Asset Allocation Model - The report introduces a dual-driven asset allocation model based on the Black-Litterman (BL) framework, integrating strategic and tactical approaches to enhance decision-making and investment performance[1] - The strategic component utilizes asset timing and regression analysis to generate posterior distributions of asset returns, improving the foresight of allocation decisions[1] - The tactical component focuses on style rotation strategies in the A-share market, dynamically tracking market style shifts to optimize investment portfolios[1] Timing Strategies - The bond timing strategy is based on economic fundamentals (economic growth, real estate cycle) and market interest rates (repo rates, government bond yields) to time government bonds[2] - The commodity timing strategy for gold incorporates financial, monetary, and commodity attributes, analyzing real interest rates, inflation expectations, risk aversion, and supply-demand relationships[2] - The stock timing strategy for A-shares evaluates liquidity (money market rates, credit expansion), international influences (China-US interest rate differentials, exchange rates), and valuation metrics[2] Style Rotation Strategies - The size and value rotation strategy examines macroeconomic changes and the performance of large versus small-cap stocks, utilizing indicators like credit spreads and foreign capital inflows to construct timing metrics[3] - The growth versus value rotation strategy is driven by macro liquidity and micro technical factors, with liquidity being the core driver of growth-value style rotation[3] Performance Metrics - From December 31, 2013, to December 31, 2025, the BL model strategy achieved an annualized return of 12.10%, a Sharpe ratio of 2.38, and a maximum drawdown of 4.72%[7] - The latest asset allocation weights as of December 31, 2025, include 4.54% in money market funds, 58.64% in government bonds, 18.00% in gold, and 18.82% in A-shares, with A-shares equally allocated between small-cap and growth styles[8]