2026 年 02 月 10 日 金 融 工 程 高维宏观周期驱动风格、行业月报(2026/2):经济 景气下行、通胀细分项下行看好小盘红利风格 投资要点： 传统宏观因子、宏观周期的高维度体系构建 金 融 工 程 定 期 报 告 宏观因子变量的构建：将宏观指数分别对宽基指数、代理宏观变 量做回归，选取 t 值显著的细分宏观变量，用过去一年标准差倒数加权 构建宏观因子变量。采用单边 HP 滤波器对宏观经济数据进行调整，消 除短期波动对长期趋势判断的影响。基于滤波变量，分别用因子动量 划分宏观趋势（上行、下行）和用时序百分位划分宏观状态（高、中、 低位）。 宏观因子升维的必要性：宏观因子 A 对宽基、风格和行业的价格 传导在 A 的不同边际变化不一致，且宏观因子 A 在宏观因子 B 的不同 状态下驱动宽基、风格和行业的收益方向也不同。同一状态及其边际 变化所对应的周期混乱，我们需要将宏观变量的边际与状态结合，综 合考虑宏观变量的变化趋势和所处的时序排位。 多信号驱动下的指数择时、风格轮动 小盘全指择时：在库存处于中等向上水平时预测值最高，因此推 荐配置中证全指。 2012 年 1 月末起至 2026 年 1 月 ...

Group 1 - The report emphasizes the construction of a high-dimensional macroeconomic factor system to analyze the impact of macroeconomic variables on asset prices and to predict future trends in broad market indices and industry profitability [2][8][9] - It identifies five dimensions of macroeconomic variables: economic prosperity, inflation, interest rates, inventory, and credit, to improve the stability of macroeconomic assessments [9] Group 2 - Current macroeconomic conditions indicate a weak recovery, with overall indicators dropping from 72% to 61%, and industrial output and GDP growth rates remaining flat [17][19] - The report highlights that while inflation remains low, liquidity conditions are stable, and credit indicators show signs of improvement, suggesting a gradual recovery in financing demand [19][20] Group 3 - A broad market timing strategy based on macroeconomic variables has achieved an annualized return of 16.2% from January 2012 to December 2025, outperforming the industry by 10.26% [3][30] - The dividend index timing strategy has yielded an annualized return of 10.78%, exceeding the industry benchmark by 8.42% during the same period [3][37] Group 4 - The style rotation strategy, constructed from macroeconomic variables, has produced an annualized return of 14.15%, outperforming equal-weighted style indices by 6.08% from September 2014 to December 2025 [3][50] - The report suggests maintaining a balanced allocation between dividend and value stocks, while being cautious with growth and performance stocks due to current macroeconomic conditions [23][60]