资产配置｜BEAS：基于ETF的主动系统化解决方案

ETF as a Tool for Asset Allocation - ETFs serve as both a foundational tool for systematic investment and a vehicle for expressing active views on asset allocation [1] - The importance of index-based tools in asset allocation is driven by factors such as low fees, high transparency, good liquidity, and increased tool diversity [1] - As of July 2024, the total scale of ETFs reached 27459 billion yuan, with a daily average trading volume of 1289 billion yuan [1] Passive Tools and Active Management - Passive tools with active management are a trend overseas, with large institutional funds like pensions, sovereign funds, and insurance funds focusing on beta-side active allocation [2] - Model Portfolio business provides portfolio solutions using ETFs and mutual funds as underlying assets, offering active allocation based on client risk preferences [2] BEAS: Active Systematic Solutions Based on ETFs - BEAS offers six ETF allocation solutions tailored to different risk preferences [2] - "Fixed Income + Dividend" strategy: Achieves an annualized return of 6.25% with a maximum drawdown of 3.19% [2] - Multi-asset allocation based on broad-based stocks and bonds: Achieves an annualized return of 8.75% with a maximum drawdown of 4.21% [3] - Multi-asset all-weather allocation: Achieves an annualized return of 6.47% (gold version) and 6.13% (commodity version) with maximum drawdowns of 5.28% and 4.70% respectively [3] - "Fixed Income + Global Multi-Asset" strategy: Achieves an annualized return of 6.50% with a maximum drawdown of 3.00% [3] - Weekly industry theme ETF allocation: Achieves an annualized return of 21.87% since 2014 with an annualized volatility of 25.09% [4] - Index enhancement strategy based on stock ETFs: Achieves an annualized excess return of 15.09% relative to the CSI 800 index [4] Application of BEAS - For asset owners, BEAS provides a systematic allocation process and customized solutions based on specific investment goals [5] - For asset managers, BEAS can productize solutions, improving client service efficiency and reducing communication costs [5]