从宏观预期到权益配置思路：普林格周期资产配置的拓展

• Pring Cycle and its construction - Model Name: Pring Cycle - Construction Idea: The Pring Cycle divides the economy and market into six stages based on the rotation performance of stocks, bonds, and commodities, helping investors adapt to different economic environments [13][16][17] - Construction Process: 1. Stage Division: - Stage 1: Recovery Early Phase - Bonds perform best, stocks slightly rise, commodities remain flat - Stage 2: Recovery Acceleration - Stocks lead, bonds weaken - Stage 3: Expansion Peak - Commodities start rising, stock growth slows, bonds decline - Stage 4: Overheat Phase - Commodities perform best, stocks decline, bonds remain flat or slightly drop - Stage 5: Growth Slowdown - Bonds improve, stocks and commodities weaken - Stage 6: Recession Phase - Bonds perform best, stocks rebound slightly, commodities perform worst [16][17][18] 2. Historical validation of Pring Cycle stages and their corresponding market performances [18] - Evaluation: Pring Cycle provides forward-looking insights by extracting "implied economic expectations" from market variables like prices, interest rates, and commodities, reflecting the broad economic direction [47] - Macro Trend Signal (TS) and its construction - Factor Name: Trend Score (TS) - Construction Idea: TS is built using monthly macroeconomic data to reflect real economic activities, corporate profits, and liquidity trends, offering a stable and cross-industry consistent confirmation signal [47] - Construction Process: 1. Factor Selection: Core macro factors include PMI New Orders, PPI YoY/MoM, M1 YoY, and M2 YoY, representing demand, profitability, and liquidity [26][29][30] 2. Standardization: Apply 12-month rolling Z-score to each factor for comparability [33] 3. Weighted Aggregation: Combine Z-scores using normalized weights to derive monthly raw TS [33] 4. EWMA Smoothing: Apply EWMA (α=0.5) to stabilize TS and clarify trend segments [33] 5. Anti-Jump Rule: Use 60-period rolling distribution with dual thresholds (35/65 outer, 45/55 inner) to classify TS into "Cautious/Neutral/Positive" states, ensuring stable macro state transitions [34] 6. Practical Application: Extend monthly TS to daily frequency with a 15-day lag for real-time use [33] - Evaluation: TS complements Pring Cycle by providing confirmation signals from the fundamental side, enhancing reliability and cross-industry consistency [47] - Backtesting Results for Models and Factors - Pring Cycle: Historical validation shows that recovery and positive macro signals yield the strongest positive returns across industries, with recovery > overheat > recession in certainty [45][47] - Macro Trend Signal (TS): Positive TS signals outperform cautious and neutral states, with clear positive effects on market returns [45][47] - Combined Strategy: The Pring Cycle and TS framework consistently outperform benchmarks like CSI 300 in most years, with stable long-term excess returns and controlled drawdowns [56][59] - Performance Metrics for Macro States - CSI 300: - Cautious: Recovery 2.24%, Recession -0.08%, Overheat 0.50% - Neutral: Recovery 0.23%, Recession -2.50%, Overheat 6.21% - Positive: Recovery 2.74%, Recession 0.34%, Overheat 1.29% [41] - CSI 2000: - Cautious: Recovery 4.42%, Recession -1.06%, Overheat -0.16% - Neutral: Recovery 2.85%, Recession -0.54%, Overheat -3.76% - Positive: Recovery 3.14%, Recession 0.37%, Overheat 1.77% [42] - Growth Enterprise Index: - Cautious: Recovery 3.69%, Recession -0.67%, Overheat -2.90% - Neutral: Recovery -0.97%, Recession -1.64%, Overheat 1.62% - Positive: Recovery 4.31%, Recession 2.95%, Overheat 0.51% [43] - Low Volatility Dividend Index: - Cautious: Recovery 2.13%, Recession 0.76%, Overheat 0.60% - Neutral: Recovery -0.69%, Recession -3.12%, Overheat 8.05% - Positive: Recovery 1.51%, Recession 1.42%, Overheat 1.86% [44] - Sector Performance under Macro States - Positive-Recovery: Sectors like New Energy, Basic Chemicals, Consumer Services, and Growth Enterprise Index show strong returns [60][62] - Positive-Overheat: Sectors like Electronics, Basic Chemicals, Electric Equipment, and Nonferrous Metals exhibit sustained performance, shifting towards cyclical sectors [63][64] - Risk-Adjusted Returns: Manufacturing chains (e.g., Chemicals, Nonferrous Metals) maintain mid-to-high rankings across all macro states, while defensive sectors (e.g., Food & Beverage, Banks) dominate during downturns [64][66] - Strategy Effectiveness - The combined Pring Cycle and TS framework systematically captures trends and filters noise, demonstrating long-term executability and adaptability to macroeconomic changes [56][59]