2025 年 10 月 09 日 経济前瞻指标小幅回升. 各偏向均衡 •量化资产配置月报 202510 申万宏源研究微信服务号 相关研究 证券分析师 沈恩逸 A0230521070001 shensv@swsresearch.com 邓虎 A0230520070003 denghu@swsresearch.com 联系人 沈恩逸 (8621)23297818× shensy@swsresearch.com 请务必仔细阅读正文之后的各项信息披露与声明 因子选择略偏向均衡。按照定量指标的结果，目前经济开始出现回升迹象、流动性略偏松， ● 信用指标略好，微观映射中经济（盈利预期）维持中等，信用未触发修正，而流动性由于 情绪回落、市场持续交易利率上行修正为偏弱，因此宏观各维度的方向为经济好转、流动 性偏弱和信用宽松，本期我们主要按照对经济敏感、对流动性不敏感、对信用敏感来选择 得分前三的因子。由于经济指标略微转好，成长的宏观得分略有下降，但结合动量后仍然 选中，目沪深 300 中仍为共振因子，中证 500 中的因子选择结果相对转向均衡，而中证 1000 中低波继续为共振因子。 大类资产配置观点：黄金配置仍较高。结合当 ...

2025 年 10 月 09 日 经济前瞻指标小幅回升，因子选择 略偏向均衡 ——量化资产配置月报 202510 本研究报告仅通过邮件提供给 中庚基金 使用。1 相关研究 - 证券分析师 沈思逸 A0230521070001 shensy@swsresearch.com 邓虎 A0230520070003 denghu@swsresearch.com 联系人 沈思逸 (8621)23297818× shensy@swsresearch.com 权 益 量 化 研 究 证 券 研 究 报 告 请务必仔细阅读正文之后的各项信息披露与声明 量 化 策 略 ⚫ 因子选择略偏向均衡。按照定量指标的结果，目前经济开始出现回升迹象、流动性略偏松， 信用指标略好，微观映射中经济（盈利预期）维持中等，信用未触发修正，而流动性由于 情绪回落、市场持续交易利率上行修正为偏弱，因此宏观各维度的方向为经济好转、流动 性偏弱和信用宽松，本期我们主要按照对经济敏感、对流动性不敏感、对信用敏感来选择 得分前三的因子。由于经济指标略微转好，成长的宏观得分略有下降，但结合动量后仍然 选中，且沪深 300 中仍为共振因子，中证 500 中的因子选 ...

Group 1 - The article discusses a macro quantitative framework that combines economic, liquidity, credit, and inflation factors for asset allocation and industry/style configuration [1][3] - The framework has been adjusted based on the changing mapping of macro variables to assets, with a focus on economic and liquidity indicators [1][5] - The performance of aggressive portfolios since 2013 shows an annualized return of approximately 8.5%, with a 0.6% excess return compared to the benchmark [3][5] Group 2 - The article highlights the impact of macroeconomic conditions on industry and style configurations, incorporating credit sensitivity into the analysis [5][7] - The macro-sensitive industry configuration has shown varying performance, with a notable decline since 2022, indicating the need for adjustments in selection criteria [7][10] - The article emphasizes the importance of market expectations in influencing macroeconomic indicators and their relationship with asset performance [13][18] Group 3 - The Factor Mimicking model is introduced to capture market expectations regarding macro variables, using a refined stock pool for better representation [19][20] - The construction of the Factor Mimicking portfolio aims to reflect the market's implicit views on economic, liquidity, inflation, and credit variables [19][23] - The article discusses the need for additional micro mappings to enhance the representation of macro variables, particularly in relation to corporate earnings and valuations [28][30] Group 4 - The article outlines the adjustments made to the macro variables based on market expectations, focusing on economic, liquidity, and credit dimensions [34][36] - The revised indicators are expected to improve asset allocation strategies, particularly in the context of equity markets [39][40] - The performance of the revised industry and style configurations indicates a positive impact from incorporating market expectations into the analysis [46][54]

Group 1 - The article emphasizes the importance of combining macro quantification with factor momentum to select resonant factors, particularly focusing on growth factors while considering market conditions [1][4] - Current macro indicators show economic decline, slightly loose liquidity, and improving credit indicators, leading to a correction in the direction of economic downturn and tight liquidity [3][4] - The article identifies that the stock pools are still biased towards growth factors, especially in the CSI 300 and CSI 1000 indices, while the CSI 500 leans more towards fundamental factors [4][5] Group 2 - Economic leading indicators suggest a potential slight increase after reaching a short-term bottom in August 2025, despite recent declines in PMI and new orders [6][8] - Various leading indicators are analyzed, indicating that many are in a downward cycle, with expectations for some to reach their bottom by early 2026 [9][10] - The liquidity environment is assessed as slightly loose, with interest rates remaining stable and monetary supply indicators suggesting a continuation of this trend [12][14] Group 3 - Credit indicators are generally weak, but the overall credit environment remains positive, with some signs of recovery in recent months [15][16] - The article recommends increasing stock allocations due to improving equity trends, while reducing allocations in other asset classes [16][17] - The focus remains on liquidity as the most significant variable affecting market dynamics, with credit and inflation also being monitored [18][20] Group 4 - The article suggests industry selection based on economic sensitivity and credit sensitivity, highlighting sectors that are less sensitive to economic downturns but more responsive to credit conditions [20][21] - Industries identified as having high growth potential include electronics, media, and beauty care, which are less affected by economic fluctuations [20][21]

Group 1 - The report emphasizes that growth has become a resonant factor in the current economic environment, with a focus on selecting factors that are insensitive to economic conditions but sensitive to credit [2][7][9] - The report suggests that the current economic indicators are weak, leading to a preference for growth-oriented stocks in the investment strategy, particularly in the CSI 300 and CSI 1000 indices [2][9][10] - The macroeconomic outlook indicates a potential short-term recovery in economic indicators, with a forecasted slight increase in the economic leading indicators in August 2025 [12][13][14] Group 2 - The liquidity environment is described as relatively stable, with interest rates showing slight increases but remaining below historical averages, indicating a slightly loose liquidity condition [19][20][22] - Credit indicators are noted to be weak, with a decline in credit volume and structure, although the overall credit indicators remain positive [23][24] - The report advocates for an increase in stock allocation, reflecting a positive trend in equity markets, while reducing allocations in other asset classes [2][24][25] Group 3 - The report identifies liquidity as the primary focus of market attention, especially following recent market movements driven by liquidity conditions [26][27] - In terms of industry selection, the report recommends focusing on sectors that are less sensitive to economic fluctuations but more responsive to credit conditions, highlighting industries with growth attributes [4][31][28] - The report lists specific industries with high scores for economic insensitivity and credit sensitivity, including electronics, media, and beauty care, indicating a strategic focus on growth-oriented sectors [28][31]

Group 1 - The report emphasizes the continuous allocation of reversal factors, indicating that the current economic downturn, slightly loose liquidity, and improved credit indicators suggest a preference for growth-oriented stocks in the investment strategy [2][5][7] - The macro asset allocation viewpoint suggests a slight increase in US stock allocation by 5%, maintaining the equity position unchanged due to the current economic conditions [2][24][26] - Economic leading indicators are in the early stages of a decline, with predictions indicating a continued downward trend through July 2025 [13][14][16] Group 2 - Liquidity conditions are improving, with monetary supply rebounding and interest rates remaining below the 12-month average, indicating a slightly loose liquidity environment [20][21][23] - Credit indicators show a mixed picture, with overall credit metrics remaining high despite some structural weaknesses, suggesting a cautious but optimistic outlook [24][25] - The report highlights that liquidity remains the most closely monitored variable in the market, especially following recent market fluctuations driven by liquidity changes [28][30] Group 3 - The industry selection is focused on sectors that are less sensitive to economic fluctuations but more sensitive to credit conditions, with a high growth attribute across selected industries [32][29] - The top industries identified for investment based on their sensitivity to credit and economic conditions include electronics, media, and power equipment, indicating a strategic focus on growth-oriented sectors [29][32]

Group 1 - Economic indicators continue to weaken, and the allocation style remains growth-oriented. The quantitative indicators suggest that the economy is declining, liquidity is neutral to loose, and credit indicators are improving. The micro mapping shows that economic (profit expectations) continues to be weak, while credit is improving. The revised direction indicates economic downturn, tight liquidity, and improved credit, consistent with the previous period. Due to the significant divergence between liquidity and credit, the focus is on factors that are insensitive to the economy but sensitive to credit, maintaining a growth-oriented stock pool allocation style [4][7][9] - The macro asset allocation viewpoint suggests increasing bond positions. Given the current indicators, with the economy declining, liquidity tightening, and credit remaining favorable, the outlook for equities is slightly bearish, leading to a minor reduction in A-share positions. The trend for bonds has improved, with an increase in government bond positions and a reduction in US stock positions to zero [4][31] - The economic leading indicators are entering a declining phase. The updated economic leading indicator model indicates that June 2025 is at the beginning of a decline cycle, which is expected to continue [13][15] Group 2 - Liquidity is showing signs of recovery. In May, interest rates remained stable, with short-term rates slightly exceeding the 12-month average, while long-term rates are still significantly distant from the average. The monetary supply data has rebounded, signaling a return to a neutral stance, although the excess reserve ratio remains low, indicating that overall liquidity has returned to a slightly loose state [24][28][26] - Credit indicators are weak across various dimensions. In the second half of 2024, credit indicators are expected to remain low, with the total social financing stock showing a year-on-year increase for five consecutive months, maintaining a high level of comprehensive credit indicators [29] - The market focus remains on liquidity. Since 2023, credit and inflation have garnered significant attention, but recently liquidity has become the most scrutinized variable, particularly following the market rally at the end of September, indicating that the current market is heavily driven by liquidity [33] Group 3 - In terms of industry selection from a macro perspective, the report indicates a preference for industries that are insensitive to economic fluctuations but sensitive to credit conditions. The analysis suggests that these industries possess growth attributes, leading to a higher overall growth characteristic in the selected industries [34] - The report identifies the top industries based on their sensitivity to economic and credit conditions. The industries with the highest scores for being economically insensitive and credit-sensitive include electronics, media, and personal care, among others [34]

Group 1 - The core viewpoint emphasizes the continued significance of low volatility factors as resonance factors in investment strategies, integrating macroeconomic quantitative insights with factor momentum [1][2] - The analysis indicates that the economic recovery is ongoing, liquidity is returning to a neutral-tight state, and credit indicators are improving, with no need for adjustments based on micro mappings [1][2] - The stock pool configurations for various indices such as CSI 300 and CSI 1000 show a consistent preference for low volatility and growth factors, with value factors also being selected in the CSI 500 index [2] Group 2 - Economic leading indicators are positioned in the late stage of an upward trend, with expectations of reaching a peak by June 2025 and entering a downward cycle by December 2025 [3][8] - Specific indicators such as PMI and fixed asset investment are showing positive trends, suggesting continued economic growth in the near term [3][9] - The liquidity environment is tightening, with short-term interest rates rising above their moving averages, indicating a shift towards a tighter monetary policy [11][15] Group 3 - Credit indicators have shown improvement, with social financing stock increasing for two consecutive months, reflecting a more favorable credit environment [16][18] - The asset allocation strategy suggests reducing bond and US stock positions while increasing allocations in A-shares and commodities, reflecting a bullish outlook on domestic markets [18][22] - The focus on liquidity as a key variable driving market performance indicates that fluctuations in liquidity will significantly impact stock volatility and overall market dynamics [19][22]