Group 1 - The core viewpoint of the article indicates that as of the end of June 2025, the signals for stocks, bonds, and gold markets for July 2025 are positive, negative, and positive respectively [1][2] - The macroeconomic environment forecast for Q3 suggests inflation, with both credit spreads and term spreads signaling a narrowing trend [2] - The cumulative return of the industry composite trend factor combination from January 2015 to June 2025 is 86.40%, with an excess return of 40.53%. The factor signal for June 2025 was positive, and the Wind All A monthly return was 4.74% [2]

Group 1 - The median return of conservative fixed income + products was 0.09% for the week of June 16-20, 2025, with 294 products reaching historical net value highs [2][20] - The total market size of fixed income + funds reached 1,692.127 billion, with 1,173 products available as of June 20, 2025 [2][10] - The performance of various fund types showed divergence, with median returns for mixed bond type funds being 0.10% for level one and -0.02% for level two [2][12] Group 2 - The macro environment forecast for Q2 2025 indicates inflation, with the Shanghai and Shenzhen 300 index, the China government bond index, and gold showing respective increases of 0.17%, 0.71%, and 1.28% since June [2][3] - The recommended industry ETFs for June 2025 include those focused on securities companies, semiconductors, banks, and major consumer sectors, achieving a combined return of 0.21% for the week [2][3] Group 3 - The stock-bond mixed strategy showed a return of 0.03% for the 20/80 rebalancing strategy, while the risk parity strategy yielded a return of 0.15% [3][3] - The small-cap value style within the stock-bond 20/80 combination performed best with a year-to-date return of 5.17% [3][3] - The cumulative return for the small-cap value combination, adjusted for macro momentum, was 2.55% [3][3]

Core Insights - The overall market signals for stocks, bonds, and gold in May 2025 are negative, neutral, and positive respectively [1][2] - The macroeconomic environment for Q2 2025 is predicted to be influenced by inflation [2] - The cumulative return of the industry composite trend factor combination from January 2015 to April 2025 is 73.81%, with an excess return of 37.8% [2] Asset Allocation Signals - As of the end of March 2025, both credit spreads and term spreads indicate a narrowing trend [2] - The factor signal for the industry composite trend was positive in April 2025, despite a drop in the factor value to -0.48 [2] Performance Metrics - The Wind All A index recorded a monthly return of -3.15% in April 2025 [2] - The industry composite trend factor experienced a significant decline but maintained a positive signal [2]

Quantitative Models and Construction Methods 1. Model Name: Macro Timing Model - **Model Construction Idea**: The model predicts future macroeconomic environments using proxy variables and selects optimal assets for absolute return portfolios based on these predictions[25] - **Model Construction Process**: - The model uses proxy variables to forecast macroeconomic conditions such as inflation, economic growth, interest rates, exchange rates, and risk sentiment[25] - Based on these forecasts, the model selects assets that are expected to perform best in the predicted environment[25] - Example formula: $ \text{Expected Return} = \alpha + \beta \times \text{Macro Variable} $ where $\alpha$ is the intercept and $\beta$ is the coefficient representing the sensitivity to the macro variable[25] - **Model Evaluation**: The model is effective in predicting macroeconomic conditions and selecting optimal assets for different environments[25] - **Model Test Results**: - Q1 2025 predictions: Inflation environment - Asset returns: CSI 300: 0.10%, CSI 2000: 6.05%, Nanhua Commodity Index: 3.26%, China Bond Total Wealth Index: 0.51%[25] 2. Model Name: Macro Momentum Model - **Model Construction Idea**: The model uses multiple dimensions such as economic growth, inflation, interest rates, exchange rates, and risk sentiment to time major asset classes like stocks and bonds[25] - **Model Construction Process**: - The model constructs macro momentum indicators based on economic growth, inflation, interest rates, exchange rates, and risk sentiment[25] - These indicators are used to time investments in major asset classes[25] - Example formula: $ \text{Momentum Score} = \sum_{i=1}^{n} w_i \times \text{Indicator}_i $ where $w_i$ is the weight of the $i$-th indicator and $\text{Indicator}_i$ is the value of the $i$-th indicator[25] - **Model Evaluation**: The model is effective in timing investments based on macroeconomic conditions[25] - **Model Test Results**: - February 2025 returns: CSI 300: 3.19%, China Bond Total Wealth Index: 0.08%, Shanghai Gold Exchange AU9999 contract: 6.43%[25] Model Backtest Results 1. Macro Timing Model - **Weekly Return**: -0.12%[32] - **Monthly Return**: 0.36%[32] - **Year-to-Date Return**: -0.31%[32] - **Annualized Volatility**: 2.71%[32] - **Maximum Drawdown**: 0.51%[32] - **Sharpe Ratio**: -0.95[32] 2. Macro Momentum Model - **Weekly Return**: -0.20%[32] - **Monthly Return**: 0.18%[32] - **Year-to-Date Return**: 0.15%[32] - **Annualized Volatility**: 1.50%[32] - **Maximum Drawdown**: 0.47%[32] - **Sharpe Ratio**: 0.87[32] Quantitative Factors and Construction Methods 1. Factor Name: PB Profitability - **Factor Construction Idea**: The factor selects stocks based on their price-to-book (PB) ratio and profitability metrics[38] - **Factor Construction Process**: - Stocks are ranked based on their PB ratio and profitability metrics[38] - The top-ranked stocks are selected for the portfolio[38] - Example formula: $ \text{PB Profitability Score} = \frac{\text{Net Income}}{\text{Book Value}} $ where $\text{Net Income}$ is the company's net income and $\text{Book Value}$ is the company's book value[38] - **Factor Evaluation**: The factor is effective in selecting stocks with high profitability relative to their book value[38] 2. Factor Name: High Dividend Yield - **Factor Construction Idea**: The factor selects stocks based on their dividend yield[38] - **Factor Construction Process**: - Stocks are ranked based on their dividend yield[38] - The top-ranked stocks are selected for the portfolio[38] - Example formula: $ \text{Dividend Yield} = \frac{\text{Annual Dividends}}{\text{Stock Price}} $ where $\text{Annual Dividends}$ is the total dividends paid annually and $\text{Stock Price}$ is the current stock price[38] - **Factor Evaluation**: The factor is effective in selecting stocks with high dividend yields[38] Factor Backtest Results 1. PB Profitability Factor - **Weekly Return**: 0.09%[39] - **Monthly Return**: 0.36%[39] - **Year-to-Date Return**: 0.38%[39] - **Annualized Volatility**: 2.63%[39] - **Maximum Drawdown**: 1.82%[39] - **Sharpe Ratio**: -0.44[39] 2. High Dividend Yield Factor - **Weekly Return**: 0.03%[39] - **Monthly Return**: 0.15%[39] - **Year-to-Date Return**: 0.01%[39] - **Annualized Volatility**: 2.34%[39] - **Maximum Drawdown**: 1.39%[39] - **Sharpe Ratio**: -0.64[39]