- The six-cycle model is introduced to describe China's macroeconomic state based on three dimensions: monetary, credit, and growth. Currently, the economy is in stage 2, characterized by loose monetary policy, credit expansion, and growth recovery. The monetary factor is in a 14% easing range, credit expansion is identified using the three-month difference in medium-to-long-term loan pulses, and growth is assessed through PMI indicators [1][10][17] - Style rotation strategy is proposed based on the six-cycle framework. Growth style dominates in stages 1-2 due to credit expansion and economic recovery, quality style prevails in stages 3-4 as liquidity tightens, and value style performs better in stages 5-6 during economic slowdown and monetary easing. Growth style uses ChiNext ETF, quality style uses free cash flow ETF, and value style uses dividend low-volatility ETF [2][11][13] - Multi-asset rotation strategy is designed under the six-cycle framework. Different asset classes exhibit distinct performance across stages: equities and commodities excel in stages 1-3, bonds perform defensively in stages 4-6, and gold acts as a transitional asset in stages 5-6. Specific ETFs are allocated for each stage, such as ChiNext ETF for growth, free cash flow ETF for quality, and dividend ETF for value [17][18][19] - Strategy design ①: Risk parity is applied across all six stages without predicting economic cycles, inspired by Bridgewater's All Weather approach. The strategy achieves an annualized return of 11.5%, annualized volatility of 6.9%, maximum drawdown of 11.2%, and a Sharpe ratio of 1.66 since 2014 [3][20][23] - Strategy design ②: A multi-asset ETF rotation strategy based on the six-cycle model achieves an annualized return of 23.0%, annualized volatility of 11.3%, maximum drawdown of 12%, and a Sharpe ratio of 2.0 since 2014. Monthly win rate is 72%, and annual turnover is 2.4 times. As of October 2023, the strategy's absolute return is 23.2%, with a drawdown of 4.4% [3][26][29] - Strategy design ③: A volatility-constrained version of the multi-asset ETF rotation strategy limits volatility to around 3%. This strategy achieves an annualized return of 9.4%, annualized volatility of 3.2%, maximum drawdown of 3.4%, and a Sharpe ratio of 2.88 since 2014. As of October 2023, the strategy's absolute return is 5.4% [3][31][34]