زمان‌بندی پیوسته کلان برای تخصیص ETF رشد و تدافعی

# 2605.20636


# Continuous Timing Signals for Growth-Defensive Style Allocation: Factor Attribution, Risk Matching, and Out-of-Sample Evidence









This paper studies conditional allocation between a growth/technology ETF basket, denoted by $G$, and a defensive income/value-oriented ETF basket, denoted by $D$. The objective is not to discover a new standalone alpha factor, but to examine whether known style exposures can be dynamically allocated using macro-market timing signals. Fama-French five-factor plus momentum attribution shows that the relative portfolio $G-D$ is a recognizable style portfolio: its market beta is 0.273, its HML beta is -0.552, its momentum beta is 0.117, and its annualized alpha is 1.95\% with a Newey-West t-statistic of only 0.81. The empirical object is therefore interpreted as a growth-versus-defensive style allocation problem rather than a new return anomaly. The allocation framework replaces discrete regime labels and if-then trading rules with a continuous smooth score. The score combines rate relief, SPY drawdown depth, high-VIX stress relief, and a growth-crowding penalty. Interaction terms are smoothed with softplus functions, the total score is mapped to G/D weights through a hyperbolic tangent function, and realized weights are smoothed with EWMA. In the main aligned comparison window from June 28, 2017 to May 15, 2026, with 10bp transaction costs, the selected smooth-score policy uses a 50\% maximum active tilt and obtains a 19.24\% CAGR, a Sharpe ratio of 1.01, and a maximum drawdown of -31.63\%. It improves over 50/50 G/D, matched TNX-only, matched core-only, SPY, and volatility-matched 100\% G benchmarks. It does not, however, exceed 100\% G or the best high-G static portfolios in raw CAGR. Walk-forward and post-2022 validations provide additional evidence of drawdown reduction and risk-adjusted allocation value. Overall, the evidence supports continuous, interpretable style timing, while also showing that high static growth exposure remains a strong benchmark.