量化周报：三维择时框架进入谨慎状态-20260208

Timing Perspective - The three-dimensional timing framework has entered a cautious state, indicating a judgment of oscillating decline due to a downward trend in liquidity and an upward trend in divergence[5] - The Shanghai Composite Index has repeatedly tested the demand line without breaking through, suggesting that while the upward trend remains, market volume is significantly shrinking[5] Sector Rotation - The communication equipment index saw a substantial inflow of 208% over the past week, while the oil and gas industry had a 630% inflow over the past month[27] - The ETF hot trend strategy has achieved a return of 54.82% since 2025, outperforming the Shanghai Composite Index by 33.27%[28] All-Weather Allocation - The high-volatility version of the all-weather strategy has an annualized return of 11.8% with a maximum drawdown of 3.6% and a Sharpe ratio of 2.3[59] - Since 2026, the high-volatility and low-volatility versions have returns of 2.3% and 0.9%, respectively[59] Factor Tracking - The market is currently characterized by a "high value, high leverage, high volatility" style, with the value factor achieving a positive return of 1.48% this week[61] - The liquidity shock factor has shown strong performance with a multi-head excess return of 1.56% over the past week[66] Risk Warning - Quantitative conclusions are based on historical statistics, and future market environment changes may lead to potential invalidation of these conclusions[69]