大类资产配置模型月报（202509）：黄金再创新高，基于宏观因子的资产配置策略本月收益0.48%-20251016

• Domestic Asset BL Model - Model Name: Black-Litterman (BL) Model - Construction Idea: The BL model integrates subjective views with quantitative asset allocation using Bayesian theory, optimizing asset weights based on market analysis and expected returns. It addresses the sensitivity of mean-variance models to expected returns and provides higher fault tolerance compared to purely subjective investments [26][27][33] - Construction Process: 1. Use historical returns of assets over the past five years to estimate market equilibrium returns (Π) 2. Specify a risk aversion coefficient (e.g., λ = 10), which corresponds to a target volatility 3. Alternatively, assign fixed weights (e.g., stock:bond:convertible bond:commodity:gold = 10:80:5:2.5:2.5) and reverse calculate the risk aversion coefficient dynamically for each period [33] - Evaluation: The BL model effectively combines subjective views with quantitative methods, providing robust asset allocation solutions [26][27] - Domestic Asset Risk Parity Model - Model Name: Risk Parity Model - Construction Idea: The model aims to equalize the risk contribution of each asset to the overall portfolio, optimizing asset weights based on expected volatility and correlation [32][35] - Construction Process: 1. Select appropriate underlying assets 2. Calculate each asset's risk contribution to the portfolio 3. Solve optimization problems to determine final asset weights 4. Use daily returns over the past five years to estimate the covariance matrix for stability [35] - Evaluation: The model provides stable returns across economic cycles and is well-suited for domestic investors [32][35] - Macro Factor-Based Asset Allocation Strategy - Model Name: Macro Factor-Based Strategy - Construction Idea: The strategy bridges macroeconomic research with asset allocation by constructing high-frequency macro factors (e.g., growth, inflation, interest rates, credit, exchange rates, liquidity) and aligning asset weights with subjective macroeconomic views [41][46] - Construction Process: 1. Calculate factor exposure levels for assets monthly 2. Use risk parity portfolios as benchmarks to compute baseline factor exposures 3. Adjust factor exposure targets based on subjective macroeconomic views (e.g., inflation up = positive deviation) 4. Solve for asset weights using the model [41][46] - Evaluation: The strategy effectively incorporates macroeconomic insights into asset allocation, enhancing adaptability to changing economic conditions [41][46] - Backtest Results for Models - Domestic Asset BL Model 1: - Annualized return: 3.58% - Max drawdown: 1.31% - Annualized volatility: 2.19% [31][33] - Domestic Asset BL Model 2: - Annualized return: 3.18% - Max drawdown: 1.06% - Annualized volatility: 1.99% [31][33] - Domestic Asset Risk Parity Model: - Annualized return: 3.12% - Max drawdown: 0.76% - Annualized volatility: 1.34% [39][40] - Macro Factor-Based Strategy: - Annualized return: 3.42% - Max drawdown: 0.65% - Annualized volatility: 1.32% [46][47]