This series of reports aims to provide clients with monthly tactical allocation insights through quantitative methodologies. Looking ahead to February 2026, for major asset allocation, it is recommended to increase positions in equities and government bonds. At the equity style allocation level, a growth style and a balanced allocation between large and small market capitalizations are favored. Regarding sector allocation, industries such as building materials, semiconductors, computers, and defense exhibit promising investment value. As of the end of January 2026, the high-frequency macro-factor allocation portfolio, the large-cap/small-cap style allocation portfolio, the growth/value style allocation portfolio, and the equity sector allocation portfolio achieved absolute returns for 2026 of 5.1%, 4.3%, 6.9%, and 5.6% respectively.
The asset allocation view based on macro factors suggests increasing allocations to equities and government bonds. This month's macro-factor adjusted allocation plan, compared to the previous month's, increased the weightings for government bonds, the CSI 300, the CSI 1000, and the S&P 500 by 5.0 percentage points, 3.7 percentage points, 0.5 percentage points, and 0.3 percentage points, respectively. As of the end of January 2026, the latest positioning signals for the macro-factor adjusted allocation plan are: Government Bonds (20.8%) > CSI 300 (19.3%) > Energy & Chemicals (13.6%) > CSI 1000 (13.5%) > Hang Seng Index (12.9%) > Metals (10.2%) > S&P 500 (6.5%) > Gold (3.1%).
The equity style allocation view favors a growth style and a balanced configuration between large and small market capitalizations. From a macroeconomic perspective, the PMI new orders index for January 2026 decreased month-on-month, while industrial added value for December 2025 increased year-on-year, and the CPI-PPI year-on-year difference widened slightly; overall, macroeconomic indicators support a balanced allocation stance. From a liquidity dimension, US Treasury yields remained flat; domestically, the M1-M2 year-on-year growth spread declined, SHIBOR rates continued their downward trend, the 10-year to 1-year government bond yield spread narrowed for the full month, and the year-on-year growth rate of medium and long-term loan balances slowed; most liquidity indicators showed marginal stabilization, which is relatively favorable for large-cap and value styles. Regarding industry景气度, the景气度 of growth-style industries rebounded, benefiting the growth style. Among micro-market indicators, the overall market turnover rate in January 2026 remained at historically high percentile levels; trading crowding in the growth style was high but showed a pullback from peaks; the ERP indicator provided no clear signal; collectively, micro-market indicators favor the growth style and small-cap style. Overall, the equity style allocation model favors a growth style and a balanced allocation between large and small market capitalizations.
The equity sector allocation view indicates that sectors like building materials, semiconductors, computers, and defense possess relatively good配置价值. The multi-dimensional sector ETF rotation model utilizes industry meso-level景气度, changes in analyst expectations, and valuation levels to筛选 industries with high景气度 under reasonable valuations; it also incorporates market price trends, trading crowding, and margin lending fund flows to time adjustments to the weights of these景气 industries, effectively enhancing the portfolio's return potential while ensuring long-term investment value based on fundamentals. As of the end of January 2026, the equity sector rotation strategy indicates high配置价值 for multiple sectors including building materials, computers, semiconductors, defense, tourism, animal husbandry, coal, real estate, batteries, and automobiles, and recommends an equal-weight allocation across these sectors.
As of the end of January, the macro-factor adjusted asset allocation方案, equity style rotation strategy, and equity sector allocation strategy all achieved positive absolute returns for the year. The risk-parity asset portfolio based on high-frequency macro-factor adjustments achieved a year-to-date return of 5.1% as of the end of January 2026. The growth/value style rotation, large/small cap style rotation, and sector rotation strategies achieved absolute returns for 2026 of 6.9%, 4.3%, and 5.6%, respectively.
Risk factors include potential failure of quantitative models; significant differences between future asset return/risk characteristics and historical patterns; substantial shifts in market expectations; and major policy changes affecting manufacturing, technology, consumer, and pro-cyclical industries.