大类资产及择时观点月报（2025.10） [Table_Authors] 郑雅斌(分析师) 债市观点发生改变 本报告导读： 根据 2025 年 9 月底的最新数据，股票、债券和黄金市场在 2025 年 10 月信号分别为 正向，负向和正向。 投资要点： 金融工程 /[Table_Date] 2025.10.09 | | 021-23219395 | | --- | --- | | | zhengyabin@gtht.com | | 登记编号 | S0880525040105 | | | 曹君豪(分析师) | | | 021-23185657 | | | caojunhao@gtht.com | | 登记编号 | S0880525040094 | [Table_Report] 相关报告 大类资产及择时观点月报（2025.09） 2025.09.01 风格及行业观点月报（2025.09） 2025.09.01 大类资产及择时观点月报（2025.08） 2025.08.01 风格及行业观点月报（2025.08） 2025.08.01 大类资产及择时观点月报（2025.07） 2025.07.02 证 券 研 究 报 ...

Quantitative Models and Construction Methods 1. Model Name: Counter-Cyclical Allocation Model - **Model Construction Idea**: Predict the macroeconomic environment using proxy variables and allocate assets that perform best under the predicted environment[26][31] - **Model Construction Process**: - Use proxy variables to forecast the macroeconomic environment (e.g., Inflation, Growth, etc.) - Allocate assets based on historical performance under the predicted environment - For Q3 2025, the model predicted an "Inflation" environment, leading to allocations in CSI 300, CSI 2000, Nanhua Commodity Index, and ChinaBond Total Wealth Index[26] - **Model Evaluation**: Provides a systematic approach to asset allocation based on macroeconomic conditions[26] 2. Model Name: Macro Momentum Model - **Model Construction Idea**: Constructed using multiple dimensions such as economic growth, inflation, interest rates, exchange rates, and risk sentiment to time asset classes like stocks and bonds[26] - **Model Construction Process**: - Incorporate macroeconomic indicators, positioning data, volume-price factors, and sentiment factors - Apply the model to time assets such as CSI 300, ChinaBond Total Wealth Index, and gold contracts (AU9999)[26] - **Model Evaluation**: Offers a multi-dimensional perspective for timing asset allocation[26] 3. Model Name: Multi-Factor Industry Rotation Model - **Model Construction Idea**: Combines historical fundamentals, expected fundamentals, sentiment, volume-price technicals, and macroeconomic factors to rotate among industries[27] - **Model Construction Process**: - Match ETFs with their corresponding CSI Level-1 industries - Use a pool of 23 industries to construct the benchmark - Allocate weights to ETFs based on the model's output[27][29] - **Model Evaluation**: Provides a structured approach to industry rotation, leveraging multiple factor dimensions[27] 4. Model Name: Absolute Return Strategies (Blended Models) - **Model Construction Idea**: Combine macro timing and industry rotation strategies with asset rebalancing to achieve absolute returns[31][37] - **Model Construction Process**: - Implement 20/80 stock-bond rebalancing and risk parity strategies - Enhance these strategies with macro timing and industry ETF rotation[31][37] - **Model Evaluation**: Enhances traditional rebalancing strategies with timing and rotation components for better returns[31][37] --- Model Backtesting Results 1. Counter-Cyclical Allocation Model - CSI 300 Q3 2025 Return: 14.38%[26] - CSI 2000 Q3 2025 Return: 16.58%[26] - Nanhua Commodity Index Q3 2025 Return: 4.17%[26] - ChinaBond Total Wealth Index Q3 2025 Return: -1.08%[26] 2. Macro Momentum Model - CSI 300 September 2025 Return: 0.11%[26] - ChinaBond Total Wealth Index September 2025 Return: -0.31%[26] - AU9999 Gold Contract September 2025 Return: 5.72%[26] 3. Multi-Factor Industry Rotation Model - Weekly Return: 0.61% (Excess Return: 0.79% over Wind All A Index)[27][28] - Monthly Return (September 2025): 0.82% (Excess Return: 0.28% over Wind All A Index)[27][28] 4. Absolute Return Strategies (Blended Models) - **Macro Timing + 20/80 Rebalancing**: - Weekly Return: -0.10% - Monthly Return: -0.09% - YTD Return: 3.85% - Annualized Volatility: 3.38% - Max Drawdown: 1.78% - Sharpe Ratio: 1.61[32] - **Macro Timing + Risk Parity**: - Weekly Return: -0.01% - Monthly Return: -0.15% - YTD Return: 1.58% - Annualized Volatility: 1.75% - Max Drawdown: 1.50% - Sharpe Ratio: 1.27[32] - **Macro Timing + Industry ETF Rotation + 20/80 Rebalancing**: - Weekly Return: 0.22% - Monthly Return: 0.21% - YTD Return: 7.83% - Annualized Volatility: 5.28% - Max Drawdown: 2.54% - Sharpe Ratio: 2.12[32] - **Macro Timing + Industry ETF Rotation + Risk Parity**: - Weekly Return: 0.11% - Monthly Return: -0.03% - YTD Return: 2.94% - Annualized Volatility: 2.18% - Max Drawdown: 1.45% - Sharpe Ratio: 1.90[32] --- Quantitative Factors and Construction Methods 1. Factor Name: PB Earnings - **Factor Construction Idea**: Focuses on price-to-book ratios and earnings growth to identify undervalued stocks with growth potential[39][41] - **Factor Construction Process**: - Calculate PB ratios for stocks - Combine with earnings growth metrics to rank stocks[39][41] - **Factor Evaluation**: Targets value-oriented opportunities with growth potential[39][41] 2. Factor Name: High Dividend Yield - **Factor Construction Idea**: Selects stocks with high dividend yields for stable income generation[39][41] - **Factor Construction Process**: - Rank stocks based on dividend yield - Adjust for payout sustainability metrics[39][41] - **Factor Evaluation**: Suitable for income-focused strategies[39][41] 3. Factor Name: Small-Cap Value - **Factor Construction Idea**: Targets small-cap stocks with low valuations for higher growth potential[39][41] - **Factor Construction Process**: - Identify small-cap stocks - Rank based on valuation metrics like P/E and P/B ratios[39][41] - **Factor Evaluation**: Captures the small-cap premium with a value tilt[39][41] 4. Factor Name: Small-Cap Growth - **Factor Construction Idea**: Focuses on small-cap stocks with high growth potential[39][41] - **Factor Construction Process**: - Identify small-cap stocks - Rank based on growth metrics like revenue and earnings growth rates[39][41] - **Factor Evaluation**: Targets high-growth opportunities in the small-cap space[39][41] --- Factor Backtesting Results 1. PB Earnings - **10/90 Rebalancing**: - Weekly Return: -0.18% - Monthly Return: -0.04% - YTD Return: 2.49% - Annualized Volatility: 2.34% - Max Drawdown: 1.82% - Sharpe Ratio: -0.01[41] - **20/80 Rebalancing**: - Weekly Return: -0.39% - Monthly Return: -0.11% - YTD Return: 4.06% - Annualized Volatility: 4.71% - Max Drawdown: 3.79% - Sharpe Ratio: 0.19[41] 2. High Dividend Yield - **10/90 Rebalancing**: - Weekly Return: -0.12% - Monthly Return: -0.09% - YTD Return: 1.91% - Annualized Volatility: 2.09% - Max Drawdown: 1.39% - Sharpe Ratio: -0.18[41] - **20/80 Rebalancing**: - Weekly Return: -0.28% - Monthly Return: -0.22% - YTD Return: 2.88% - Annualized Volatility: 4.19% - Max Drawdown: 3.47% - Sharpe Ratio: 0.05[41] 3. Small-Cap Value - **10/90 Rebalancing**: - Weekly Return: -0.27% - Monthly Return: -0.07% - YTD Return: 5.35% - Annualized Volatility: 3.55% - Max Drawdown: 3.69% - Sharpe Ratio: 0.47[41] - **20/80 Rebalancing**: - Weekly Return: -0.57% - Monthly Return: -0.16% - YTD Return: 9.91% - Annualized Volatility: 7.14% - Max Drawdown: 7.74% - Sharpe Ratio: 0.60[41]

Group 1: Core Insights - The report highlights that the stock side employs a small-cap growth portfolio combined with a non-timing stock-bond monthly rebalancing strategy, projecting cumulative returns of 5.93% and 11.15% by 2025 [1][4] - As of August 15, 2025, the total market size of fixed income plus funds reached 1,784.66 billion, with 1,177 products, of which 412 achieved historical net value highs last week [2][9] - The report indicates a divergence in performance among various fund types, with median returns for mixed bond type funds being -0.07% for level one, 0.17% for level two, and 0.33% for mixed bond type funds [2][12] Group 2: Asset Allocation and ETF Rotation - The macro environment forecast for Q3 2025 suggests an inflationary trend, with the CSI 300 index, the total wealth index of government bonds, and AU9999 contracts yielding 3.11%, -0.32%, and 1.03% respectively since August [3][4] - Recommended industry ETFs for August 2025 include those focused on artificial intelligence, semiconductors, non-ferrous metals, banking, and major consumer sectors, with a weekly return of 4.01% and a cumulative return of 5.81% for the month [3][4] Group 3: Absolute Return Strategy Performance - The macro-timing driven stock-bond 20/80 rebalancing strategy yielded a return of 0.47% last week, while the stock-bond risk parity strategy returned -0.02% [4][9] - The small-cap growth style within the stock-bond 20/80 combination showed the most significant performance, with a year-to-date return of 11.15% [4][9] - The report notes that the cumulative return for the small-cap growth portfolio, when adjusted for timing strategies, reached 12.81% [4][9]

Group 1 - The report indicates that the stock side employs a small-cap value portfolio combined with a non-timing stock-bond monthly rebalancing strategy of 10/90 and 20/80, with cumulative returns of 4.97% and 9.28% respectively by 2025 [1][4] - As of July 25, 2025, the total market size of fixed income + funds reached 1,775.714 billion, with 1,173 products, and 136 of them reached historical net value highs last week [2][9] - The performance of various fund types showed divergence, with median returns for mixed bond type funds being -0.15% for level one, 0.09% for level two, and 0.19% for biased bond mixed funds [2][14] Group 2 - The macro environment forecast for Q3 2025 suggests an inflationary trend, with the CSI 300 index rising by 4.85% since July, while the China Government Bond Index fell by 0.43% [3] - Recommended industry ETFs for July 2025 include those focused on securities companies, semiconductors, non-ferrous metals, and major consumer sectors, with a weekly return of 4.72% and a cumulative return of 6.97% for the month [3][4] - The absolute return strategy performance showed that the macro-timing driven stock-bond 20/80 rebalancing strategy yielded a return of 0.20% last week, while the stock-bond risk parity strategy had a return of -0.20% [4][16] Group 3 - The small-cap value style within the stock-bond 20/80 combination performed notably well, achieving a year-to-date return of 9.28%, while other strategies like PB earnings and high dividend stocks yielded 4.01% and 2.65% respectively [4][16] - The report highlights that 136 fixed income + products reached historical net value highs, with a breakdown of 30 level one mixed bond funds, 41 level two mixed bond funds, and 35 biased bond mixed funds [18][20] - The report also provides insights into the performance of conservative, balanced, and aggressive funds, with median returns of -0.09%, 0.09%, and 0.29% respectively [14][18]

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]