Quantitative Models and Construction Methods 1. Model Name: "Clock + Turning Point Improvement Method" Asset Rotation Model - **Model Construction Idea**: This model integrates macroeconomic risk factors with asset rotation strategies, leveraging the "investment clock" concept and improving turning point identification through a combination of momentum and phase judgment methods [8][23][24] - **Model Construction Process**: 1. Macro risk factors (e.g., economic growth, inflation, interest rates, credit, exchange rates, and term spreads) are used to determine the macroeconomic state [8] 2. The "investment clock" framework is applied to link macroeconomic states with asset performance. For example, recovery and overheating phases favor equities and commodities, while stagflation and recession phases favor bonds and gold [9][15] 3. Turning points in macroeconomic factors are identified using a combination of momentum and phase judgment methods: - Momentum is calculated as: $$ Momentum_t = X_t - \frac{1}{3}(X_{t-1} + X_{t-2} + X_{t-3}) $$ where \( X_t \) represents the macro factor value at time \( t \) [16] - Phase judgment uses a 38-month sine wave to identify the current phase of macro factors, categorizing them into upward, downward, top, or bottom regions [21][22] 4. Asset scores are calculated based on the macro factor states, and risk allocation is adjusted accordingly. Initial risk weights are set as large-cap stocks: small-cap stocks: bonds: commodities: gold = 1:1:1:0.5:0.5. Positive scores double the risk allocation, while negative scores halve it [24] 5. Backtesting is conducted over the period from January 2011 to December 2023 [25] - **Model Evaluation**: The model demonstrates strong performance in terms of returns, risk control, and drawdown management, achieving nearly 10% annualized returns while maintaining low volatility and drawdowns [27] --- Model Backtesting Results 1. "Clock + Turning Point Improvement Method" Asset Rotation Model - **Total Return**: 242.45% - **Annualized Return**: 9.93% - **Annualized Volatility**: 6.83% - **Sharpe Ratio**: 1.45 - **Maximum Drawdown**: 6.31% - **Win Rate**: 73.08% [27] 2. Benchmark Equal-Weighted Portfolio - **Total Return**: 83.59% - **Annualized Return**: 4.78% - **Annualized Volatility**: 10.99% - **Sharpe Ratio**: 0.43 - **Maximum Drawdown**: 20.63% - **Win Rate**: 55.77% [27] --- Quantitative Factors and Construction Methods 1. Factor Name: Macro Risk Factors - **Factor Construction Idea**: These factors aim to capture various dimensions of macroeconomic risks, including economic growth, inflation, interest rates, credit, exchange rates, and term spreads, providing a comprehensive view of the macroeconomic environment [8] - **Factor Construction Process**: 1. **Economic Growth**: - Indicators: Industrial production YoY, PMI, retail sales YoY - Processing: HP filtering and volatility-weighted averaging - Interpretation: Positive values indicate economic expansion [8] 2. **Inflation**: - Indicators: PPI YoY, CPI YoY - Processing: HP filtering and volatility-weighted averaging - Interpretation: Positive values indicate rising inflation [8] 3. **Interest Rates**: - Indicators: Bond indices (1-3 years), money market indices - Processing: Equal-weighted portfolio construction and net value calculation - Interpretation: Negative values indicate falling interest rates and loose monetary conditions [8] 4. **Exchange Rates**: - Indicators: Gold prices (Shanghai and London) - Processing: Equal-weighted long-short portfolio construction - Interpretation: Positive values indicate currency depreciation [8] 5. **Credit**: - Indicators: Corporate bond indices (AAA) vs. government bond indices - Processing: Duration-neutral portfolio construction - Interpretation: Positive values indicate widening credit spreads and tighter credit conditions [8] 6. **Term Spreads**: - Indicators: Short-term vs. long-term bond indices - Processing: Duration-neutral portfolio construction - Interpretation: Positive values indicate widening term spreads [8] --- Factor Backtesting Results 1. Macro Risk Factors (July 2025 State) - **Economic Growth**: Upward (Recovery phase) - **Inflation**: Downward - **Interest Rates**: Downward - **Credit**: Downward - **Exchange Rates**: Downward - **Term Spreads**: Downward [36]

Core Insights - The performance of FOF (Fund of Funds) products has been impressive this year, with over 90% achieving positive returns [1][4] - The asset allocation approach is described as having "no optimal solution," emphasizing the need for a stable analytical framework and diversified investments to avoid common pitfalls like "chasing gains and cutting losses" [1][3][6] Group 1: Asset Allocation Strategies - The manager, Tang Jun, advocates for a multi-faceted asset allocation strategy that includes objective standards and diversified returns to mitigate risks associated with market expectations [1][6] - Tang Jun's experience in quantitative investment has shaped his ability to identify market factors and adjust asset allocations dynamically based on market conditions [2][4] - The current allocation strategy has shifted towards A-shares, reflecting a responsive adjustment to market trends, with a notable increase in A-share allocation compared to Hong Kong stocks [4][5] Group 2: Market Insights and Tactical Adjustments - The positive performance of FOF products is attributed to effective diversification strategies, particularly during stable market conditions [4] - Despite uncertainties in external environments, domestic policy support is expected to provide a solid foundation for the A-share market, leading to a stable and potentially strong performance [5] - Tang Jun has actively engaged in tactical allocations within sectors like innovative pharmaceuticals and military industries, capitalizing on growth trends and market opportunities [5][6] Group 3: Behavioral Insights and Investor Guidance - The common mistake of "chasing gains and cutting losses" is highlighted, with recommendations for establishing an analytical framework based on objective standards to guide investment decisions [6][7] - Understanding "expectation differences" is crucial for avoiding impulsive trading decisions, as market consensus often serves as a contrary indicator [7] - Investors are advised to differentiate between returns driven by style beta and alpha when selecting funds, which aligns with Tang Jun's quantitative research background [7]

Core Viewpoint - The recent "anti-involution" theme has led to a strong performance in sectors such as solar energy, cement, steel, and automobiles, with expectations for manufacturing profitability to rebound due to supply contraction [1][7]. Group 1: Investment Strategy - The investment approach combines macro and micro perspectives, focusing on cyclical growth opportunities while exhibiting distinct sub-industry rotation characteristics [2]. - The investment framework emphasizes "mid-cycle comparison, cyclical thinking, and growth perspective," with a preference for left-side positioning to navigate market cycles [3]. Group 2: Market Analysis - The current global economy is in a Kondratiev wave down phase, transitioning from incremental competition to stock competition, with a focus on maintaining positions while seizing structural opportunities [6]. - The long-term outlook for gold and copper is positive, with gold's price driven by factors beyond interest rate expectations, such as the weakening of the dollar's credit [6]. Group 3: Sector Focus - The "anti-involution" movement is expected to enhance manufacturing profitability, presenting potential rebound opportunities in related sectors [7]. - Copper is identified as a key asset due to its critical role in electricity transmission and electromagnetic conversion, making it a resilient choice in the current economic cycle [6].

Group 1 - The recent surge in silver prices contrasts with gold's stagnation, attributed to silver's industrial demand and its role as a shadow commodity to gold [2][3] - Other precious metals like platinum and palladium have also seen significant price increases, with platinum rising over 50% since April and palladium over 30% [2] - The macroeconomic backdrop for commodities this year includes concerns over the U.S. fiscal situation, leading to a decline in the dollar index by over 10% since the beginning of the year [3] Group 2 - The performance of gold and silver varies with economic conditions; during weaker economic phases, gold tends to outperform silver, while in stronger phases, silver benefits from increased industrial demand [3][4] - Historical data shows that during periods of rising global manufacturing PMI, the gold-silver ratio decreases, indicating silver's relative strength [4] Group 3 - In the black commodity sector, the current basis changes present trading opportunities, with significant fluctuations observed in the market [5][6] - The recent price increases in the black commodity sector are not fully reflected in the spot market, leading to discrepancies between futures and actual market conditions [5][6][7] Group 4 - The current market dynamics suggest a potential bottoming out for commodities, driven by low absolute prices and the emergence of demand, particularly from real estate and exports [16][12] - The market is experiencing a rotation of leading commodities, with polysilicon and lithium showing significant price movements [30][29] Group 5 - The Shanghai Composite Index has seen a substantial increase of nearly 28% since September 2024, indicating a technical bull market [32][33] - The banking sector has been a major contributor to this rise, accounting for 24% of the index's increase, followed by the electronics and non-banking sectors [37][38]

Core Viewpoint - The report outlines the performance and investment strategy of the Penghua Hong'an Flexible Allocation Mixed Securities Investment Fund for the second quarter of 2025, emphasizing its focus on asset allocation and risk management to achieve capital preservation and appreciation. Group 1: Fund Overview - The fund is managed by Penghua Fund Management Co., Ltd. and is custodied by Ping An Bank Co., Ltd. [1] - The total number of fund shares at the end of the reporting period is 637,343,128.42 shares [1]. - The fund aims to select investment targets with high safety margins, including stocks and bonds, under a scientifically rigorous asset allocation framework [1]. Group 2: Investment Strategy - The fund employs a dynamic asset allocation strategy based on macroeconomic variables and national policies, aiming for flexible allocation among stocks, bonds, and currencies [2]. - A combination of top-down and bottom-up approaches is used to identify quality companies, focusing on industry growth prospects and company fundamentals [3]. - The fund's bond investment strategy includes duration management, yield curve strategies, and credit strategies to enhance returns while controlling risks [4]. Group 3: Performance Metrics - For the reporting period from April 1, 2025, to June 30, 2025, the net value growth rate for Class A shares is 0.55%, while the benchmark growth rate is 1.69% [5]. - Class C shares show a net value growth rate of 0.48%, also against a benchmark growth rate of 1.69% [5]. - The fund's performance is benchmarked against a composite index consisting of 70% of the China Bond Composite Index and 30% of the CSI 300 Index [5]. Group 4: Financial Indicators - The fund's total assets include approximately 1,074,721,341.47 RMB in bonds, representing 99.50% of the total assets [9]. - The fund's investment in policy financial bonds amounts to 69,946,653.42 RMB, accounting for 7.54% of the fund's net asset value [9]. - The fund's investment strategy includes the use of stock index futures for hedging purposes, aiming to stabilize the net asset value of the investment portfolio [10].

Quantitative Models and Construction Methods Model Name: "Clock + Turning Point Improvement Method" Large Asset Rotation Model - **Model Construction Idea**: The model combines the investment clock theory with turning point improvement methods to optimize asset rotation strategies[5][23] - **Model Construction Process**: 1. Assume that the macroeconomic factors will continue their current state into the next month[23] 2. Calculate the total score of each asset based on the current state of macroeconomic risk factors[24] 3. Introduce a risk budget model with initial risk ratios for each asset: large-cap stocks: small-cap stocks: bonds: commodities: gold = 1:1:1:0.5:0.5. Adjust the risk ratios based on the total score, doubling the risk ratio for each positive score and halving it for each negative score[24] 4. Backtesting period: January 2011 - December 2023[25] - **Model Evaluation**: The model performs excellently in terms of returns, risk control, and drawdown management, achieving nearly 10% annualized returns while controlling high-risk asset positions[27] Quantitative Factors and Construction Methods Factor Name: Macroeconomic Risk Factors - **Factor Construction Idea**: Utilize macroeconomic data and asset portfolios to construct six macroeconomic risk factors: economic growth, inflation, interest rates, exchange rates, credit, and term spreads[8] - **Factor Construction Process**: - **Economic Growth**: Use industrial added value year-on-year (M0000545), PMI (M0017126), and social retail sales year-on-year (M0001428). Apply HP filtering and volatility inverse weighting[8] - **Inflation**: Use PPI year-on-year (M0001227) and CPI year-on-year (M0000612). Apply HP filtering and volatility inverse weighting[8] - **Interest Rates**: Construct an equal-weighted investment portfolio using the ChinaBond Treasury Wealth Index (1-3 years) (CBA00621.CS) and the CSI Money Market Fund Index (H11025.CSI), and calculate net value year-on-year returns[8] - **Exchange Rates**: Construct an equal-weighted long-short investment portfolio using Shanghai Gold (AU9999.SGE) and London Gold Spot (SPTAUUSDOZ.IDC), and calculate net value year-on-year returns[8] - **Credit**: Construct a duration-neutral investment portfolio using the ChinaBond Corporate Bond AAA Index (CBA04231.CS) and the ChinaBond Treasury Wealth Index (CBA00631.CS), and calculate net value year-on-year returns[8] - **Term Spreads**: Construct a duration-neutral investment portfolio using the ChinaBond Medium-Short Term Bond Wealth Index (CBA00701.CS) and the ChinaBond Long Term Bond Wealth Index (CBA00801.CS), and calculate net value year-on-year returns[8] - **Factor Evaluation**: The factors provide a comprehensive risk perspective by capturing multiple aspects of the macroeconomic environment[8] Model Backtesting Results "Clock + Turning Point Improvement Method" Large Asset Rotation Model - **Total Return**: 242.45%[27] - **Annualized Return**: 9.93%[27] - **Annualized Volatility**: 6.83%[27] - **Annualized Sharpe Ratio**: 1.45[27] - **Maximum Drawdown**: 6.31%[27] - **Win Rate**: 73.08%[27] Factor Backtesting Results Macroeconomic Risk Factors - **Economic Growth**: Upward[36] - **Inflation**: Downward[36] - **Interest Rates**: Downward[36] - **Credit**: Downward[36] - **Exchange Rates**: Downward[36] - **Term Spreads**: Downward[36]

Core Viewpoint - The article emphasizes the importance of a macroeconomic perspective in investment strategies, highlighting the need to adapt to changing economic conditions and the role of monetary and credit dynamics in asset allocation [3][6][14]. Group 1: Investment Strategy - The investment approach combines strategic and tactical elements, where strategy is determined by long-term factors and tactics by short-term market conditions [10][15]. - The focus on "currency-credit" dynamics helps in understanding the underlying economic trends and informs asset allocation decisions [7][14]. - The manager has been proactive in asset allocation, notably increasing exposure to gold and convertible bonds ahead of market trends [3][14]. Group 2: Market Analysis - The current market environment is characterized by a lack of inflationary pressure and expectations of further monetary easing, which supports a positive outlook for various asset classes [14][15]. - The analysis indicates that the U.S. government's fiscal policies significantly impact economic conditions, necessitating close monitoring of credit expansion and fiscal deficits [7][14]. - The article discusses the potential for investment opportunities in A-shares and Hong Kong stocks, driven by favorable economic conditions and government support for technology and dividend-paying stocks [15][16]. Group 3: Tactical Opportunities - Tactical opportunities arise from market sentiment, where a shift in investor emotions can create favorable conditions for investment [10][11]. - The manager emphasizes the importance of monitoring market indicators, such as financing balances, to gauge retail investor sentiment and adjust strategies accordingly [11][15]. - The integration of various asset classes in a portfolio is guided by risk parity models, ensuring balanced risk contributions from different assets [11][15].

Group 1 - The article discusses the increasing uncertainty in global economic policies and the challenges investors face in wealth growth, particularly in the context of low interest rates in China and high volatility in equity assets [1][4] - It introduces two classic asset allocation models: the Permanent Portfolio and the All Weather Portfolio, which aim to create low-volatility investment strategies that can withstand economic cycles [1][4] - Historical data from 1971 to 2024 shows that both models have achieved annualized returns of 8-9% in the US market, with the Permanent Portfolio yielding 8.4% and the All Weather Portfolio yielding 8.7% [10][11] Group 2 - The long-term effectiveness of these models is attributed to three main reasons: economic growth and monetary expansion leading to positive returns on underlying assets, low correlation among assets reducing portfolio volatility, and diversification and rebalancing enhancing compound returns [2][19] - The article emphasizes that the long-term returns of various asset classes are generally positive, with equities outperforming other assets, which is crucial for the portfolio's ability to exceed nominal GDP growth [2][20][22] Group 3 - The article details the asset allocation ratios for both models, explaining that there is no optimal allocation ratio as it depends on individual risk preferences and return objectives [3][55] - It highlights the importance of understanding the long-term returns and volatility of underlying assets, as well as their correlations, to make informed allocation decisions [56][57] Group 4 - The article analyzes the performance of the Permanent and All Weather Portfolios in the US market, showing that both portfolios have lower volatility compared to individual asset classes while achieving returns close to equities [14][18] - It provides a detailed examination of the historical performance of these portfolios, including their maximum drawdowns and annual returns over the years [10][11][12]

Quantitative Models and Construction Methods Model Name: Macro Risk Factor-Based Asset Rotation Model - **Model Construction Idea**: The model utilizes macroeconomic risk factors to guide asset allocation decisions, aiming to optimize returns while controlling risks[5][8]. - **Model Construction Process**: 1. **Macro Risk Factor System**: Six macro risk factors are constructed using economic growth, inflation, interest rates, exchange rates, credit, and term spread indicators[8]. 2. **Investment Clock**: The model incorporates the "growth-inflation clock" and "interest rate-credit clock" to understand asset performance under different macroeconomic conditions[9][10][11]. 3. **Phase Judgment Method**: The model uses factor momentum and phase judgment methods to identify macroeconomic turning points[16][17][21][22]. 4. **Asset Rotation Model**: Combining the investment clock and phase judgment methods, the model adjusts asset allocation based on current macroeconomic conditions[23][24]. 5. **Backtesting Period**: The model is backtested from January 2011 to December 2023[25]. 6. **Performance Metrics**: The model's performance is evaluated using total return, annualized return, annualized volatility, Sharpe ratio, maximum drawdown, and win rate[27]. - **Model Evaluation**: The model demonstrates excellent performance in terms of returns, risk control, and drawdown management, achieving nearly 10% annualized returns with controlled risk exposure[27]. Model Backtesting Results - **Macro Risk Factor-Based Asset Rotation Model**: - Total Return: 242.45%[27] - Annualized Return: 9.93%[27] - Annualized Volatility: 6.83%[27] - Sharpe Ratio: 1.45[27] - Maximum Drawdown: 6.31%[27] - Win Rate: 73.08%[27] Quantitative Factors and Construction Methods Factor Name: Macro Risk Factors - **Factor Construction Idea**: The factors are designed to capture various aspects of the macroeconomic environment, providing a comprehensive risk perspective[8]. - **Factor Construction Process**: 1. **Economic Growth**: Constructed using industrial added value, PMI, and retail sales growth, processed with HP filtering and weighted by volatility inverse[8]. 2. **Inflation**: Constructed using PPI and CPI growth, processed with HP filtering and weighted by volatility inverse[8]. 3. **Interest Rates**: Constructed using bond indices and money market fund indices, weighted equally[8]. 4. **Exchange Rates**: Constructed using gold prices in Shanghai and London, forming an equal-weighted long-short portfolio[8]. 5. **Credit**: Constructed using corporate bond and government bond indices, forming a duration-neutral portfolio[8]. 6. **Term Spread**: Constructed using short-term and long-term bond indices, forming a duration-neutral portfolio[8]. - **Factor Evaluation**: The factors provide a detailed and comprehensive view of macroeconomic risks, aiding in better asset allocation decisions[8]. Factor Backtesting Results - **Economic Growth Factor**: Upward trend[36] - **Inflation Factor**: Downward trend[36] - **Interest Rate Factor**: Tight interest rate, loose credit[36] - **Credit Factor**: Downward trend[36] - **Exchange Rate Factor**: Downward trend[36] - **Term Spread Factor**: Downward trend[36] Monthly Performance Review (May 2025) - **Model Performance**: - Monthly Return: -0.29%[30] - Benchmark Return: 0.3%[30] - Excess Return: -0.6%[30] - **Asset Allocation**: - Large Cap Stocks: 5.3%[34] - Small Cap Stocks: 3.01%[34] - Bonds: 69.95%[34] - Commodities (excluding gold): 12.84%[34] - Gold: 8.9%[34] Next Month's Allocation Suggestion (June 2025) - **Model Allocation**: - Large Cap Stocks: 1.91%[35] - Small Cap Stocks: 0.96%[35] - Bonds: 88.54%[35] - Commodities (excluding gold): 2.79%[35] - Gold: 5.81%[35] - **Risk Allocation**: - Large Cap Stocks: 0.06[35] - Small Cap Stocks: 0.06[35] - Bonds: 4[35] - Commodities (excluding gold): 0.125[35] - Gold: 1[35]

Core Insights - The article highlights the investment strategies and insights of Tang Jun, a prominent fund manager at Zhongtai Securities, emphasizing his focus on macroeconomic research and multi-asset allocation [1][2]. Group 1: Investment Strategies - Tang Jun has been proactive in asset allocation, notably increasing exposure to gold assets in early 2023, anticipating its value to rise by 2025 [2]. - The investment approach is based on a framework that prioritizes monetary and credit dynamics, allowing for a more nuanced understanding of economic cycles [3][4]. - The strategy involves a dual-layered approach: a long-term strategic allocation based on fundamental factors and a tactical allocation that responds to short-term market fluctuations [7][8]. Group 2: Market Analysis - The article discusses the failure of traditional economic models post-2008 financial crisis, leading to the development of a new economic cycle model called "Zhongtai Clock," which incorporates policy dimensions [2][3]. - Tang Jun emphasizes the importance of monitoring fiscal deficits as a key indicator of inflation trends in the U.S. economy [3][6]. - The current market environment is characterized by a loose domestic monetary policy and improving credit conditions, suggesting a gradual recovery [6][7]. Group 3: Asset Class Focus - Gold remains a strategic focus for Tang Jun, driven by concerns over the stability of the U.S. dollar and its long-term implications for investment [6][7]. - The A-share market is viewed as having significant potential, with a "dividend + technology" strategy being a key focus for future investments [7][8]. - The bond market is also highlighted as having long-term value, with an emphasis on the benefits of a stable liquidity environment [7][8].