高维宏观周期驱动风格、行业月报(2026/2)：经济景气下行、通胀细分项下行看好小盘红利风格-20260210

• The report constructs macro factor variables by regressing macro indices on broad-based indices and proxy macro variables, selecting significant sub-macro variables, and weighting them by the inverse of the past year's standard deviation. The macroeconomic data is adjusted using a one-sided HP filter to eliminate short-term fluctuations and identify long-term trends. Based on the filtered variables, macro trends (upward, downward) are divided using factor momentum, and macro states (high, medium, low) are divided using time series percentiles[2] - The necessity of elevating macro factors is highlighted, as the price transmission of macro factor A to broad-based, style, and industry indices varies with different marginal changes of A. Additionally, the impact of macro factor A on returns is different under various states of macro factor B. The combination of marginal changes and states of macro variables is required to comprehensively consider the trend and time series ranking of macro variables[2] - The small-cap all-index timing strategy, based on a combination of macro variables, achieved an annualized return of 16.56% from the end of January 2012 to January 31, 2026, with an excess return of 10.19% relative to the CSI All Index[3] - The dividend index timing strategy, based on a combination of macro variables, achieved an annualized return of 10.97% from the end of January 2012 to January 31, 2026, with an excess return of 8.49% relative to the dividend index[3] - The style rotation strategy, based on a combination of macro variables, achieved an annualized return of 14.79% from September 30, 2014, to January 31, 2026, with an excess return of 4.61% relative to the equal-weighted style index[3] Model and Factor Construction 1. Macro Factor Variables - Construction Idea: Regress macro indices on broad-based indices and proxy macro variables, select significant sub-macro variables, and weight them by the inverse of the past year's standard deviation[2] - Construction Process: - Regress macro indices on broad-based indices and proxy macro variables - Select sub-macro variables with significant t-values - Weight selected variables by the inverse of the past year's standard deviation - Adjust macroeconomic data using a one-sided HP filter to eliminate short-term fluctuations - Divide macro trends using factor momentum and macro states using time series percentiles[2] - Evaluation: The necessity of elevating macro factors is highlighted due to the varying price transmission of macro factors under different marginal changes and states[2] 2. Small-Cap All-Index Timing Strategy - Construction Idea: Use a combination of macro variables to predict the highest returns when inventory is at a medium upward level[3] - Construction Process: - Combine macro variables to construct the timing strategy - Evaluate the strategy's performance from January 2012 to January 31, 2026[3] - Evaluation: The strategy achieved significant excess returns relative to the CSI All Index[3] 3. Dividend Index Timing Strategy - Construction Idea: Use a combination of macro variables to construct the dividend index allocation strategy[3] - Construction Process: - Combine macro variables to construct the timing strategy - Evaluate the strategy's performance from January 2012 to January 31, 2026[3] - Evaluation: The strategy achieved significant excess returns relative to the dividend index[3] 4. Style Rotation Strategy - Construction Idea: Use a combination of macro variables to construct the style rotation allocation strategy[3] - Construction Process: - Combine macro variables to construct the style rotation strategy - Evaluate the strategy's performance from September 30, 2014, to January 31, 2026[3] - Evaluation: The strategy achieved significant excess returns relative to the equal-weighted style index[3] Model Backtest Results 1. Small-Cap All-Index Timing Strategy - Annualized Return: 16.56% - Excess Return: 10.19%[3] 2. Dividend Index Timing Strategy - Annualized Return: 10.97% - Excess Return: 8.49%[3] 3. Style Rotation Strategy - Annualized Return: 14.79% - Excess Return: 4.61%[3]