Group 1 - The report highlights that domestic equity assets performed well in July 2025, with the risk parity strategy achieving a year-to-date return of 2.65% [2][5][20] - The report provides a summary of various asset allocation strategies, indicating that the domestic asset BL strategy 1 and 2 yielded returns of 2.40% and 2.34% respectively, while the risk parity strategy and macro factor-based strategy returned 2.65% and 2.59% respectively [21][41][42] - The report notes that the domestic equity market saw significant gains, with the CSI 1000 index rising by 4.8% and the Hang Seng Index increasing by 2.78% in July [8][9][10] Group 2 - The report discusses the correlation between different asset classes, indicating that the correlation between the CSI 300 and the total wealth index of government bonds was -38.08%, suggesting a potential for diversification [15][16] - The report outlines the performance of various asset allocation models, with the domestic risk parity strategy showing a maximum drawdown of 0.76% and an annualized volatility of 1.46% [41][42] - The macroeconomic outlook suggests downward risks for growth factors, while inflation expectations may stabilize due to recent policy measures [45][47]

Core Viewpoint - The report highlights the performance of various domestic asset allocation strategies in May 2025, indicating a mixed performance across different strategies and asset classes, with a notable focus on the risk parity strategy achieving the highest year-to-date return of 1.73% [1][3]. Group 1: Asset Strategy Performance - Domestic Asset BL Strategy 1 recorded a May return of -0.22% and a year-to-date return of 0.96% [1][3]. - Domestic Asset BL Strategy 2 had a May return of -0.1% and a year-to-date return of 1.05% [1][3]. - The Domestic Asset Risk Parity Strategy achieved a May return of 0.29% and a year-to-date return of 1.73% [1][3]. - The Macro Factor-Based Asset Allocation Strategy reported a May return of 0.27% and a year-to-date return of 1.45% [1][3]. Group 2: Major Asset Trends - In May 2025, domestic equity assets performed well, with the Hang Seng Index, CSI 300, and others showing significant gains, while gold experienced a pullback [2]. - The Hang Seng Index rose by 3.96%, CSI 300 by 1.85%, and the total wealth index of corporate bonds by 0.41% [2]. - The South China Commodity Index and SHFE gold saw declines of 2.4% and 1.39%, respectively [2]. - Correlation analysis indicated a -36.97% correlation between CSI 300 and the total wealth index of government bonds over the past year [2]. Group 3: Macroeconomic Insights - As of the end of May 2025, the manufacturing PMI was at 49.5%, indicating a slight improvement in manufacturing sentiment [4]. - The PPI for April showed a year-on-year decline of -2.7%, with expectations for May at -3.17%, indicating ongoing deflationary pressures [4]. - The central bank conducted a MLF operation of 550 billion yuan, net injecting 400 billion yuan to support special bond issuance [4]. - The social financing scale stood at 424 trillion yuan at the end of April 2025, reflecting the credit environment [4].

Quantitative Models and Construction Methods 1. Model Name: Macro Scoring Model - **Model Construction Idea**: The model evaluates macroeconomic factors to generate asset allocation signals, providing directional views on various asset classes such as equities, bonds, and commodities [13][15] - **Model Construction Process**: - The model aggregates multiple macroeconomic factors, including domestic and global indicators such as inflation, monetary policy, credit conditions, and economic sentiment - Each factor is scored, and the scores are combined to derive an overall macro score for each asset class - The scoring results are used to determine the directional view (e.g., bullish, neutral) for each asset class [13][15] - **Model Evaluation**: The model provides a systematic and data-driven approach to assess macroeconomic conditions and their implications for asset allocation [13] 2. Model Name: US Equity Timing Model - **Model Construction Idea**: This model aims to predict the medium-term performance of US equities by analyzing three dimensions: economic sentiment, capital flows, and financial stress [16] - **Model Construction Process**: - The model assigns equal weights to three sub-indicators: economic sentiment, capital flows, and financial stress - The latest readings of these indicators are aggregated to calculate a composite timing score - For example, the latest composite score is 52.5, reflecting a moderately positive outlook for US equities [16] - **Model Evaluation**: While the model maintains a bullish view, its effectiveness may be reduced due to data lag, particularly in the context of external shocks like tariff uncertainties [16] 3. Model Name: Gold Timing Model - **Model Construction Idea**: This model identifies the timing for gold investments based on macroeconomic risks, such as tariff disputes and rising US debt levels [19] - **Model Construction Process**: - The model uses a timing indicator that oscillates around a zero axis - The indicator reflects the balance of macroeconomic risks and their potential impact on gold prices - Currently, the indicator has fallen near the zero axis due to a temporary reduction in US deficits, but the long-term trend remains upward due to expected fiscal pressures [19] - **Model Evaluation**: The model highlights gold as a strong hedge against macroeconomic uncertainties, particularly in high-risk environments [19] 4. Model Name: Crude Oil Timing Model - **Model Construction Idea**: This model evaluates the outlook for crude oil prices based on global economic conditions and supply-demand dynamics [21] - **Model Construction Process**: - The model constructs an oil sentiment index, which currently stands at 0.3 - The index reflects factors such as stable global economic data and a weakening US dollar, balanced against risks from tariff policies and OPEC's production cycle [21] - **Model Evaluation**: The model suggests that crude oil prices are likely to remain range-bound due to mixed macroeconomic signals [21] --- Model Backtesting Results 1. Macro Scoring Model - **May Return**: 0.1% - **1-Year Return**: 8.0% - **Maximum Drawdown**: 3.3% [23] 2. US Equity Timing Model - **Latest Composite Score**: 52.5 [16] 3. Gold Timing Model - **Latest Indicator Value**: Near 0 axis [19] 4. Crude Oil Timing Model - **Latest Sentiment Index**: 0.3 [21]