高维宏观周期驱动风格、行业月报（2025、8）：优选小盘、红利风格-20250908

Group 1 - The report emphasizes the construction of a high-dimensional macroeconomic factor system to analyze the impact of macroeconomic variables on asset prices and to predict future price movements of broad indices and styles [2][8][9] - The current macroeconomic situation is characterized by a weak recovery, with GDP growth maintaining at a high level of 5.2% and industrial production showing stability, while credit and inventory indicators are weakening [17][20][23] - The report recommends a focus on small-cap and dividend styles due to marginal improvements in liquidity and the current economic environment, suggesting a cautious allocation strategy [17][23][36] Group 2 - The broad index timing strategy constructed from macro variables has achieved an annualized return of 16.34% since January 2012, outperforming the industry by 10.52% [3][29] - The dividend index timing strategy has yielded an annualized return of 11.12% over the same period, exceeding the industry by 8.67%, indicating a favorable environment for dividend strategies [3][36] - The style rotation strategy has produced an annualized return of 13.89% since September 2014, outperforming equal-weighted styles by 7.43%, highlighting the effectiveness of macro variable combinations in predicting style performance [3][47]