风格周期仍处复苏阶段 距繁荣阶段仅差2个点

Recovery's 3Oth month marks a 3-year high in CMI Europe kind on record (Exhibit 68), as the European Composite Macro Indicator (CMI) improvedin August to its highest level since Aug 23. 'Recovery' favours Value over Growth, Rising BofA Momentum, Low Quality,High Risk,and Small-Mid overLargecaps.Last month,TopStyle Cycle stocks outperformed Bottom stocks by1.3%, while outperforming in17 outof 20 sectors and 7 out of 8 countries. For the latest Recovery screens, see Exhibit 47and the Appendix: additional screens.ThreeindicatorspushtheCMihigherinAugust Analytics improving.The largest positive contributions came from the 12-month change in the 1OY European bond yield,the Global EPS RevisionRatioand the German IFO IndicatorwhilePan-EuropeanPPI was theonlynegativecontributorand GDPforecasts wereflat.The BofA Leading Indicator was also unchanged, owing to a lack of data release.“Recovery'picks: Travel, Finland and Spain return to Top +4420 79967059paulina.strzelinska@bofa.com August's shifts in Style Cycle Preference saw Travel & Leisure, Finland and Spain movefromNeutral toTop,whileEnergyand Norwayfell fromToptoNeutral.Travel&Leisure framework for timing and stylerotation aligned with phases of thebusiness cycle.Exhibit 1: Summary of Europe's macro and Spain improved on stronger Momentum, with Spain also benefiting from strongerRisk. Finland re-entered Top after four months, driven by Value, Growth and Risk. EnergyweakenedonfadingMomentumandsofterrevisions,whileNorwayexitedTopforthefirst time in the current Recovery phase on weaker Momentum and deteriorating EPSand sales revisions.Can strong earnings deliver the ‘Boom'phase? signalsFour inputs are rising and two are falling Inputs of EU Composite With this month's CMl reading, the model is now only ~2 points away from entering the Macro IndicatorBofA Europe Leading IndicatorGerman IFO Indicator12mth Change in Pan EU BYProducer Price InflationPan Europe. Cons. GDP Forecasts FLATGlobal EPS Revision RatioSource: BofA European Equity Quant Strategy.Note: UNCHANGEDRISINGRISINGFALLINGRISING 'Boom'phase.In our latest European FMS,37% of investors expect a goldilocks regimeand 23% a higher-for-longer outcome (European Fund Manager Survey: Goldilocksregime drives a risk-on rotation 14 July 2026), both typically consistent with ‘Boom',Historically,'Recovery'to'Boom'transitions have been led by synchronised gains inbond yields,GDPforecasts and EPS revisions.The latest earnings season hasreinforcedthe earnings side of that framework through broad-based growth, strong beat breadthand higher Q3 estimates (European Earnings Season:Q2 earnings:Strongergrowthbroader beats, higher expectations 10 August 2026). The final step into 'Boom' is likelyto require growth indicators to confirm the strength already evident in earnings (Exhibit6). OECDhasnot released Leading Indicatorsin August2026, hence we kept the input unchangedBofA GLOBAL RESEARCH The analysis of Style Cycle and European Composite Macro Indicator in this report is back-tested and does not represent the actual performance of any account or fund.Back-testedperformance depicts the hypothetical back-testedperformance of aparticular strategy over the time period indicated. In future periods, market andeconomic conditions will differ and the same strategy will not necessarily produce thesame results. No representation is being made that any actual portfolio is likely to haveachieved returns similar to those shown herein. In fact, there are frequently sharpdifferences between back-tested returns and the actual results realized in the actualmanagement of aportfolio.Back-testedperformance results are createdby applying aninvestment strategy or methodology to historical data and attempts to give an indicationas to how a strategy might have performed during a certain period in the past if theproduct had been in existence during such time. Back-tested results have inherentlimitations including the fact that they are calculated with the full benefit of hindsight,which allows the security selection methodology to be adjusted to maximize the returns.Further, the results shown do not reflect actual trading or the impact that materialeconomic and market factors might have had on a portfolio manager's decision-makingunder actual circumstances. Back-tested returns do not reflect advisory fees, tradingcosts, or other fees or expenses. BofA GLOBAL RESEARCH Style Cycle is currently in the Recovery' phase phases of the Style CycleStyle Cycle is currently in the Recovery' phase historical phases of the economic cycle according to the Composite Macro Indicator (CMIl).To move from"Recession' to 'Recovery, or"Boom'to 'Slowdown', the model requires twoconsecutive months of increases or decreases in the CMI.BofA GLOBAL RESEARCH Exhibit 6: "Recovery' reflects improving growth expectations, while'Boom'requires broad synchronisation across growth,earnings and rates than in 'Recession', while 'Boom'is defined by broad strength