Global multi-asset absolute return portfolios—low-risk and medium-to-high-risk—along with China A-share sector and style rotation strategies posted November returns of -0.16%, -1.04%, and -2.94%, respectively. Year-to-date returns stand at 3.49%, 22.12%, and 27.88%. Projections for Q4 2025 show ROE for the CSI All Share Index and its non-financial constituents at 7.50% and 6.60% (Q1 2026 estimates: 7.39% and 6.50%), with analysts revising expectations downward from the previous month. The trailing twelve-month ROE for Q3 2025 was 7.51% and 6.34%. Intrinsic value estimates for the CSI All Share Index in Q1 2026 show a decline. Gold priced in USD is expected to continue strengthening. Sentiment indices for A-shares and Hong Kong stocks have retreated from historical highs.
**Fundamentals and Asset Price Outlook** Bottom-up analyst consensus projects Q4 2025 ROE for the CSI All Share Index and non-financial constituents at 7.50% and 6.60% (Q1 2026: 7.39% and 6.50%), reflecting downward revisions. The intrinsic value estimate for Q1 2026, based on three cycles (inventory, capacity, and demographic), has begun to decline. US and Japanese GDP growth rates are entering a downward phase, while the Eurozone’s peak is expected in Q3 2025. The yen is forecast to weaken against the USD, while the euro’s strength may fade. Gold remains bullish in USD terms.
**Global Multi-Asset Strategy Performance** - Low-risk absolute return portfolio: November return -0.16%, YTD 3.49%, annualized 4.77%, max drawdown -2.20%. - Medium-to-high-risk absolute return portfolio: November return -1.04%, YTD 22.12%, annualized 14.65%, max drawdown -8.25%. - A-share sector/style rotation strategy: November return -2.94%, YTD 27.88%, annualized 27.79%, max drawdown -25.25%.
**A-Share Sector and Style Rotation** Large-cap and value styles are favored for relative returns. High-conviction sectors include utilities, defense, electronics, computers, and insurance based on financial metrics and analyst forecasts. As of November 28, 2025, sectors like coal, non-ferrous metals, machinery, and defense trade above 50% PB historical quantiles, though valuation dispersion has narrowed. Institutional interest has shifted toward chemicals, defense, textiles, non-bank finance, and media, while communication sector attention has waned. Recent weeks saw increased focus on light manufacturing, retail, healthcare, banking, and non-bank finance. Multiple sectors currently exhibit crowding signals (liquidity, constituent dispersion, volatility).
**Risks and Limitations of Multi-Asset Strategies** 1. **Reduced Diversification from High Correlations**: When asset correlations rise, covariance terms inflate, concentrating portfolio risk and undermining diversification benefits. 2. **Model Vulnerability to Market Shifts**: Historical backtests may not account for future macro changes, investor behavior shifts, or localized market dynamics, potentially invalidating risk-parity or diversification strategies. 3. **Asset Selection Constraints**: Strategy efficacy hinges on asset choices and market volatility, necessitating adaptive adjustments based on risk appetite and conditions.
*Analyst Note*: The report emphasizes vigilance against model risks amid evolving market environments.
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