BL宏观量化策略模型主动配置展望()：A股配置价值凸显，金融风格有望回归250306

Investment Rating - The report suggests a focus on A-shares and financial style for investment allocation [4][39]. Core Insights - The global asset allocation strategy has achieved an annualized return of 22.4%, with a Sharpe ratio of 1.44, and a projected annualized return of 70% for 2025 [4][21]. - The A-share sector rotation strategy has an annualized return of 21.1%, with a Sharpe ratio of 0.89, and has outperformed the Wind All A index by 165.3% cumulatively [4][39]. - The report emphasizes the importance of macroeconomic fundamentals in enhancing the effectiveness of asset allocation models and sector rotation strategies [4][39]. Summary by Sections 1. Macro-Friendly Scoring Indicators - The report utilizes a macro-friendly scoring system tailored for various asset classes, based on macroeconomic cycle factors and asset macro fundamentals [8]. 2. Global Asset Allocation Strategy - The Black-Litterman (BL) model is highlighted as an improvement over traditional mean-variance models, effectively combining subjective views with quantitative allocation models [11][12]. - The BL model strategy has shown a five-year back-tested annualized return of 23.1% and a Sharpe ratio of 1.52, outperforming other comparative strategies [12]. 3. A-Share Sector Rotation Model Strategy - The financial style is expected to rebound, with the sector rotation strategy showing a significant annualized return of 21.1% [28][31]. - The financial style is recommended for investment, particularly in sectors like banking, insurance, and brokerage, which are expected to benefit from a decrease in macroeconomic risks [40]. 4. Conclusion and Allocation Recommendations - The report recommends a focus on A-shares and financial style for March, citing the dual benefits of technology themes and economic recovery [39][40]. - The report indicates that the current market conditions present a relatively high allocation value for A-shares, especially in light of recent improvements in manufacturing activity [40].