Key investment points
Performance of major asset allocation portfolios in the fourth quarter: from October 8, 2021 to December 24, 2021, the cumulative returns of conservative, conservative and steady, steady, steady and aggressive and aggressive asset allocation portfolios were 1.24%, 0.42%, 0.44%, 0.41% and 0.40%, of which the yield of conservative portfolio was 0.4pct higher than that of CSI 10-year Treasury bonds, The yield is 0.12pct higher than that of CSI 300. In terms of risk control, the annualized volatility of the asset allocation portfolio with five risk preferences in the fourth quarter of 2021 was 2.04%, 3.39%, 4.21%, 6.72% and 8.50% respectively, the maximum pullback was 0.61%, 1.51%, 1.81%, 2.92% and 3.68% respectively, and the maximum loss was -0.05%, -0.31%, -0.33%, -0.51% and-0.63% respectively.
Attribution analysis of major asset allocation portfolio in the fourth quarter: comprehensively, the income contribution of asset allocation portfolio in the fourth quarter mainly comes from equity assets and bond assets. Commodity assets and cash assets become the drag of income contribution, and the risk contribution mainly comes from equity assets and commodity assets.
Qualitative analysis of asset allocation of major categories: looking forward to the first quarter of 2022, we believe that under the pressure of liquidity, economy and supply side, the economy will gradually shift from the “stagflation like” stage of Merrill Lynch clock to the “recession stage”, and bonds are the most suitable for allocation. In terms of commodities, the stage of rapid rise in commodity prices is coming to an end. With the acceleration of global economic recovery in the first quarter of next year, the inflection point of global liquidity may be approaching. Commodities may fluctuate at a high level with limited increase, and the proportion can be appropriately reduced. In terms of stocks, the margin of global liquidity is tight, and the market style is unfavorable to track stocks. However, due to the continuous promotion of the “double carbon” goal and the policy tone of “stable growth, structural adjustment and risk prevention” of China’s economy, there are still great opportunities for the new energy track. In terms of cash and bonds, the original allocation is basically maintained. As the global liquidity inflection point approaches in the first quarter of next year, the value of cash assets gradually highlights. China’s monetary policy normalization is one year ahead of the world. Once it faces possible downward pressure on the economy, the central bank still has room to operate; In addition, the interest rate difference between China and the United States is now at a high level, and there is a high probability of interest rate difference contraction in the future, that is, there is a trend of Chinese government bonds falling and US bonds rising. Therefore, Chinese bonds may be concerned by foreign investors. Therefore, there is room for the yield of Chinese bonds to decline, and the bond assets have a relatively stable performance under the uncertain economic environment, so they should be appropriately allocated. Therefore, we believe that the allocation order in the first quarter of next year is bonds > stocks > cash > commodities.
Selection of investment targets based on the economic cycle: according to the fund selection logic of major asset allocation industries and comprehensively considering the liquidity factors such as fund scale and daily average turnover, we selected harvest CSI new energy ETF, Cathay CSI 800 automobile and parts ETF, Nanfang CSI nonferrous metals ETF, Penghua CSI national defense ETF, Huaxia CSI 5g communication theme ETF Wells Fargo China Securities all refers to the ETF of building materials, huitianfu China Securities main consumption ETF, GF China Securities all refers to the ETF funds of 8 theme industries such as optional consumption ETF and Hua’an gold ETF. We choose the 10-year Treasury Bond ETF of Shanghai Stock Exchange and the 10-year Local Government Bond ETF of Haifutong Shanghai stock exchange. In terms of commodity investment, we select Hua’an gold through screening, because gold is more representative in bulk commodities, and with the increasing downward pressure on the economy, gold has a certain anti risk effect. IMF chooses Boshi cash income a.
Portfolio construction based on quantitative model: five portfolios are constructed by using CVaR, risk parity and B-L model. For the time being, the portfolio will not consider leverage, and the monetary funds will be allocated 15%. Among them, in the conservative asset allocation portfolio, the equity allocation is 19.56%, the bond allocation is 60.12%, and the commodity allocation is 3.92%; In the conservative and prudent asset allocation portfolio, the equity allocation is 4.83%, the bond allocation is 75.12%, and the commodity allocation is 5.05%; In the robust asset allocation portfolio, the equity allocation is 35.48%, the bond allocation is 39.28%, and the commodity allocation is 10.25%; In the steady and enterprising asset allocation portfolio, the equity allocation is 45.56%, the bond allocation is 37.22%, and the commodity allocation is 2.22%; In the aggressive asset allocation portfolio, the equity allocation is 50.12%, the bond allocation is 33.5%, and the commodity allocation is 1.38%. See the text for specific subject matter and weight.
Risk tips: overseas market risk, repeated epidemic risk, monetary policy exceeding expectations and economic recovery less than expected. Large category asset allocation is a medium and long-term strategy, which requires investors to strictly evaluate the term of funds. Funds with short or closing pressure are not suitable for long-term asset allocation. Please note to investors! In addition, this report is for investors’ reference only. The selection of investment direction and target requires investors to comprehensively consider the valuation and various factors other than valuation for prudent analysis and decision-making.
