2026 年 01 月 04 日 经济指标出现转弱，PPI 关注度维持 最高 ——量化资产配置月报 202601 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 A0230521070001 shensy@swsresearch.com 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 证 券 研 究 报 告 ⚫ 提升红利、低波配置。按照定量指标的结果，目前经济出现转弱、流动性略偏松，信用指 标略好，微观映射中经济（盈利预期）继续为正但强度偏弱、未触发修正，流动性也未触 发修正，信用继续修正为偏弱，因此宏观各维度的方向继续为经济偏弱、流动性偏松和信 用收缩。本期我们继续主要按照对经济不敏感、对信用不敏感来选择得分前三的因子，宏 观部分选择以盈利、红利为主，红利得分明显提高；沪深 300 中盈利为共振因子，中证 500、中证 1000 中低波都成为共振因子。 ⚫ 大类资产配置观点：黄金配置比例维持高位。结合当前指标，修正后目前经济偏弱、流动 性 ...

2025 年 12 月 01 日 大股票池配置仍偏价值, PPI 关注 升至最高 -量化资产配置月报 202512 相关研究 证券分析师 沈思逸 A0230521070001 shensv@swsresearch.com 邓虎 A0230520070003 denqhu@swsresearch.com 联系人 沈思逸 A0230521070001 shensy@swsresearch.com 请务必仔细阅读正文之后的各项信息披露与声明 大股票池配置仍偏价值。按照定量指标的结果，目前经济出现回升、流动性略偏紧，信用 指标略好，微观映射中经济（盈利预期）继续向上但强度未触发修正，而流动性、信用都 修正为偏弱，因此宏观各维度的方向为经济好转、流动性偏弱和信用收缩。本期我们主要 按照对经济敏感、对信用不敏感来选择得分前三的因子，成长的宏观得分偏低，宏观部分 选择以价值、低波为主；沪深 300、中证 500 中价值都为共振因子，中证 500 中不再配 置成长，而中证 1000 成长得分仍靠前。 大类资产配置观点：黄金配置比例再次提高。目前经济上行、流动性偏紧、信用收缩，债 ● 券的观点偏弱，黄金由于动量回升重新配置到上 ...

2025 年 12 月 01 日 大股票池配置仍偏价值，PPI 关注度 升至最高 ——量化资产配置月报 202512 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 A0230521070001 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 本研究报告仅通过邮件提供给 中庚基金 使用。1 量 化 策 略 ⚫ 大股票池配置仍偏价值。按照定量指标的结果，目前经济出现回升、流动性略偏紧，信用 指标略好，微观映射中经济（盈利预期）继续向上但强度未触发修正，而流动性、信用都 修正为偏弱，因此宏观各维度的方向为经济好转、流动性偏弱和信用收缩。本期我们主要 按照对经济敏感、对信用不敏感来选择得分前三的因子，成长的宏观得分偏低，宏观部分 选择以价值、低波为主；沪深 300、中证 500 中价值都为共振因子，中证 500 中不再配 置成长，而中证 1000 成长得分仍靠前。 ⚫ ...

Core Insights - The article discusses the integration of macro quantification and factor momentum to identify resonant factors for investment strategies, emphasizing the importance of economic, liquidity, and credit indicators in shaping market expectations [1][3]. Group 1: Factor Scores and Market Indicators - The macroeconomic indicators show signs of recovery, with economic growth expected to improve, while liquidity is slightly weak and credit conditions are tightening [3][4]. - Value factors have seen a significant increase in scores, becoming resonant factors in the CSI 300 index, while growth factors have declined [4][6]. - The article presents a table of factor scores across different indices, indicating a preference for value and low volatility factors in the current market environment [4]. Group 2: Economic Outlook and Leading Indicators - The economic leading indicators model suggests that the economy is in a rising cycle since September 2025, with a slight upward trend expected in the coming months [6][9]. - Specific indicators such as PMI and fixed asset investment are analyzed, showing a mixed outlook with some indicators in a rising phase while others are nearing a peak [11][12]. - The article highlights the importance of monitoring leading indicators to anticipate future economic cycles and potential downturns [9][10]. Group 3: Liquidity and Credit Conditions - The liquidity environment is assessed as slightly loose despite some tightening in interest rates, with a focus on the net monetary supply and excess reserve rates [12][16]. - Credit indicators show a mixed picture, with overall credit volume and structure remaining low, but some signs of recovery are noted [17][18]. - The article suggests a cautious approach to credit-sensitive investments due to the ongoing tightening in credit conditions [17]. Group 4: Asset Allocation and Market Focus - The asset allocation strategy is adjusted to reflect a neutral to positive stance on A-shares, while reducing exposure to gold and bonds due to changing market dynamics [18]. - The focus on PPI and liquidity as key market drivers indicates a shift in investor sentiment towards these macroeconomic variables [19]. - The article emphasizes the importance of selecting industries that are sensitive to economic changes but less affected by credit conditions, with a preference for sectors like utilities and coal [21].

Group 1 - The value factor score has improved, indicating a recovery in the economy, with liquidity slightly loose and credit indicators showing slight improvement. The macro direction is characterized by economic recovery, weak liquidity, and credit contraction [3][8][14] - The economic leading indicators are expected to maintain an upward trend, with predictions indicating a peak in March 2026 [14][15] - The liquidity environment is slightly loose overall, despite interest rates being above the average, with monetary supply remaining positive [21][24][22] Group 2 - The credit indicators are weak, with credit volume and structure maintaining low levels, although there has been a slight expansion in credit structure [25][26] - The allocation view for major asset classes indicates a decrease in gold allocation to 10%, while A-shares are favored [26][27] - Market focus has shifted towards economic indicators, with PPI attention rising above economic concerns recently [27][28] Group 3 - The industry selection is inclined towards sectors that are sensitive to economic changes but insensitive to credit fluctuations, with a general preference for value-oriented sectors [29][30] - The top-performing industries based on economic sensitivity include utilities, coal, and construction decoration, while the highest credit scores are seen in retail and banking [30]

Group 1 - The value factor score has improved, indicating a recovery in the economy, with liquidity slightly loose and credit indicators showing slight improvement. The macro direction suggests economic recovery, weak liquidity, and credit contraction [3][6][8] - The economic outlook indicator is maintained at an upward trend, with expectations of a slight increase over the next three months, reaching a peak in March 2026 [14][15] - The liquidity environment is characterized by interest rates above the average, but overall remains slightly loose, with monetary supply still positive [23][24][26] Group 2 - The credit indicators are weak, with credit volume and structure remaining low. The total credit indicators continue to decline, while the credit structure shows slight recovery [28] - The allocation view for major asset classes indicates a decrease in gold allocation to 10%, while A-shares allocation is increased [29] - Market focus has shifted towards economic indicators, with PPI attention rising above economic concerns recently [30] Group 3 - Industry selection is inclined towards sectors sensitive to economic changes but insensitive to credit fluctuations, with a general preference for value-oriented industries [32] - The top scoring industries based on economic sensitivity include utilities, coal, and construction decoration, while the highest credit scoring industries include retail and banking [33]

Group 1 - The article emphasizes a balanced approach to factor selection, integrating macroeconomic quantitative insights with factor momentum to identify resonant factors while adjusting for discrepancies between macro and micro indicators [1] - Current macroeconomic indicators show signs of economic recovery, slightly loose liquidity, and improved credit metrics, leading to a revised outlook of economic improvement, weak liquidity, and loose credit [1] - The article presents a table summarizing the performance of various factors across different indices, indicating that growth factors remain strong in the CSI 300, while the CSI 500 shows a more balanced factor selection [2][3] Group 2 - Economic leading indicators are beginning to rise, with the PMI and new orders showing increases, suggesting a slight upward trend in economic activity expected to continue into early 2026 [5][9] - The liquidity environment is assessed as slightly loose despite rising interest rates, with a comprehensive liquidity signal indicating a mixed outlook [11][15] - Credit indicators are showing weakness, with a slight positive shift in overall credit metrics, indicating a complex credit environment [15][16] Group 3 - The article suggests a preference for asset allocation towards gold due to strong momentum, while equity allocations are slightly reduced, reflecting a cautious stance on A-shares [16] - The focus of market attention is shifting from liquidity to economic indicators, with recent trends indicating a growing concern for economic performance over liquidity conditions [17] - Industry selection is advised to favor sectors sensitive to economic changes but less affected by liquidity, with public utilities and coal being highlighted as top sectors based on their sensitivity scores [19]

Group 1 - The report indicates that the economic leading indicators are showing signs of a slight recovery, with liquidity remaining slightly loose and credit indicators improving [3][12][19] - The economic forecast model suggests that October 2025 is at a turning point, with expectations for a slight upward trend over the next three months before entering a plateau [12][13] - The report highlights that the focus of the market is shifting towards economic indicators, surpassing liquidity concerns, with increased attention on economic and PPI-related factors [26][27] Group 2 - The liquidity environment is characterized by rising interest rates, with long-term rates exceeding the average, while overall liquidity remains slightly loose due to positive monetary supply signals [19][22] - Credit indicators have shown a slight positive trend, although the overall credit volume and structure remain low, indicating a mixed outlook for credit conditions [23][24] - The asset allocation perspective suggests a high allocation to gold due to strong momentum, while equity allocations have been slightly reduced [24][25] Group 3 - The industry selection is leaning towards sectors that are sensitive to economic conditions but less sensitive to liquidity, with a notable increase in defensive and consumer attributes [28][29] - The report identifies specific industries with the highest sensitivity to economic changes, including utilities and coal, while also highlighting sectors like media and consumer electronics for credit sensitivity [28][29] - The overall balance in industry selection reflects a decline in growth attributes, emphasizing a more defensive investment strategy [29]

Group 1 - The report indicates a slight recovery in economic indicators, with liquidity remaining slightly loose and credit indicators showing improvement. The macroeconomic dimensions suggest an overall direction of economic improvement, weak liquidity, and loose credit [3][6][8] - The economic leading indicators are expected to show a slight upward trend over the next three months, indicating a bottoming out in October 2025, with a prolonged period of slight recovery compared to last month [12][13] - The liquidity environment is characterized by rising interest rates, with long-term rates exceeding the moving average, while overall liquidity remains slightly loose due to positive monetary supply signals [19][22] Group 2 - The report emphasizes a high allocation to gold, with a weakening view on bonds and a slight reduction in A-share allocation. The current economic upturn, tight liquidity, and favorable credit conditions support this allocation strategy [24][26] - Market focus has shifted towards economic indicators, surpassing liquidity concerns, with a notable increase in attention to economic and PPI-related factors since September [26][28] - The industry selection is inclined towards sectors sensitive to economic changes, less sensitive to liquidity, and sensitive to credit conditions. The report highlights a decrease in growth attributes and an increase in defensive and consumer attributes, indicating a balanced approach [28][30][29]

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]