Group 1 - The A-share market is currently experiencing a phase of valuation repair and structural differentiation, leading to a configuration dilemma for investors who are concerned about high equity positions amid volatility and missed opportunities in fixed income [1] - The Agricultural Bank of China Balanced Value Mixed Fund will officially launch on September 1, featuring a core design of "30%-70% dynamic adjustment of equity positions" to provide a professional solution for investors seeking long-term returns with controlled risk [1][2] - The fund's design breaks away from the traditional single attribute of mixed funds, focusing on "large asset rotation" as the core strategy for portfolio construction [1][2] Group 2 - The 30%-70% equity asset allocation range is based on a dynamic decision-making framework that considers macroeconomic cycles, market valuation levels, and industry prosperity [2] - The fund aims to meet the core demands of three types of investors: those with moderate risk tolerance seeking a core position for family asset allocation, those looking for value appreciation for retirement savings through a "fixed income base + equity enhancement" model, and institutional investors using it as a balancing tool in their overall asset allocation [2] - The proposed fund manager, Liao Ling, has developed an investment system focused on "deep fundamental research + valuation safety margin" through various market cycles, emphasizing high ROE, low PEG, and strong cash flow in stock selection [3] Group 3 - Liao Ling plans to adopt a prudent building strategy for the new fund, balancing return expectations with volatility control, gradually accumulating a safety cushion while increasing equity positions [3] - The focus will be on selecting quality companies based on industry trends, performance trajectories, and fundamental stability, while also considering valuation to avoid high-valuation stocks that may experience significant volatility due to external shocks [3]

Market Overview - The A-share market has shown strong upward momentum, with the Shanghai Composite Index breaking through the key level of 3674.40 points, reaching a new high since the "9·24" rally last year, with a year-to-date increase of nearly 10% [1] - On August 14, the index continued to rise, surpassing 3700 points, marking the highest level since December 2021, with trading volume in the Shanghai and Shenzhen markets reaching 2.18 trillion yuan, indicating a significant increase in market activity [1][2] Equity Market Dynamics - The current rally in the equity market is driven by multiple factors, including improved expectations from "anti-involution" policies, increased participation from retail investors, institutional funds, and foreign capital, as well as resilient macroeconomic fundamentals and proactive fiscal policies [2] - Various sectors are experiencing structural opportunities, with significant gains in securities, semiconductors, and insurance, indicating a shift away from a market dominated solely by bank stocks [2] Bond Market Analysis - The bond market has shown a mixed performance, with the yield on 10-year government bonds rising from 1.6855% on August 11 to 1.7350% on August 13, reflecting a lack of clear catalysts for bond price increases [1][2] - The bond market is currently influenced by two main factors: the strong performance of the equity market reducing the willingness of bond investors to increase positions, and a divergence in institutional behavior, with funds and brokerages being net sellers while banks and insurance companies are net buyers [3][5] Tax Policy Impact - The recent restoration of value-added tax on interest income from newly issued government and local bonds has led to an increase in selling pressure from funds, impacting their future bond allocation strategies [5][6] - Despite the tax changes, the overall impact on the bond market is expected to be limited, as the demand for fixed-income products remains relatively stable [8] Future Outlook - The bond market is perceived to be in a "top and bottom" range, with limited potential for significant yield declines due to the strong equity market and investor risk appetite, while still supported by a loose monetary policy [7] - Analysts suggest that the "look at stocks, do bonds" strategy may continue, but the coexistence of a "dual bull" market for stocks and bonds is also possible as the capital market recovers [7][8]

Quantitative Models and Construction Methods Model Name: "Clock + Turning Point Improvement Method" Large Asset Rotation Model - **Model Construction Idea**: The model combines the investment clock theory with turning point improvement methods to optimize asset rotation strategies[5][23] - **Model Construction Process**: 1. Assume that the macroeconomic factors will continue their current state into the next month[23] 2. Calculate the total score of each asset based on the current state of macroeconomic risk factors[24] 3. Introduce a risk budget model with initial risk ratios for each asset: large-cap stocks: small-cap stocks: bonds: commodities: gold = 1:1:1:0.5:0.5. Adjust the risk ratios based on the total score, doubling the risk ratio for each positive score and halving it for each negative score[24] 4. Backtesting period: January 2011 - December 2023[25] - **Model Evaluation**: The model performs excellently in terms of returns, risk control, and drawdown management, achieving nearly 10% annualized returns while controlling high-risk asset positions[27] Quantitative Factors and Construction Methods Factor Name: Macroeconomic Risk Factors - **Factor Construction Idea**: Utilize macroeconomic data and asset portfolios to construct six macroeconomic risk factors: economic growth, inflation, interest rates, exchange rates, credit, and term spreads[8] - **Factor Construction Process**: - **Economic Growth**: Use industrial added value year-on-year (M0000545), PMI (M0017126), and social retail sales year-on-year (M0001428). Apply HP filtering and volatility inverse weighting[8] - **Inflation**: Use PPI year-on-year (M0001227) and CPI year-on-year (M0000612). Apply HP filtering and volatility inverse weighting[8] - **Interest Rates**: Construct an equal-weighted investment portfolio using the ChinaBond Treasury Wealth Index (1-3 years) (CBA00621.CS) and the CSI Money Market Fund Index (H11025.CSI), and calculate net value year-on-year returns[8] - **Exchange Rates**: Construct an equal-weighted long-short investment portfolio using Shanghai Gold (AU9999.SGE) and London Gold Spot (SPTAUUSDOZ.IDC), and calculate net value year-on-year returns[8] - **Credit**: Construct a duration-neutral investment portfolio using the ChinaBond Corporate Bond AAA Index (CBA04231.CS) and the ChinaBond Treasury Wealth Index (CBA00631.CS), and calculate net value year-on-year returns[8] - **Term Spreads**: Construct a duration-neutral investment portfolio using the ChinaBond Medium-Short Term Bond Wealth Index (CBA00701.CS) and the ChinaBond Long Term Bond Wealth Index (CBA00801.CS), and calculate net value year-on-year returns[8] - **Factor Evaluation**: The factors provide a comprehensive risk perspective by capturing multiple aspects of the macroeconomic environment[8] Model Backtesting Results "Clock + Turning Point Improvement Method" Large Asset Rotation Model - **Total Return**: 242.45%[27] - **Annualized Return**: 9.93%[27] - **Annualized Volatility**: 6.83%[27] - **Annualized Sharpe Ratio**: 1.45[27] - **Maximum Drawdown**: 6.31%[27] - **Win Rate**: 73.08%[27] Factor Backtesting Results Macroeconomic Risk Factors - **Economic Growth**: Upward[36] - **Inflation**: Downward[36] - **Interest Rates**: Downward[36] - **Credit**: Downward[36] - **Exchange Rates**: Downward[36] - **Term Spreads**: Downward[36]

Investment Rating - The report suggests a cautious view on large-cap and small-cap stocks, while being bullish on commodities and gold for March 2025 [27][32]. Core Insights - The model achieved an annualized return of 9.93% with a volatility of 6.83% from January 2011 to December 2023, demonstrating excellent performance in terms of returns, risk, and drawdown control [25]. - In February 2025, the model's return was -0.6%, with a risk allocation favoring bonds significantly [27]. - The macroeconomic state as of late February 2025 indicates a recovery phase with rising exchange rates and term spreads, while interest rates and credit factors are declining [28][33]. Summary by Sections Model Review - The macro risk factor model includes six factors: economic growth, inflation, interest rates, exchange rates, credit, and term spreads, providing a comprehensive risk perspective [6]. - The report outlines the performance of various asset classes under different macroeconomic conditions, aligning with international market trends [7][10]. Performance Review (February 2025) - In February, small-cap stocks performed well (+6.76%), while large-cap stocks saw a modest increase (+2.03%). Bonds and non-gold commodities underperformed, while gold rose by +4.30% [27]. - The risk allocation for February was heavily weighted towards bonds (85.69%), with minimal exposure to equities and commodities [31]. March Allocation Outlook - For March 2025, the model suggests a bullish stance on commodities and gold, with a cautious view on both large-cap and small-cap stocks [28][32]. - The proposed risk allocation for March is significantly tilted towards bonds (66.85%) and commodities (13.86%) [32].