半夏宏观对冲2024年10月观点月报

Performance and Risk Metrics - The fund's cumulative return from December 14, 2017, to October 31, 2024, is 189.10%[3] - The annualized return of the fund is 17.26% with a volatility of 17.21%[3] - The Sharpe ratio is 0.86, and the maximum drawdown is 25.65%[3] Asset Allocation and Performance Attribution - The fund's asset distribution includes net positions in bonds, commodities, and equities, with a net asset value of 4 billion[7] - In 2024, the monthly performance attribution shows varying contributions from bond, commodity, and equity classes, with significant fluctuations in March and September[5] Economic and Market Review - The market experienced a rapid rise in September driven by sentiment, followed by a divergence in October due to policy anticipation and skepticism about economic recovery[10] - Domestic retail investors and speculative funds showed high enthusiasm, with margin balances reaching a five-year high, while foreign and institutional investors reduced their positions[10] Economic and Market Outlook - The Chinese economy is expected to enter a 2-3 year upward cycle, driven by fiscal policies, local debt resolution, and real estate stabilization[12] - The market is currently in a phase similar to 2015, with monetary easing preceding fiscal stimulus, leading to speculative trading in small-cap and concept stocks[12] Investment Strategy - The fund maintains a net long position in commodities and focuses on state-owned enterprises benefiting from debt resolution and real estate stabilization, with low PB and high dividend yields[19][20] - The equity portfolio has an average PB of 0.5x, PE of 5x, and a dividend yield of 6.5%, providing both defensive and upside potential[21]