- The Black-Litterman (BL) model is an improved version of the mean-variance optimization (MVO) model developed by Fisher Black and Robert Litterman in 1990. It combines Bayesian theory with quantitative asset allocation models, allowing investors to incorporate subjective views into asset return forecasts and optimize portfolio weights. This model addresses MVO's sensitivity to expected returns and provides a more robust framework for efficient asset allocation[12][13][14] - The BL model was implemented for both global and domestic assets. For global assets, it utilized indices such as the S&P 500, Hang Seng Index, and COMEX Gold. For domestic assets, it included indices like CSI 300, CSI 1000, and SHFE Gold. Two variations of the BL model were constructed for each asset category[13][14][18] - The Risk Parity model, introduced by Bridgewater in 2005, aims to equalize risk contributions across asset classes in a portfolio. It calculates initial asset weights based on expected volatility and correlation, then optimizes deviations between actual and expected risk contributions to determine final portfolio weights[17][18][20] - The Risk Parity model was applied to both global and domestic assets. Global assets included indices such as CSI 300, S&P 500, and COMEX Gold, while domestic assets incorporated CSI 300, CSI 1000, and SHFE Gold. The model followed a three-step process: selecting assets, calculating risk contributions, and solving optimization problems for portfolio weights[18][20][21] - The Macro Factor-based Asset Allocation model constructs a framework using six macroeconomic risk factors: growth, inflation, interest rates, credit, exchange rates, and liquidity. It employs Factor Mimicking Portfolio methods to calculate high-frequency macro factors and integrates subjective views on macroeconomic conditions into asset allocation decisions[22][24][25] - The Macro Factor-based model involves four steps: calculating factor exposures for assets, determining benchmark factor exposures using a Risk Parity portfolio, incorporating subjective factor deviations based on macroeconomic forecasts, and solving for asset weights that align with target factor exposures[22][24][25] Model Performance Metrics - Domestic BL Model 1: Weekly return -0.11%, September return -0.14%, 2025 YTD return 3.23%, annualized volatility 2.19%, maximum drawdown 1.31%[14][17] - Domestic BL Model 2: Weekly return -0.11%, September return -0.13%, 2025 YTD return 2.84%, annualized volatility 1.99%, maximum drawdown 1.06%[14][17] - Global BL Model 1: Weekly return 0.04%, September return 0.11%, 2025 YTD return 0.84%, annualized volatility 1.99%, maximum drawdown 1.64%[14][17] - Global BL Model 2: Weekly return 0.00%, September return 0.03%, 2025 YTD return 1.84%, annualized volatility 1.63%, maximum drawdown 1.28%[14][17] - Domestic Risk Parity Model: Weekly return -0.06%, September return 0.05%, 2025 YTD return 2.99%, annualized volatility 1.35%, maximum drawdown 0.76%[20][21] - Global Risk Parity Model: Weekly return -0.07%, September return 0.13%, 2025 YTD return 2.50%, annualized volatility 1.48%, maximum drawdown 1.20%[20][21] - Macro Factor-based Model: Weekly return 0.04%, September return 0.26%, 2025 YTD return 3.29%, annualized volatility 1.32%, maximum drawdown 0.64%[26][27]

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]