20231204-国金证券-基于宏观因子风险预算的股债资产配置策略（12月期）_与上月结论基本一致_继续提示股票超跌反转_12页_1mb

Summary of Asset Allocation Strategy Report

Overview

This report analyzes a strategy for allocating assets between stocks and bonds using macroeconomic factors, aiming for absolute returns. It includes a market review for November 2023, recent configuration recommendations based on three models, the underlying principles, and risk considerations.

Market Performance

• Equity markets were mixed, with the Shanghai Composite rising by 0.36% in November but mixed performance in other indices like the Shenzhen Component and CSI 500.
• Bond yields increased slightly, with the 10-year national key bond yield rising by 4bps.
• Commodities saw gold下跌 0.74% and oil plummeting 9.94%, driving the South China Index up 0.91%.

Configuration Recommendations

• Risk Budget Model: Slightly increases stock allocation, favoring CSI 500 and rate bonds, reducing credit bonds due to decreased variances in growth and interest rate factors.
• Adaptive Model Method One: Consistent with previous month, recommends stock rebound with heavy focus on credit bonds.
• Adaptive Model Method Two: Maintains zero stock allocation, prioritizing government bonds and credit bonds.

Strategy Principles

The approach uses macroeconomic factors derived from Principal Component Analysis (PCA) of asset returns to define的风险 factors, such as interest rate, growth, credit, term spread, and size risks. These factors are used in a risk budget model to optimize allocations for absolute returns, with adaptive versions incorporating预期收益率 to adjust risk exposures.

Key Risks

• Historical data reliance may lead to model失效 if relationships change.
• Unstable factor-asset correlations or global events like political friction could amplify losses.