国泰海通｜金工：国内权益资产普涨，基于宏观因子的资产配置策略上半年涨幅2.26%

Core Viewpoint - Domestic equity assets experienced a broad increase in June 2025, while gold assets recorded a decline amid significant volatility [1][2] Asset Performance Summary - In June 2025, the returns for various domestic asset allocation strategies were as follows: - BL Strategy 1: 0.87% for June, 1.84% year-to-date - BL Strategy 2: 0.86% for June, 1.92% year-to-date - Risk Parity Strategy: 0.58% for June, 2.33% year-to-date - Macro Factor-Based Strategy: 0.75% for June, 2.26% year-to-date [1][3] Major Asset Index Movements - Key asset indices in June 2025 showed the following performance: - CSI 1000: +5.47% - Nanhua Commodity Index: +4.03% - CSI Convertible Bonds: +3.34% - Hang Seng Index: +2.86% - CSI 300: +2.5% - China Government Bond Total Wealth Index: +0.58% - China Corporate Bond Total Wealth Index: +0.3% - SHFE Gold: -0.84% [2] Correlation Analysis - The correlation between major indices over the past year is as follows: - CSI 300 and China Government Bond Total Wealth Index: -37.19% - China Government Bond Total Wealth Index and Nanhua Commodity Index: 44.4% - CSI 300 and Nanhua Commodity Index: -22.94% [2] Macro Economic Insights - As of the end of June 2025, key macroeconomic indicators include: - Manufacturing PMI at 49.7%, slightly recovering but still below the expansion threshold - Non-manufacturing Business Activity Index at 50.5%, indicating expansion - May CPI down 0.1% year-on-year, core CPI up to 0.6%, PPI down -3.3% - DR007 fluctuating at low levels, with 1-year interbank deposit rates stable around 1.7% - New RMB loans in May at 592.3 billion, primarily driven by government bonds, while corporate bond financing decreased - RMB facing potential short-term pressure due to the Fed's hawkish stance - June liquidity through MLF and reverse repos exceeding 300 billion, indicating ample market liquidity [4]