Evaluation: The model is effective in identifying asset classes with higher expected returns under specific macroeconomic conditions. For example, it currently favors commodities like copper and gold over equities due to the upward trend in global inflation and monetary easing [16][18]. 2. Model Name: US Equity Timing Model - Model Construction Idea: This model assesses the timing for US equity investments based on macroeconomic and market-specific indicators [19]. - Model Construction Process: - The model uses three sub-indicators: economic sentiment, capital flows, and financial stress. - Each sub-indicator is scored, and the aggregated score determines the model's outlook (e.g., bullish, neutral, or bearish) for US equities [19]. - Model Evaluation: The model has shifted its outlook to "bullish" due to improving economic sentiment and capital flows, suggesting a favorable environment for US equities [19]. 3. Model Name: Gold Timing Model - Model Construction Idea: This model evaluates the timing for gold investments based on fiscal and inflationary conditions [21]. - Model Construction Process: - The model incorporates indicators such as fiscal deficit expansion, inflation trends, and central bank policies. - The latest reading of the timing indicator is -0.53, reflecting a cautious signal. However, the model acknowledges potential distortions due to lagging data on fiscal expansion [21]. - Model Evaluation: Despite the cautious signal, the model suggests that gold remains a strong investment under the anticipated fiscal deficit expansion and rising inflation [21]. 4. Model Name: Crude Oil Timing Model - Model Construction Idea: This model predicts crude oil price trends based on macroeconomic and market-specific factors [26]. - Model Construction Process: - The model uses a "Crude Oil Sentiment Index," which aggregates factors such as demand, inventory levels, the US dollar index, investor expectations, and macroeconomic risks. - The latest index reading is 0.56, indicating a positive outlook for crude oil prices [26][27]. - Model Evaluation: The model maintains a bullish view on crude oil, supported by improving demand and reduced macroeconomic risks [26][27]. --- Backtesting Results of Models 1. Macro Scoring Model - Copper: When the macro score for copper reaches 4, the next month's annualized return for LME copper is 29% [12][16]. - Gold: The model indicates a positive outlook for gold under current macroeconomic conditions, though specific return metrics are not provided [16][18]. 2. US Equity Timing Model - Outlook: The model has upgraded its view on US equities to "bullish," supported by improving economic sentiment and capital flows [19]. 3. Gold Timing Model - Indicator Value: The latest timing indicator value is -0.53, signaling caution, though the model suggests potential upside due to fiscal and inflationary trends [21]. 4. Crude Oil Timing Model - Indicator Value: The Crude Oil Sentiment Index is at 0.56, reflecting a positive outlook for crude oil prices [26][27]. --- Quantitative Factors and Construction 1. Factor Name: Global Monetary Factor - Factor Construction Idea: Tracks global monetary policy trends to assess their impact on asset prices [16]. - Factor Construction Process: - The factor is derived from central bank policy rates, liquidity measures, and monetary easing/tightening cycles. - It is used as an input in the macro scoring model to evaluate the attractiveness of risk assets [16]. 2. Factor Name: Global Inflation Factor - Factor Construction Idea: Measures global inflationary pressures and their implications for asset performance [16]. - Factor Construction Process: - The factor aggregates inflation data from major economies and evaluates its trend (e.g., accelerating or decelerating). - It is used to assess the relative attractiveness of inflation-sensitive assets like commodities [16]. 3. Factor Name: Economic Sentiment Factor - Factor Construction Idea: Captures the overall economic sentiment to predict asset class performance [19]. - Factor Construction Process: - The factor is based on leading indicators such as PMI data, new orders, and consumer confidence indices. - It is a key input in the US equity timing model [19]. --- Backtesting Results of Factors 1. Global Monetary Factor - Impact: The upward trend in this factor supports a positive outlook for risk assets, particularly commodities [16]. 2. Global Inflation Factor - Impact: The rising trend in this factor favors inflation-sensitive assets like copper and gold [16]. 3. Economic Sentiment Factor - Impact: The improvement in this factor supports a bullish outlook for US equities [19].