量化资产配置月报202602：低波因子表现回归、形成共振-20260202

Group 1 - The report indicates a return of the low volatility factor, forming a resonance with macroeconomic indicators showing a weakening economy, slightly loose liquidity, and a contraction in credit [2][5][8] - The report emphasizes the selection of factors that are insensitive to economic conditions, sensitive to liquidity, and insensitive to credit, with a focus on low volatility factors in the CSI 300 and small-cap stocks in the CSI 500 [5][9] - The overall asset allocation viewpoint suggests a slight allocation to US stocks, with a neutral stance on A-shares and a positive outlook on gold despite recent declines [29][30] Group 2 - Economic leading indicators maintain a downward judgment, with the PMI and new orders showing declines, indicating the economy is in an early stage of a downward cycle since December 2025 [12][18] - Liquidity is assessed as slightly loose, with short-term interest rates declining and monetary supply showing a neutral signal, while excess reserves continue to decrease [21][26] - Credit indicators show a widening credit spread and weakening credit price indicators, with a general decline in comprehensive credit indicators [27] Group 3 - The market focus remains on PPI, which has gained attention as inflation expectations rise, particularly after September 2024, indicating a heightened concern for future demand recovery [31] - The industry selection continues to favor TMT (Technology, Media, and Telecommunications) and consumer sectors, based on macroeconomic indicators [32]