资产配置模型月报：资产配置策略中低波分化，行业策略转向-20251203

Group 1: Asset Allocation Strategy - The asset allocation strategy indicates a differentiation in low volatility and medium volatility strategies, with a recommendation to reduce gold and increase fixed income in low volatility, while increasing equities and reducing fixed income in medium volatility [4][46]. - The dynamic all-weather strategy has achieved an annualized return of 6.7% with a Calmar ratio of 4.7, while the medium-low volatility strategy has an annualized return of 9% with a Calmar ratio of 3.7 [4][10]. - The active asset allocation model is based on "return prediction-risk penalty," enhancing returns while managing concentration risk [15][22]. Group 2: Industry Rotation Strategy - The industry rotation strategy recommends sectors such as non-ferrous metals, chemicals, agriculture, and telecommunications for December, based on the analysis of market conditions [4][29]. - The strategy has outperformed benchmarks with an annualized return of 36%, surpassing the average return of mixed equity funds by 28.3% [31][32]. - The underlying logic of the industry rotation strategy is based on the behavior of active market funds under different market conditions, categorized into four states: strong equity-weak bonds, weak equity-strong bonds, strong equity-strong bonds, and weak equity-weak bonds [29][34]. Group 3: ETF Strategy - The ETF strategy for December includes recommendations for ETFs in sectors such as non-ferrous metals, aquaculture, chemicals, and telecommunications, aligning with the industry rotation strategy [41][42]. - The ETF industry rotation strategy has shown an annualized return of 33%, outperforming benchmarks like the CSI 800 and mixed equity funds [36][37]. - The asset allocation strategy using ETFs suggests increasing bond ETFs in low volatility and equities in medium volatility, reflecting the overall asset allocation strategy [42][43].