国泰海通｜策略：风险偏好改善支撑全球权益配置价值

Core Viewpoint - The article maintains a tactical overweight view on A-shares and US stocks for August, driven by improving market risk appetite and expectations of economic growth [1][2]. Group 1: Market Conditions - Recent improvements in market risk appetite have led to risk assets significantly outperforming safe-haven assets, with equities outperforming commodities and bonds [1]. - The expectation of continued economic growth and government support for capital markets is leading to a highly optimistic outlook for A-shares [1]. - The US stock market is viewed positively due to a reduced probability of recession and increasing chances of interest rate cuts [1]. Group 2: Asset Allocation Strategy - The current low-interest-rate environment necessitates higher demands for asset allocation research, with a long-term trend of increased institutional investment in capital markets [1]. - A strategic asset allocation (SAA) plan has been constructed based on macro factors, achieving an annualized return of 9.1% and a Sharpe ratio of 1.57 as of the end of July [1]. - The proposed strategic benchmark allocation is set at 45% for equities, 45% for bonds, and 10% for commodities, with a deviation limit of 10% [1]. Group 3: Tactical Asset Allocation (TAA) - The improvement in risk appetite is identified as a core factor influencing the current tactical asset allocation, with multiple factors expected to support continued strong performance in equity assets [2]. - The TAA plan projects an annualized return of 55% by 2025, with a high Sharpe ratio of 1.65 based on full sample backtesting [2]. Group 4: Specific Allocation Recommendations - For August, the recommended allocation is 55% in equities, 40% in bonds, and 5% in commodities [3]. - A positive outlook is maintained for A-shares and Hong Kong stocks due to stable economic growth expectations and government support [3]. - Caution is advised regarding government bonds due to pressures from market risk appetite and capital redemption [3]. - The outlook for commodities, particularly oil, remains cautious due to supply and demand pressures [3].