- The macro timing strategy model suggests a recommended equity position of 45% for June, with signal strengths of 50% for economic growth and 40% for monetary liquidity[3][26][27] - The micro-cap stock rotation and timing signals remain strong, with the micro-cap/Chow index relative net value rising to 1.93 times, above its 243-day moving average of 1.41 times[4][29] - The micro-cap stock's 20-day price slope is 0.00257, indicating stronger upward momentum compared to the Chow index's -0.00019[4][29] - The risk warning has been lifted, with volatility congestion at -0.415%, well below the warning threshold of 0.55%, and the 10-year government bond yield at -0.27%, below the risk control line of 0.30%[4][29] - The market's recent rise has favored small-cap growth styles, leading to strong performance in market cap, consensus expectations, and growth factors, while technical and low-volatility factors have underperformed[4][40] - The market cap factor had the highest IC in the CSI 300 pool at 0.2241, while the growth factor had a weak signal in the CSI 500 pool with an IC of -0.0305[39] - The market cap factor also performed well in the entire A-share pool with an IC of 0.2347[39] - The weekly performance of multi-factor strategies showed the market cap factor leading with a gain of approximately +2.21% in the CSI 300 pool, while the growth factor rose by about +0.17%[39] - The consensus expectations factor and growth factor are expected to continue performing well, while technical and low-volatility factors may see a rebound as market sentiment slows down[40] - The convertible bond selection factors showed the stock growth factor leading with a gain of about 0.72%, followed by the stock consensus expectations factor with a return of about 0.63%[45] - The stock quality factor fell by about 0.26%, the stock value factor retreated by about 0.66%, and the convertible bond valuation factor had the largest decline of about 1.70%[45] Model Backtest Results - Macro timing strategy model, equity position: 45%[3][26][27] - Micro-cap stock/Chow index relative net value: 1.93 times[4][29] - Micro-cap stock 20-day price slope: 0.00257[4][29] - Volatility congestion: -0.415%[4][29] - 10-year government bond yield: -0.27%[4][29] - Market cap factor IC in CSI 300 pool: 0.2241[39] - Growth factor IC in CSI 500 pool: -0.0305[39] - Market cap factor IC in entire A-share pool: 0.2347[39] - Market cap factor weekly gain in CSI 300 pool: +2.21%[39] - Growth factor weekly gain in CSI 300 pool: +0.17%[39] - Stock growth factor weekly gain: 0.72%[45] - Stock consensus expectations factor weekly return: 0.63%[45] - Stock quality factor weekly decline: -0.26%[45] - Stock value factor weekly decline: -0.66%[45] - Convertible bond valuation factor weekly decline: -1.70%[45]

另外海外方面，克利夫兰联邦储备银行行长 Beth Hammack,在 4 月 24 日发言时表明如果有明确经济走弱方面的证据， 美联储最早可能在 6 月采取降息的行动。受此消息的推动，海外市场定价降息预期的程度提升，10 年期美债利率有所 回落。若短期贸易冲突舆情不继续加剧，我们预期海外资金风险偏好会有所回升。所以对于未来一周，在国内外政策 端和情绪面的支持下，我们战术性仓位推荐切换至人工智能和电子等板块。 本周央行通过 7 天逆回购投放了 8820 亿元，到期 8080 亿元，整体通过公开市场操作净投放 740 亿元。短端 1 周 SHIBOR 和 DR007，分别报 1.638%和 1.6587%，较上周分别下降 1.6 BP 和 5.29 BP。1 个月 SHIBOR 和 3 个月 SHIBOR 分别报 1.747%和 1.75%，较上周分别下降 1.6 BP 和 1.1 BP。 结合经济面和流动性来看，对于未来一周，我们建议核心仓位维持在大盘价值，而战术性仓位推荐切换至人工智能和 电子等板块。从中期来看，根据我们构建的宏观择时策略给出的信号，4 月份权益推荐仓位为 25%。拆分来看，模型 对 4 月份 ...

Quantitative Models and Factor Analysis Quantitative Models and Construction - **Model Name**: Macro Timing Strategy **Construction Idea**: This model evaluates macroeconomic signals to determine equity allocation recommendations. It incorporates economic growth and monetary liquidity signals to generate timing signals for equity investments[4][27]. **Construction Process**: 1. The model assigns weights to two dimensions: economic growth and monetary liquidity. 2. Signal strength is calculated for each dimension. For April, the economic growth signal strength was 0%, while the monetary liquidity signal strength was 50%[27]. 3. Based on these signals, the recommended equity allocation for April was 25%[27]. **Evaluation**: The model provides a systematic approach to macro timing, but its performance is subject to changes in macroeconomic conditions[27]. - **Model Name**: Micro-Cap Timing and Rotation Model **Construction Idea**: This model uses indicators related to market sentiment and fundamentals to monitor micro-cap stock performance and rotation opportunities[31]. **Construction Process**: 1. **Rotation Signal**: The model tracks the relative net value of the Micro-Cap Index and the "Mao Index" (a benchmark index). A signal was triggered on October 14, 2024, when the Micro-Cap Index crossed above its annual moving average[31]. 2. **Risk Warning Indicators**: - **Volatility Congestion**: This indicator reflects market sentiment. On October 15, 2024, the indicator fell below its threshold, deactivating the risk warning[31]. - **10-Year Treasury Yield YoY**: This fundamental indicator remained at -20.45%, below the risk control threshold of 0.3[31]. **Evaluation**: The model effectively combines sentiment and fundamental indicators to guide micro-cap stock investments[31]. Model Backtesting Results - **Macro Timing Strategy**: - Year-to-date return: 1.06% - Benchmark (Wind All A Index) return: 1.90%[27] - **Micro-Cap Timing and Rotation Model**: - Volatility Congestion YoY: -50.09% - 10-Year Treasury Yield YoY: -28.69%[31][32] --- Quantitative Factors and Construction - **Factor Name**: Volume-Price Factors **Construction Idea**: These factors capture market dynamics by analyzing trading volume and price volatility[5]. **Construction Process**: - **Low Trading Volume**: Measures stocks with lower trading activity. - **Low Volatility**: Identifies stocks with stable price movements[5]. **Evaluation**: These factors performed well in a low-risk appetite environment, benefiting from market stability[5]. - **Factor Name**: Consensus Expectation Factor **Construction Idea**: This factor reflects market expectations for stocks with strong earnings forecasts[5]. **Construction Process**: - Derived from analysts' earnings forecasts and target prices. - Tracks changes in consensus expectations over time[5]. **Evaluation**: The factor performed well due to investors' preference for certainty in volatile markets[5]. - **Factor Name**: Convertible Bond Selection Factors **Construction Idea**: These factors predict convertible bond performance based on their relationship with underlying stocks and valuation metrics[46]. **Construction Process**: - **Equity Factors**: Derived from the underlying stock's consensus expectations, growth, financial quality, and valuation. - **Valuation Factor**: Based on the premium rate between the convertible bond's parity and floor price[46]. **Evaluation**: The factors achieved positive returns, indicating their effectiveness in identifying outperforming convertible bonds[46]. Factor Backtesting Results - **Volume-Price Factors**: - Low Trading Volume: Positive performance in a low-risk appetite environment[5]. - Low Volatility: Positive performance in stable market conditions[5]. - **Consensus Expectation Factor**: - Positive performance due to strong earnings forecast alignment[5]. - **Convertible Bond Selection Factors**: - Positive multi-long-short returns for equity consensus expectation, equity valuation, and convertible bond valuation factors[46].