Group 1: Small Cap and Value Style Rotation Strategy - The latest quantitative model signals indicate a shift towards small-cap style for May, with historical data suggesting small-cap style is likely to outperform in this month [1] - The current market capitalization factor valuation spread is at 1.05, which is relatively low compared to historical highs of 1.7 to 2.6, indicating potential for small-cap outperformance [1] - Year-to-date, the small-cap style rotation strategy has achieved an excess return of 2.94% relative to an equal-weighted benchmark (CSI 300 and CSI 2000) [1] Group 2: Value and Growth Style Rotation Strategy - The latest quantitative model signals continue to favor value style for May, with expectations for value style to maintain its advantage [2] - Year-to-date, the value-growth style rotation strategy has generated an excess return of 4.6% compared to an equal-weighted benchmark (National Growth and National Value) [2] Group 3: Factor Performance Tracking - Among eight major factors, momentum and growth factors showed high positive returns in April, while liquidity and volatility factors exhibited high negative returns [2] - Year-to-date, momentum, analyst sentiment, and earnings volatility factors have shown positive returns, whereas industry momentum, liquidity, and short-term reversal factors have shown negative returns [2]

资产配置月报 202505 五月配置视点：黄金见顶了吗？ 2025 年 05 月 05 日 ➢ 黄金见顶了吗？ 美国经济在关税政策影响下一季度增速转负，结构上韧性减弱，市场对于美国经 济衰退的预期上升；美国就业市场温和降温，对黄金有正面影响但较弱；美国财 政方面近期虽然增速有所放缓，但是主要由国防支出减少导致，非国防消费支出 和投资依旧维持增长，财政长期扩张趋势未完全扭转，依旧支撑黄金表现；技术 层面黄金过去积累对应的上涨空间已基本兑现，未来价格继续上行需要进一步积 累或者有新增增量资金入场，短期或较为疲软。综合来说，黄金短期或阶段性休 整，但是长期上涨逻辑不变（或由单一财政逻辑转向叠加经济衰退的逻辑）。 ➢ 大类资产量化观点 1. 权益：Q1 财报景气度回升，五月积极应对。景气度 4 月整体走平，金融中 银行、非银景气度都进一步下降，工业景气度有所回升；上市公司 2024 年年报 以及 2025 年一季报反映了积极变化。信用或继续稳步扩张，政府债券仍占主导； 从结构来看，高增主要来源于去年同期的低基数，政府债券继续支撑社融增长。 4 月市场如我们预期先下后上，目前市场遇强支撑，5 月静待成交放量。 2. 利 ...

Group 1: Gold Market Analysis - The report suggests that gold prices have experienced a significant adjustment since April 22, 2025, with a cumulative decline of 5.35% by May 2, 2025, following a substantial increase of over 200% since early 2024 [1][9] - The U.S. economy's growth rate has turned negative in Q1 2025, with a seasonally adjusted annual rate of -0.3%, which is below market expectations and marks the first negative growth since Q1 2022 [12][19] - The report indicates that the U.S. employment market is showing signs of mild cooling, with April 2025 non-farm payrolls increasing by 177,000, down from 185,000 in March [20][24] - U.S. fiscal spending has slowed down, primarily due to a reduction in defense spending, with government consumption and investment growth at 0.8% in Q1 2025 [25][26] - The technical analysis of gold suggests that the price has reached its target levels, and further upward movement will require either a new accumulation phase or significant new capital inflows [31][36] Group 2: Macro Asset Quantitative Insights - The report highlights a recovery in the earnings outlook for equities in Q1 2025, with a stable credit environment and government bonds continuing to dominate [2][8] - It predicts a potential decline of 9 basis points in the 10-year government bond yield to 1.53% in May 2025, driven by falling economic growth and inflation factors [2][15] - The real estate sector is experiencing a rebound in industry pressure, with an index reading of 0.500, indicating a slight improvement in market conditions [2][20] Group 3: Style and Sector Recommendations - The report recommends focusing on high win-rate and high-odds sectors such as electric equipment and new energy, computing, non-ferrous metals, machinery, electronics, and steel, which have shown an absolute return of 12.05% since 2024 [4][29] - It also suggests a "clearing reversal strategy" for sectors that are at the end of a clearing phase, with rising demand and improved competitive dynamics, specifically recommending non-ferrous metals [4][31]

Quantitative Models and Construction Methods 1. Model Name: DTW Timing Model - **Model Construction Idea**: Based on the principle of similarity and the Dynamic Time Warping (DTW) algorithm, this model identifies timing signals by comparing current market trends with historical patterns[4][25] - **Model Construction Process**: - The model calculates the similarity between the current index trend and historical market trends using the DTW distance metric, which is more flexible than Euclidean distance for time-series data[27] - Historical segments with high similarity are selected as references - The weighted average future returns and standard deviations of these historical segments are calculated (weights are the inverse of the DTW distance) - Trading signals are generated based on the average future returns and standard deviations[25] - Improved DTW algorithms, such as those with Sakoe-Chiba and Itakura boundary constraints, are used to address issues like "over-warping" in traditional DTW[29] - **Model Evaluation**: The DTW algorithm is particularly suitable for time-series problems and outperforms other methods due to its flexibility in handling temporal misalignments[27] 2. Model Name: Foreign Capital Timing Model - **Model Construction Idea**: This model leverages the price movements of offshore assets related to A-shares to generate timing signals for the A-share market[32] - **Model Construction Process**: - Two offshore assets are used: FTSE China A50 Index Futures (Singapore market) and Southern A50 ETF (Hong Kong market) - For FTSE China A50 Index Futures, two indicators are constructed: basis and price deviation - For Southern A50 ETF, a price deviation indicator is constructed - Timing signals from these two assets are combined to form the overall foreign capital timing signal[32] --- Model Backtesting Results 1. DTW Timing Model - **Out-of-Sample Performance (Since November 2022)**: - Absolute return: 25.38% - Excess return over CSI 300: 19.02% - Maximum drawdown: 20.07% - Weekly win rate: Over 60% - Weekly win rate in 2024: Over 70%[4][16] - **Performance in 2024 (CSI 300)**: - Absolute return: 23.58% - Excess return: 5.27% - Maximum drawdown: 14.88% - Trading win rate: 63.64% - Profit-loss ratio: 2.64[16] 2. Foreign Capital Timing Model - **Full-Sample Performance (2014-2024)**: - Annualized return: 18.96% (long-short), 14.19% (long-only) - Maximum drawdown: 25.69% (long-short), 17.27% (long-only) - Daily win rate: Nearly 55% - Profit-loss ratio: Above 2.5[18] - **Out-of-Sample Performance in 2024**: - Long-only strategy: - Absolute return: 28.05% - Maximum drawdown: 8.32% - Long-short strategy: - Absolute return: 21.66% - Maximum drawdown: 13.14%[21]