Main points: the allocation conclusion remains basically stable. Compared with the long-term, continue to allocate stocks at a low level, improve the duration and the ratio of credit bonds
From the perspective of strategic allocation, the asset allocation strategy of this paper mainly carries out long-term and overall planning among major categories of assets, looks for the common driving force of different asset price changes, and transforms the traditional level allocation of major categories of assets into macro risk factor allocation. Construct the penetration of macro risk from large types of assets on the surface 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 length 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, obtains the weight of macro factors through dynamic allocation of macro risk contribution, and then deduces it to the weight of required large categories of assets.
This model considers the medium and long-term main asset allocation needs of Bank Of China Limited(601988) insurance and other asset management institutions, 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, it does not consider some cash assets, non-standard assets with low net worth and equity assets affected by non investment factors, At the same time, assets such as gold, crude oil and overseas markets with less allocation have not been taken into account. Through the principal component dimension reduction method, this model constructs a macro factor system based on stocks and bonds. Its main factors are economic growth, interest rate, credit, term spread and large and small disk factors. 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 8.29% (1.4x leverage) and sharp ratio of 4.14 in the past decade, compared with the benchmark (risk parity portfolio) the excess return is relatively stable, with a maximum pullback of 5.22%. Moreover, due to the better dispersion of the underlying macro risk, the trend of the portfolio is no longer exposed to the interest rate factor.
By the end of November 2021, the fluctuation of economic growth factor observed by the model has slightly increased compared with the previous month, and the fluctuation of interest rate factor has slightly decreased. Therefore, the latest model further slightly reduces the allocation of stock assets with the most exposure to economic growth factors, increases the allocation of long-term bonds and credit bonds, slightly shortens the allocation of medium and short-term bonds, and the overall leverage ratio is basically stable. The macro risk allocation portfolio under the stock bond framework we constructed (fully quantified, without subjective prediction of macro risks) suggestions are as follows: the proportion of CSI 300 is 0%, the proportion of CSI 500 is 0.44%, the proportion of 10-year Treasury bonds is 45.67%, the proportion of 3-5-Year treasury bonds is 50.65%, the proportion of 1-3-year credit bonds is 43.23%, and the overall leverage is 1.4 times. Readers can adjust the proportion of various risk allocation according to the judgment of macro factors.
Risk tip: such as the warming of Sino US trade friction, the impact of geopolitical friction, changes in monetary policy and so on
