Core Viewpoint - The recent escalation of the Middle East situation has led to significant volatility in global financial markets, challenging the effectiveness of multi-asset strategies that have been increasingly adopted in wealth management and securities asset management [1] Group 1: Reasons for Simultaneous Decline in Major Assets - The global capital markets experienced substantial fluctuations, with major indices in A-shares and US stocks hitting new lows for the year, while bond yields rose and gold prices fell below $4100 [2] - The simultaneous decline in various asset classes is attributed to two main factors: the failure to achieve risk diversification despite asset diversification, and the increased correlation in trading behaviors among funds leading to liquidity shocks [3] Group 2: Is the Multi-Asset Strategy Failing? - The recent extreme market conditions have exposed blind spots in traditional multi-asset allocation strategies rather than indicating their failure [4] - The focus on asset diversification often overlooks the fact that different asset classes may be exposed to the same macroeconomic risk factors, leading to synchronized declines during significant macroeconomic shifts [5] Group 3: Insights and Adjustments for Investors - Investors are advised to be cautious of crowded assets and to extend diversification strategies beyond mere asset allocation to include factor diversification, addressing risks related to inflation, interest rates, and geopolitical events [7] - Future multi-asset strategies may evolve towards macro factor risk parity and stricter volatility constraints, enhancing the ability to respond to macroeconomic changes [8]

Core Viewpoint - The article explains the concept of macro strategy in investment, focusing on the components of returns: Beta (systematic returns) and Alpha (trading ability). It emphasizes that macro strategy's Beta is derived from a diversified asset allocation that captures systematic returns without the need for market timing or predictions [3][51]. Group 1: Understanding Beta - Macro strategy's Beta is defined as a diversified asset allocation across various asset classes, such as stocks, bonds, and commodities, without the need for market timing [7][19]. - A simple diversified portfolio consisting of 33% A-share index, 33% bond index, and 33% commodity and gold index achieved an annualized return of 10% with a maximum drawdown of 31%, compared to a 71% drawdown for the broader market [7][11]. - The article highlights that the long-term source of macro strategy's Beta returns is systematic dividends, which are derived from economic growth and monetary expansion [19][47]. Group 2: Sources of Asset Returns - Asset returns can be categorized into four main sources: earning from economic growth, earning from monetary expansion, earning from counterparties, and earning from risk-taking [12][16]. - Systematic returns (economic growth and monetary expansion) allow all participants to benefit simultaneously, while competitive returns (from counterparties) are limited and require outperforming others [17][18]. - The article concludes that the primary sources of asset returns are the first three categories, with systematic returns being the most sustainable and scalable [17][20]. Group 3: All-Weather Strategy - The All-Weather strategy aims to optimize asset allocation to capture long-term systematic dividends while smoothing out short-term cyclical volatility [26][28]. - This strategy categorizes macro environments into four scenarios based on economic growth and inflation levels, ensuring that assets are allocated to benefit from each scenario [28][29]. - The article emphasizes that true diversification should focus on risk parity rather than equal capital allocation, allowing for a balanced risk exposure across different assets [29][31]. Group 4: Evolution of Beta - The evolution from Beta 1.0 (simple asset allocation) to Beta 2.0 (All-Weather strategy) and finally to Beta 3.0 (factor diversification) reflects a deeper understanding of asset returns and their underlying factors [36][43]. - Beta 3.0 incorporates additional factors beyond growth and inflation, allowing for a more nuanced approach to risk diversification [41][43]. - The article stresses that constructing a macro strategy Beta portfolio is complex and requires a profound understanding of underlying asset characteristics and risk management [45][46].