FOF和资产配置月报：风险逐级探明，布局春季行情-20251224

• The report does not contain any specific quantitative models or factors for analysis. It primarily focuses on macroeconomic trends, asset allocation strategies, and market observations[1][2][4]. - The report discusses the performance of various asset classes, including equities, bonds, commodities, and currencies, but does not provide detailed quantitative factor construction or modeling processes[10][11][12]. - It highlights the seasonal effects and market trends, such as the spring rally in Hong Kong and A-shares markets, but does not delve into quantitative factor testing or modeling[38][39][63]. - The report mentions a rotation timing model for high-growth and dividend strategies, which uses indicators like term spreads, social financing growth, CPI, PPI, U.S. bond rates, and fund flows. However, it does not provide detailed formulas or construction processes for these indicators[59]. - The rotation strategy achieved an annualized return of +17.54%, outperforming the benchmark by +11.77%, with a current allocation recommendation of 60% dividend and 40% growth[59]. - Seasonal effects are noted, such as small-cap stocks outperforming in February and March, while large-cap stocks dominate in April and December[63]. - The report provides market sentiment analysis, including institutional buying intentions and external capital flows, but does not include quantitative factor testing or modeling[51][54]. - Industry performance is discussed, with a focus on sectors like TMT, AI, and industrial metals, but no quantitative models or factors are detailed[64][67]. - The report includes valuation metrics for indices like the S&P 500, Nasdaq, and Shanghai Composite, but does not provide quantitative factor construction or testing[26][47][48]. - The report does not contain specific quantitative models or factors for analysis, nor does it provide formulas or detailed construction processes for any mentioned strategies or observations[1][2][4].