基于宏观风险因子的大类资产轮动模型

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基于宏观风险因子的大类资产轮动模型绩效月报20250630-20250704
Soochow Securities· 2025-07-04 01:33
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]
基于宏观风险因子的大类资产轮动模型绩效月报20250228
Soochow Securities· 2025-03-05 00:25
Investment Rating - The report suggests a cautious view on large-cap and small-cap stocks, while being bullish on commodities and gold for March 2025 [27][32]. Core Insights - The model achieved an annualized return of 9.93% with a volatility of 6.83% from January 2011 to December 2023, demonstrating excellent performance in terms of returns, risk, and drawdown control [25]. - In February 2025, the model's return was -0.6%, with a risk allocation favoring bonds significantly [27]. - The macroeconomic state as of late February 2025 indicates a recovery phase with rising exchange rates and term spreads, while interest rates and credit factors are declining [28][33]. Summary by Sections Model Review - The macro risk factor model includes six factors: economic growth, inflation, interest rates, exchange rates, credit, and term spreads, providing a comprehensive risk perspective [6]. - The report outlines the performance of various asset classes under different macroeconomic conditions, aligning with international market trends [7][10]. Performance Review (February 2025) - In February, small-cap stocks performed well (+6.76%), while large-cap stocks saw a modest increase (+2.03%). Bonds and non-gold commodities underperformed, while gold rose by +4.30% [27]. - The risk allocation for February was heavily weighted towards bonds (85.69%), with minimal exposure to equities and commodities [31]. March Allocation Outlook - For March 2025, the model suggests a bullish stance on commodities and gold, with a cautious view on both large-cap and small-cap stocks [28][32]. - The proposed risk allocation for March is significantly tilted towards bonds (66.85%) and commodities (13.86%) [32].