2026年2月大类资产配置月报：核心叙事的变与不变-20260203

• The report introduces a macro scoring model that evaluates macroeconomic factors to guide asset allocation. The model's construction involves scoring domestic and global factors such as credit, inflation, and monetary cycles. For February, the model indicates a positive outlook for A-shares, U.S. equities, copper, and crude oil, while downgrading the timing view on 10-year bonds to neutral[29][31][32] - A U.S. equity timing model is presented, which monitors indicators like economic momentum and fiscal dependency. The model highlights that the U.S. economy's reduced reliance on fiscal stimulus and improved internal dynamics strengthen the bullish outlook for U.S. equities[33][34][36] - The gold timing model suggests a shift from trend-based to range-bound thinking due to microstructural rebalancing and signs of improving U.S. economic momentum. The latest gold timing indicator value is -0.45, showing slight improvement from the previous month[38][41][42] - The crude oil timing model reflects a cautious stance, with the oil sentiment index at -0.08, remaining below the neutral threshold. The model attributes this to a lack of strong fundamental drivers for a sustained upward trend in oil prices[39][42][45] - The asset allocation strategy uses quantitative signals to allocate risk budgets and adjusts macro risk exposures based on macro factor systems. The strategy achieved a 2.7% return in January, a 10.9% return over the past year, and a maximum drawdown of 2.9%[6][42][43] - The report provides the optimized asset allocation proportions for February, with notable changes including an increase in allocations to the CSI 800 (6.7%) and S&P 500 (9.9%), while reducing allocations to 10-year bonds (63.6%) and copper (3.2%)[46]