Main points: allocation conclusion: increase the proportion of CSI 500, reduce the proportion of bonds as a whole and reduce the duration of bonds
The asset allocation strategy of this paper is mainly from the perspective of strategic allocation, making long-term and overall planning among major categories of assets, looking for the common driving force of different asset price changes, and transforming the traditional level allocation of major categories of assets into the allocation of macro risk factors. Construct the penetration of macro risk from the surface category of assets to the bottom, so that the allocation of the portfolio is no longer limited to the income performance between assets, but focuses on the rotation of macro risk factors characterized by hidden factors, so as to make the portfolio truly realize the balance of risk.
The correlation of large categories of assets is different in different time windows. Under the guidance of different macro factors, the covariance matrix of large categories of assets will be different. This model constructs the conversion matrix between large categories of assets and macro risk. Through the dynamic allocation of macro risk contribution, the weight of macro factors is obtained and then pushed back to the weight of required large categories of assets.
This model considers the medium and long-term main asset allocation needs of asset management institutions such as Bank Of China Limited(601988) insurance, strives to explore the allocation relationship between two types of assets: A-share stocks and bonds, and appropriately subdivides and explores the subdivided assets or style rotation. For the time being, cash assets, non-standard assets with low net worth and equity assets partially affected by non investment factors are not considered, At the same time, assets such as gold, crude oil and overseas markets with less allocation have not been taken into account. This paper constructs the model of principal factor and interest rate drop based on the size of principal factor and interest rate drop. A large number of research conclusions show that the construction method has high frequency, stability and strong explanatory power.
Through macro risk attribution, we find that risk parity portfolio is not equal to macro risk equilibrium. Risk parity is too exposed to interest rate factors. The back test results show that this model has a significant improvement effect on the asset-based risk parity model and can improve the characteristics of risk return. The five factor macro factor risk allocation under the stock bond framework constructed by the strategy has achieved an annualized return of 8.46% (1.4 times leverage) and a sharp ratio of 4.26 in the past decade. Compared with the benchmark (risk parity portfolio), the excess return is relatively stable, with a maximum pullback of 5.22%. And because the underlying macro risks have been better dispersed, the trend of the portfolio is no longer exposed to the interest rate factor.
By the end of January 2022, the fluctuation of economic growth factor observed by the model has decreased slightly compared with the previous month, and the fluctuation of interest rate factor has increased slightly. Therefore, the latest model as a whole further slightly increased the allocation of stock assets with the most exposure to economic growth factors, reduced long-term bonds, slightly increased the allocation of medium and short-term bonds, and the overall leverage ratio was basically stable. The macro risk allocation portfolio under the stock bond framework we constructed (fully quantified, without subjective prediction of macro risk) is suggested as follows: the proportion of CSI 300 is 0%, the proportion of CSI 500 is 0.57%, the proportion of 10-year Treasury bond is 45.47%, the 3-5-Year treasury bond is 50.63%, the 1-3-year credit bond is 43.32%, and the overall leverage is 1.4 times. Readers can adjust the allocation proportion of various risks according to the judgment of macro factors.
Risk warning: policy uncertainty; Fundamentals exceeded expectations and impacted the bond market; The epidemic has repeatedly increased the volatility of the stock market.
