7月资产配置报告：宏观景气度边际改善，相对看好小盘走势

Summary of Key Points from the Conference Call Industry or Company Involved - The report focuses on the A-share market and investment strategies proposed by Industrial Securities, particularly in the context of macroeconomic conditions and sector performance. Core Insights and Arguments - Market Valuation and Timing: The improved stock-bond valuation indicator suggests that A-shares have been in a low valuation state since 2022, with potential bottom-fishing opportunities starting in 2024 [1][3] - Economic Leading Indicators: The economic leading index constructed by Industrial Securities shows a slight upward trend in comprehensive leading indicators, real economy, and financial environment as of June 30, 2025, indicating a relatively positive outlook [4] - Stock-Bond Rotation Strategies: Two types of stock-bond rotation portfolios have been constructed: a flexible allocation portfolio with a historical annualized return of 14% and a conservative fixed-income portfolio with a 7.8% annualized return, both outperforming fixed-weight benchmark portfolios [5] - Growth vs. Value Rotation Model: The growth-value rotation model has achieved approximately 25% annualized returns since its inception in late 2013, outperforming the benchmark by 5%. As of June 30, 2025, the model indicates a preference for value stocks [6] - Market Sentiment and Fund Flows: As of June 30, 2025, the A-share margin financing balance is at a historical median level, indicating a neutral market sentiment. However, net inflows from major funds are optimistic, with over 90% of the data indicating positive sentiment [10] Additional Important Content - Sector Recommendations: Industrial Securities recommends sectors such as telecommunications, defense, construction decoration, steel, and computers, which include both cyclical and growth-oriented industries. The defense sector's weight is doubled based on macroeconomic calendar effects [11][12][14] - Performance Metrics: The recommended strategy has an annualized return of approximately 14% as of June 30, 2025, exceeding the benchmark by 15 percentage points, with a volatility of 9.33% and a Sharpe ratio of 1.63 [16] - Historical Similarity Analysis: The current macroeconomic environment is compared to historical periods, particularly noting similarities with the second half of 2015, characterized by economic pressure and a loose monetary environment, leading to a cautious outlook for the stock market [9] - ETF Strategy: The strategy includes matching ETF holdings based on correlation and return levels, with a performance difference of 2 to 3 percentage points compared to the rotation results [15]