景气度边际走弱

• The report introduces a "Three-dimensional Timing Framework" to assess market trends, incorporating liquidity, divergence, and prosperity indices to predict market movements[6][9][10] - The "Hotspot Trend ETF Strategy" is constructed by selecting ETFs with simultaneous upward trends in their highest and lowest prices, further filtered by regression coefficients and turnover ratios to form a risk-parity portfolio[27][28][29] - The "All-weather Strategy" employs a cyclic hedging design to balance long-term asset volatility without relying on leverage or macroeconomic assumptions, divided into high-volatility and low-volatility versions[38][46][47] Models' Backtesting Results - Three-dimensional Timing Framework: Historical performance indicates its effectiveness in predicting market downturns and rebounds[12][14] - Hotspot Trend ETF Strategy: Achieved a cumulative return of 65.46% since 2025, with an excess return of 43.25% over the CSI 300 Index[27][28] - All-weather Strategy: High-volatility version recorded an annualized return of 11.8% with a Sharpe ratio of 1.9, while the low-volatility version achieved an annualized return of 6.7% with a Sharpe ratio of 2.4 as of 2025[46][47] Factor Construction and Analysis - Style Factors: High-value, high-profitability, and high-leverage stocks outperformed, with respective returns of 3.08%, 2.10%, and 1.93% this week[49] - Alpha Factors: Future three-year inverse P/E ratio and one-week return standard deviation factors showed strong performance, with weekly excess returns of 1.13% and 1.07%, respectively[51][54] - Index-specific Factors: Large-cap indices favored rating adjustment and ROA delta factors, while small-cap indices preferred FY1 net profit change factors, with excess returns ranging from 15.80% to 34.58%[56][57]