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大类资产配置模型月报():1月权益资产调整,国内风险平价策略收益达到0.41%250211
Guotai Junan Securities·2025-02-17 11:10

Investment Rating - The report does not explicitly state an investment rating for the industry or specific strategies [1]. Core Insights - The report tracks the performance of various quantitative asset allocation strategies, indicating that the domestic asset risk parity strategy achieved a return of 0.41% in January 2025, with the same return for the year to date [1][5]. - The macroeconomic indicators suggest a weak recovery in domestic demand, with a manufacturing PMI of 49.1% and a non-manufacturing PMI of 50.2% as of January 2025, indicating potential for growth [35][36]. - Inflation is projected to remain stable with a January CPI of 0.6% and a PPI of -1.8%, with expectations of a possible negative CPI in February [36]. Summary by Sections 1. Asset Performance Review - In January 2025, equity assets adjusted, with SHFE gold rising by 4.6%, and the Nanhua Commodity Index increasing by 2.54%. Conversely, the CSI 300 and CSI 1000 indices fell by 2.99% and 1.87%, respectively [7][8]. 2. Asset Correlation Tracking - The report highlights the importance of low correlation among assets for effective diversification. For January 2025, the correlation between the CSI 300 and the Nanhua Commodity Index was only 0.59, indicating potential for risk mitigation through diversification [10][12]. 3. Asset Allocation Strategy Tracking - The domestic asset BL strategy 1 recorded a return of 0.34% with a maximum drawdown of 0.39% and an annualized volatility of 0.48% since the beginning of 2025 [26][30]. - The domestic risk parity strategy achieved a return of 0.41% with a maximum drawdown of 0.12% and an annualized volatility of 0.22% [31]. - The macro factor-based asset allocation strategy yielded a return of 0.38% with similar drawdown and volatility metrics as the risk parity strategy [38]. 4. Macroeconomic Factors - The report assigns macroeconomic scores based on growth, inflation, interest rates, credit, exchange rates, and liquidity, with scores of 1, 0, -1, 0, 0, and 0, respectively, reflecting a cautious outlook on growth and inflation [35][38].