策略:红利内部轮动模型:迈向周期与制造。我们尝试构建了基于宏观状态的红利轮动组合:轮动对象为中证红利成分的再划分——周期、消费、稳定、制造四大类;宏观状态划分参数选取为企业利润先行指标表征M1 同比、通胀水平表征PPI 定基指数、资金流动性表征10Y 国债到期收益率。在10-25 年历史数据回测下筛选出各宏观状态表现最优红利大类,构建的轮动组合历史年化收益率为15%。25 年5 月以来M1 同比↑...
Source Link策略:红利内部轮动模型:迈向周期与制造。我们尝试构建了基于宏观状态的红利轮动组合:轮动对象为中证红利成分的再划分——周期、消费、稳定、制造四大类;宏观状态划分参数选取为企业利润先行指标表征M1 同比、通胀水平表征PPI 定基指数、资金流动性表征10Y 国债到期收益率。在10-25 年历史数据回测下筛选出各宏观状态表现最优红利大类,构建的轮动组合历史年化收益率为15%。25 年5 月以来M1 同比↑...
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