Group 1 - The core view of the report indicates that risk assets are expected to maintain relative advantages, with the profitability factor likely to recover [2][4][10] - The asset allocation model is an improved version of the Black-Litterman (BL) model, which combines market consensus with active views to optimize asset allocation and enhance the Sharpe ratio [3][5] - The model predicts that in the third quarter of 2025, the allocation ratio for domestic stocks will continue to increase while the bond allocation ratio will remain relatively high [10][11] Group 2 - In the A-share market, the profitability factor is expected to recover, and the advantage of small-cap stocks is likely to continue [2][17] - As of June 30, 2025, the market style performance for the second quarter showed strong results for small-cap and low-valuation factors, with weak profitability and weak reversal [13][16] - The report recommends focusing on indices such as the ChiNext Index, CSI A500, and CSI 2000, which exhibit high profitability and small-cap attributes [20][21]
资产配置及A股风格半月报:风险资产有望延续优势-20250703