【指数百宝箱】系列二——申万宏源【大类资产配置】策略指数解读：SMARTGDS指数介绍

Core View - The article introduces the SMARTGDS Index, a global multi-strategy index developed by Shenwan Hongyuan Securities, designed to provide stable returns through diversified global asset allocation and risk management strategies [1][28] Index Overview - The SMARTGDS Index is a fusion index based on the SMART2 Index, integrating multiple risk premium strategies to diversify income and risk sources, aiming to deliver superior long-term returns and risk resilience [28] - The index consists of four sub-strategies: SMART2, equity variance, interest rate trend, and commodity roll yield, each with distinct risk premium factors and low inter-strategy correlation [16][27] Sub-Strategies - SMART2 Index: Focuses on momentum-based allocation across 20 global assets (stocks, bonds, commodities) from four major economies (China, US, Europe, Japan), with a target volatility of 3% [54] - Equity Variance Strategy: Captures implied volatility premium by selling weekly variance swaps on US and European markets [51] - Interest Rate Trend Strategy: Tracks interest rate trends across G9 countries, benefiting from both rising and falling rate environments [53][58] - Commodity Roll Yield Strategy: Exploits stable commodity futures term structures by going long on high roll yield commodities and short on low roll yield ones [11][29] Historical Performance - Since its inception on 2010-01-05, the SMARTGDS Index has achieved an annualized return of 8.19%, with a volatility of 3.36% and a Sharpe ratio of 2.44 [12][55] - The index demonstrated resilience during major global crises, such as the 2010 Greek crisis (-0.2%), 2011 European debt crisis (-0.1%), and 2020 COVID-19 pandemic (-1.5%), outperforming global equities and bonds [5][42] Risk Management - The index employs a two-layer risk control mechanism: strategy-level diversification and asset-level diversification within each sub-strategy [46] - It maintains a target volatility of 3.5%, with a leverage cap of 200%, and adjusts leverage daily based on index and virtual portfolio volatility [9][38] - Risk budgets are allocated with 50% to SMART2 and 50% to the three satellite strategies, ensuring balanced risk contributions [59] Market Adaptability - The index is designed to perform well in both rising and falling interest rate environments, leveraging the interest rate trend strategy to hedge against rate hikes and the SMART2 strategy to benefit from asset rotation during rate cuts [44][62] - In the current market environment, with expectations of global rate cuts, the index is well-positioned to benefit from increased asset rotation and reduced fixed-income yields [47] Configuration Value - The SMARTGDS Index is suitable for investors seeking stable returns with low volatility, particularly in environments where fixed-income yields are declining and single-asset risks are high [47] - Its multi-strategy, multi-asset approach provides a robust solution for global asset allocation, offering diversified income sources and enhanced risk resilience [13][65]