大类资产配置模型月报（202601）：黄金再度领涨，1月国内资产BL策略1收益达到1.55%-20260206

Group 1 - The report indicates that in January 2026, domestic asset BL strategy 1 achieved a return of 1.55%, while strategy 2 achieved 1.65%. The risk parity strategy yielded 0.94%, and the macro factor-based strategy returned 1.4% [1][4][19]. - The performance of major asset classes in January 2026 showed that gold led the gains with an increase of 18.48%, followed by the CSI 1000 at 8.68%, and the Nanhua Commodity Index at 8.61% [7][8]. - The report highlights the correlation between various asset classes, noting that the correlation between the CSI 300 and the total wealth index of government bonds was -32.28%, indicating a potential for diversification [13][15]. Group 2 - The macroeconomic outlook as of January 2026 shows a manufacturing PMI of 49.3%, indicating a contraction, while the non-manufacturing PMI also fell to 49.5%, suggesting a weak economic recovery [43]. - Inflation indicators show that the CPI rose by 0.8% year-on-year in December 2025, with expectations for a further increase to around 0.47% in January 2026 due to seasonal effects [44]. - The report discusses liquidity conditions, stating that the banking system remains "reasonably ample and slightly loose," which is expected to support economic stabilization in the first quarter [46]. Group 3 - The domestic asset BL strategy 1 has a maximum drawdown of 0.23% and an annualized volatility of 2.54%, while strategy 2 has a maximum drawdown of 0.35% and an annualized volatility of 2.64% [20][30]. - The risk parity strategy has a return of 0.94% with a maximum drawdown of 0.24% and an annualized volatility of 1.43%, indicating its stability compared to other strategies [39]. - The macro factor-based asset allocation strategy achieved a return of 1.4% with a maximum drawdown of 0.5% and an annualized volatility of 2.73%, reflecting its effectiveness in the current market environment [47].