国君晨报0110|军工、金工、交运

• The report introduces three fundamental asset allocation models: Black-Litterman, Risk Parity, and Macro Factor models, which are used to develop large asset allocation strategies across four major asset classes: domestic stocks, bonds, commodities, and gold[5] - The Black-Litterman (BL) model is constructed by combining the equilibrium market returns with the investor's views to generate a new set of expected returns. The formula used is: $ E[R] = \lambda \Sigma w + (1 - \lambda) Q $ where $ \lambda $ is the confidence level, $ \Sigma $ is the covariance matrix, $ w $ is the market equilibrium weights, and $ Q $ is the investor's views[5] - The Risk Parity model aims to allocate risk equally among all assets in the portfolio. The process involves calculating the risk contribution of each asset and adjusting the weights to equalize these contributions. The formula used is: $ RC_i = w_i \cdot \sigma_i \cdot \rho_{i, p} $ where $ RC_i $ is the risk contribution of asset $ i $, $ w_i $ is the weight of asset $ i $, $ \sigma_i $ is the volatility of asset $ i $, and $ \rho_{i, p} $ is the correlation between asset $ i $ and the portfolio[5] - The Macro Factor model incorporates macroeconomic indicators such as growth, inflation, interest rates, credit, exchange rates, and liquidity to adjust asset allocation. The macro scores are assigned based on the current economic conditions, and the asset weights are adjusted accordingly[7] - The evaluation of the models indicates that the BL model has an out-of-sample return of 9.97% for 2024, with a maximum drawdown of 1.35% and an annualized volatility of 2.54%[6] - The Risk Parity model shows an out-of-sample return of 7.93% for 2024, with a maximum drawdown of 0.47% and an annualized volatility of 1.36%[6] - The Macro Factor model demonstrates an out-of-sample return of 6.82% for 2024, with a maximum drawdown of 0.63% and an annualized volatility of 1.52%[6] - The report highlights that the domestic asset BL strategy achieved a return of 1.4% in December 2024, while the Risk Parity strategy and the Macro Factor strategy achieved returns of 1.15% and 1.08%, respectively, in the same period[6]