Core Viewpoint - The current transition between old and new orders is in a "chaotic period," suggesting a need for a "global barbell strategy" for asset allocation, focusing on Chinese assets in the second half of the year [3][10][14]. Group 1: Overview of the Current Situation - The core contradiction in China's macroeconomic environment remains the debt cycle, with the country having passed the peak of the current debt cycle and entering a contraction phase [3][27]. - The transition from "passive leverage" to "de-leveraging" is ongoing, characterized by a decrease in total debt service relative to GDP while total debt increases [3][37]. Group 2: Historical Context and Credit Pulse Conditions - Historical analysis indicates that conditions triggering credit pulses during debt contraction periods include a significant easing of monetary policy [4][38]. - The relationship between nominal GDP growth and policy interest rates serves as a leading indicator for economic trends, with a need for sustained monetary easing to alleviate private sector debt burdens [5][39]. Group 3: Investment Strategy for the Second Half - The focus for Chinese assets should be on maximizing "win rates," with fixed income expected to outperform equities and commodities during the debt contraction phase [6][61]. - Strategic asset allocation should favor high dividend and high-value factors while reducing exposure to high-growth factors in A-shares [6][73]. Group 4: Risk and Pricing Assessment - The overall pricing of Chinese assets appears reasonable, with the current equity risk premium reflecting the structural transformation of the economy [5][48]. - The yield curve is expected to steepen, with short-term debt offering better risk-adjusted returns compared to long-term debt [5][52][53].

Core Viewpoint - The article discusses the phenomenon of "return gap" in the Chinese public fund market, highlighting that despite the net asset value of funds increasing, investors are not achieving corresponding returns due to various behavioral biases and market volatility, referred to as "volatility tax" [4][7][20]. Summary by Sections Investment Returns Analysis - According to a recent report by Morningstar China, the annualized returns for non-industry and industry equity funds over the past five years were 6.67% and 3.68% respectively, while investors' returns were significantly lower, indicating a return gap of -2.65% and -5.05% [4]. - The report notes that despite the Shanghai and Shenzhen 300 Index declining by 3.95% from 2020 to May 2024, the overall fund net values have increased, yet investors are not benefiting from this growth [4]. Understanding Volatility Tax - "Volatility tax" is described as the erosion of investor returns due to behavioral biases caused by market fluctuations, affecting both retail and professional investors [7]. - The impact of volatility tax can be divided into two parts: "compound tax," which is the difference between arithmetic returns and actual returns due to volatility losses, and "behavioral tax," which arises from investors' emotional responses to market changes [8][9]. Strategies to Mitigate Volatility Tax 1. **Choosing Low-Volatility Products**: Selecting products with moderate volatility is the most effective way to avoid volatility tax. Typically, funds with high equity ratios or concentrated in single industries exhibit higher volatility [10]. 2. **Regular Investment in Stable Assets**: Investing in low-volatility strategies or indices through systematic investment plans can enhance the likelihood of achieving positive returns [11]. 3. **Constructing a Barbell Portfolio**: A balanced approach using opposing strategies, such as dividend and growth strategies, allows for rebalancing opportunities that can capitalize on market fluctuations [16]. Market Trends and Investor Behavior - The article notes that in developed markets, the average return gap for investors is around 1%, while in China it exceeds 2%, primarily due to the higher volatility of funds in the Chinese market [20]. - As economic growth slows, there is a growing preference for medium-volatility products, which are seen as more stable and capable of providing better returns with lower risk [20]. Recommendations for Investors - Investors are advised to diversify across various asset classes based on their risk tolerance and focus on undervalued or overlooked opportunities, particularly in dividend and value stocks, which may offer higher potential returns [21].

Core Viewpoint - The article discusses the concept of "safe havens" in investment, emphasizing strategies to reduce portfolio risk while maintaining returns, particularly during market volatility [3][4][12]. Group 1: Safe Haven Theory - The "safe haven" theory suggests that there are methods to lower risk without sacrificing returns, contrary to traditional financial theories that posit a direct relationship between risk and return [4]. - The book "Safe Haven" introduces strategies to mitigate overall investment portfolio risk, aiming for stability during significant market fluctuations [12]. Group 2: Types of Safe Haven Strategies - Three main strategies for achieving safe havens are identified: 1. **Diversified Allocation + Rebalancing**: This strategy involves a mix of 40% stocks and 60% bonds, where bonds act as a buffer during stock market downturns [15][17]. 2. **Utilizing Negative Correlation Among Assets**: This approach, exemplified by Bridgewater's All Weather strategy, diversifies across various asset classes to ensure that not all assets move in the same direction [21][22]. 3. **Barbell Strategy**: Proposed by Nassim Taleb, this strategy allocates most capital to safe assets like government bonds while a small portion is invested in high-risk options, preparing for unpredictable market events [29][32]. Group 3: Comparison of Strategies - All three strategies serve as effective "safe havens" during financial crises, significantly reducing risk exposure for investors [40]. - The Barbell strategy requires a higher level of investor sophistication due to its use of derivatives, while the other two strategies are more accessible and widely adopted [42][43].

Core Insights - Bridgewater's All Weather Enhanced Fund has consistently generated positive returns over the past six years, distinguishing itself from other private equity funds that have faced crises [3][4] - In 2024, the fund achieved a total return of 37%, significantly outperforming the average return of multi-asset strategies in China [4][10] - The fund's performance in May showed a slight decline of 1.4%, attributed to rising discount rates and risk premiums, alongside a cautious market sentiment [4] Fund Performance - The All Weather Enhanced Fund recorded a unit net value return of 9.3% from the beginning of 2025 to the end of May [4] - Other macro hedge funds underperformed compared to Bridgewater, with notable declines such as -4.8% for Hanxia Macro Hedge Fund and -2.05% for Honghu Balanced Allocation [4] - The fund's alpha return was reported to be 16% within the overall 37% return for 2024, highlighting its strong performance in active management [10] Market Demand and Distribution - There is a high demand for Bridgewater's fund, with limited availability leading to a competitive environment for investors [2] - The fund is primarily distributed through select institutions like Ping An Bank and CITIC Securities, with flexible purchasing thresholds [2] - The trend of "All Weather" strategies is gaining traction in the asset management industry, with multiple new funds being registered [8] Strategy and Composition - Bridgewater's strategy consists of two main components: the foundational All Weather strategy and an alpha strategy tailored to the Chinese market [4] - The All Weather strategy is based on risk parity, aiming to create a stable asset portfolio across different economic conditions [4] - The challenge for other managers attempting to replicate Bridgewater's success lies in achieving comprehensive alpha enhancement capabilities [9]

Group 1 - The report argues that the all-weather strategy does require timing, contrary to common belief, as it relies on accurately measuring and fully hedging all risk factors [7][8][22] - It highlights that risk is time-varying and difficult to measure, which significantly impacts the effectiveness of strategies [8][22] - The report suggests that a simple risk parity strategy combined with timing could serve as a practical alternative to the all-weather strategy, focusing on hedging the most common risk factors in the current market [3][4][22] Group 2 - The report emphasizes that bond risk changes with interest rate levels, indicating that different measurement methods yield varying results for bond risk [10][12] - It notes that equity risk is correlated with economic cycles, with fluctuations in equity markets reflecting changes in GDP growth rates [13][14] - The report discusses the importance of adjusting rebalancing frequency, suggesting that higher frequency rebalancing can lead to better performance during volatile market conditions [23][30] Group 3 - The report identifies that not all risks can be fully hedged, and it is not necessary to do so for effective risk management [33][43] - It points out that currency risk should be considered separately due to the increasing relevance of overseas investments and transactions [37] - The report also highlights the need to differentiate between credit risk and equity risk, as their behaviors can be inversely related in domestic markets [38][40]

Core Viewpoint - The article discusses the evolution of equity proprietary trading in the context of the changing market environment, highlighting the transition towards the "OCI+" strategy as a new starting point for brokers' proprietary trading business [1][3]. Group 1: Historical Evolution of Equity Proprietary Trading - Equity proprietary trading has undergone two significant phases of transformation: the exploration of multi-strategy trading around 2010, and the recent shift towards high-dividend OCI strategies since 2022 [1]. - Major brokers like CITIC Securities and Huatai Securities were early adopters of multi-strategy and quantitative models to achieve stable and neutral returns [1]. - The adoption of high-dividend OCI strategies has become a consensus in the industry, with brokers increasingly diversifying their asset allocations [1]. Group 2: Current Trends and Strategies - As of Q1 2025, the total investment in other equity instruments by listed brokers reached 506.4 billion, with an estimated 200 to 250 billion attributed to high-dividend OCI strategies, representing over 50% of the industry's equity allocation [2]. - The acceleration in adopting high-dividend OCI strategies is driven by changes in market conditions and regulatory constraints on proprietary trading, making it a favorable option for brokers to enhance their balance sheets and yield [2]. Group 3: Future Outlook and Recommendations - The new mission for equity proprietary trading is to achieve high-quality balance sheet expansion, with "OCI+" expected to be a new starting point [3]. - If brokers allocate OCI strategies to 40% of their net capital, the potential incremental growth could reach 497.2 billion, providing stable income through coupon revenue [3]. - Investment recommendations suggest focusing on leading brokers with significant competitive advantages and considering smaller brokers with strong equity proprietary trading flexibility [3].

Core Viewpoint - The article discusses the author's investment journey, highlighting three major pitfalls and the lessons learned from them, ultimately advocating for a disciplined, diversified investment strategy that emphasizes index investing and dynamic rebalancing [2][3][4]. Group 1: Investment Pitfalls - Pitfall One: Speculative Traps - The author experienced significant losses during the "924 market" in 2024, where media hype led to a rush into the market, resulting in immediate losses after chasing high prices [2]. - Pitfall Two: Overestimating and Overinvesting - Initial small gains in U.S. stock investments turned into substantial losses after a major market drop in April 2025, emphasizing the danger of ignoring valuation safety margins [3]. - Pitfall Three: Illusory Diversification - The belief that holding multiple funds equated to risk diversification was proven wrong, as the portfolio was highly correlated, leading to extreme volatility [4]. Group 2: Investment Strategy - The author developed a low-correlation asset allocation strategy after learning about asset correlation theory, which includes a 30% allocation to a bond index as a stabilizing force [4]. - The ultimate investment philosophy distilled from three years of experience is summarized as: "Index investing, all-weather strategy, dynamic rebalancing," which aims to embrace market beta returns while balancing risk [4][5]. - The proposed asset allocation includes 15% in A-share dividend low volatility, 15% in A-share cash flow index, 15% in S&P 500, 15% in NASDAQ 100, 8% in gold ETFs, and 2% in crude oil futures for inflation hedging [4][5].

Global Asset Performance and Macro Trading Themes - Global major asset classes experienced a broad rally from June 16 to June 24, with risk assets represented by equities showing significant recovery [4][12] - The ceasefire announcement between Iran and Israel on June 24 positively impacted market sentiment, leading to a notable rebound in global risk assets, while safe-haven assets like gold retreated [4][13] Asset Allocation - Global Barbell Strategy - Long-term investors need to deeply interpret the direction of the reshaping world order and weigh the cost-effectiveness of various assets, while paying attention to asymmetric pricing risks in their portfolios [5][17] - The new paradigm is reinforced by three underlying logics: intensified de-globalization, misalignment of debt cycles, and trends in the AI industry, with the strategic focus remaining on the all-weather adjustment of the "global barbell strategy" [5][18] - A statistical analysis of historical U.S. recession trading intervals revealed the volatility amplification factors for various assets, with the ranking being: Nasdaq > India SENSEX30 > Hang Seng Tech > U.S. Treasuries > Gold > Chinese Bonds > Bitcoin > National Bond Convertible Bonds > A-share Dividends [5][18] - Adjustments to asset allocation based on revised volatility factors indicate an increase in weight for Chinese convertible bonds and A-share dividends, while reducing weight for Nasdaq, India SENSEX30, and Hang Seng Tech [5][18] Focus Data: Global Economic Data and Event Calendar - The economic data calendar from June 30 to July 13 includes significant indicators such as China's official manufacturing PMI for June, expected to be 49.5, and the U.S. ISM manufacturing PMI for June, expected to be 48.5 [20] - Other important data points include the unemployment rate in Germany and the Eurozone CPI for June, with the latter expected to be 1.9% [20]

Group 1 - The core idea of the article revolves around the All-Weather Strategy, which is favored by investors for its robust performance and ability to withstand cyclical fluctuations [1][3] - The All-Weather ETF launched by Bridgewater and State Street in March 2025 has a scale of approximately $204 million as of the end of May, with a leverage level of about 1.8 times [1] - The asset allocation of the All-Weather ETF as of March includes approximately 25% in stocks, 20% in commodities, and 55% in bonds, which is similar to the target allocation of the risk parity product RPAR [3][4] Group 2 - The All-Weather ETF has shown characteristics of a Beta strategy, primarily holding long positions, and has experienced significant fluctuations in the market, with a maximum drawdown of 8.78% shortly after its launch [3][4] - The maximum drawdown of the risk parity ETF RPAR with a leverage level of 1.2 times was about 8%, while the UPAR with a leverage level of 1.7 times had a maximum drawdown of approximately 11% [3] - The All-Weather ETF's drawdown is between the two risk parity ETFs, indicating a strong correlation with similar strategy products [3] Group 3 - The report explores various construction methods for the All-Weather Strategy, starting from the basic risk parity strategy and considering the application of All-Weather thinking within high-correlation equity assets [4][12] - The core idea of risk parity is to equalize the risk contribution of each asset in the portfolio, with a focus on achieving a balanced risk exposure across different macroeconomic scenarios [4][12] Group 4 - The article discusses the concept of "Scenario Parity," which involves identifying asset combinations that benefit from different macroeconomic conditions and allocating them based on risk parity [12][14] - The asset allocation for different macro scenarios includes stocks and commodities during economic growth, nominal bonds and gold during economic downturns, and inflation-protected bonds during rising inflation [12][13] Group 5 - The performance of the "Scenario Parity" strategy has been superior to traditional risk parity, with a static scenario parity combination yielding an annualized return of 5.01% compared to 4.00% for risk parity [17][18] - Dynamic combinations based on macroeconomic factors have shown even better performance, with the dynamic scenario parity strategy achieving an annualized return of 6.57% [17][18] Group 6 - The article emphasizes the importance of macro sensitivity in constructing portfolios, suggesting that using sensitivity measures can lead to more effective asset allocation compared to traditional regression methods [23][24] - The results indicate that portfolios constructed using macro sensitivity measures have better explanatory power and stability compared to those based solely on regression analysis [25][36] Group 7 - The All-Weather strategy can also be applied internally within equity assets, similar to a "barbell strategy," by calculating the exposure of sectors and stocks to various macroeconomic variables [28][29] - The performance of sector-based All-Weather combinations has shown significant improvement, with the scenario parity approach yielding higher returns and lower drawdowns compared to traditional risk parity [34][50]

Group 1 - The report discusses the re-evaluation of the All-Weather Strategy, emphasizing the need for a more balanced asset allocation approach in the context of China's low bond volatility, which leads to higher bond allocations than intended under traditional risk parity models [3][20]. - The concept of "Scenario Parity" is introduced, where asset allocation is based on different macroeconomic scenarios (growth and inflation), allowing for a more tailored asset basket that can enhance returns compared to traditional risk parity [3][21]. - The report highlights the performance of the All-Weather ETF launched by Bridgewater, which has shown resilience and recovery from market volatility, with a maximum drawdown of 8.78% shortly after its launch [8][12]. Group 2 - The report outlines the construction of a "Scenario Parity" portfolio using regression analysis to measure asset exposure to macroeconomic factors, resulting in a more effective asset allocation strategy that improves returns while reducing bond exposure [3][22]. - The performance metrics of various asset allocation strategies are compared, showing that the "Scenario Parity" approach yields higher annualized returns and lower drawdowns compared to traditional risk parity strategies [29][55]. - The report emphasizes the importance of macro sensitivity in constructing portfolios, demonstrating that portfolios based on sensitivity measures outperform those based solely on regression analysis, particularly in volatile market conditions [34][55]. Group 3 - The report explores the application of the All-Weather strategy within equity assets, indicating that a focus on macro exposure can lead to better risk diversification and performance, especially in uncertain market environments [41][43]. - The analysis of industry ETFs reveals significant differences in macro exposure, suggesting that a more nuanced approach to sector allocation can enhance overall portfolio performance [45][48]. - The report concludes that using macro sensitivity to guide asset selection within equity portfolios can lead to improved risk-adjusted returns, highlighting the effectiveness of this strategy in various economic scenarios [55][56].