策略点评：低相关性，对主动投资有什么用？

Core Insights - In active investment, higher volatility may lead to lower returns, suggesting that appropriate allocation to low or negatively correlated assets can effectively reduce portfolio volatility and improve risk-return ratios [6][7][20] - Since 2021, the excess returns of momentum factors and low volatility factors have shown a significant negative correlation, as have the excess returns in the financial and manufacturing sectors, and in the food and beverage and cyclical sectors [6][40] - This year, market style allocation has been more significant than industry allocation due to extreme valuation gaps between styles and improved earnings expectations for the second quarter, indicating a potential rebalancing of styles within the year [6][9] Low Correlation and Active Investment - The relationship between risk and return is not always positive; increased volatility can lead to decreased returns. In the A-share equity fund market, higher volatility has been associated with lower returns, while in the more mature US equity market, lower volatility has been linked to higher returns [20][60] - Theoretical and empirical evidence suggests that low correlation between assets can enhance risk-return ratios. In practice, combining factors with similar risk-return distributions but lower correlations results in higher risk-return ratios [7][60] - When constructing portfolios, managers can select high-quality companies and balance risk by choosing low-correlation styles or sectors, such as combining momentum and stability styles or different sectors like banking and manufacturing [7][40] Market Sentiment and Valuation - Recent market sentiment has shown that style differentiation has been extreme, reflecting a low-risk appetite in a macro environment with low elasticity, leading to a focus on stability and cost-effectiveness [9][64] - Valuation levels have shifted, with industries such as automotive, computing, and electronics experiencing an increase in relative valuation premiums, while sectors like telecommunications and food and beverage have seen declines [16][64] - The sentiment index (GLDI) indicates a decrease in emotional heat across various sectors, including TMT, cyclical, manufacturing, and consumer sectors, suggesting a cautious market outlook [67][84] Industry Performance - The performance of various industries has varied significantly, with sectors like coal and banking showing strong gains, while sectors such as comprehensive and computing have lagged behind [28][33] - The adjustment of earnings expectations has been notable, with industries like agriculture and textiles seeing upward revisions, while real estate and media have faced downward adjustments [58][83] - The overall market sentiment indicates a shift towards growth-oriented sectors, with small-cap and growth stocks outperforming large-cap and value stocks in recent weeks [28][33]