中债金融估值中心发布中债-黄金保值信用债风险平价指数等2只指数

Core Viewpoint - The establishment of the China Bond-Gold Backed Credit Bond Risk Parity Index and the China Bond-Gold Backed CDB Bond Risk Parity Index aims to meet market demand for "fixed income plus" investment strategies, utilizing a risk parity model to dynamically adjust the allocation between gold and bonds [1][2]. Group 1: Index Details - The China Bond-Gold Backed Credit Bond Risk Parity Index includes short-duration credit bonds and gold ETF funds, while the China Bond-Gold Backed CDB Bond Risk Parity Index comprises short-duration CDB bonds and gold ETF funds [1]. - Both indices use a risk parity model and moving average strategy to adjust the allocation of gold and bonds, serving as performance benchmarks for these asset combinations [1]. Group 2: Performance Metrics - As of November 28, 2025, the annualized return for the China Bond-Gold Backed Credit Bond Risk Parity Index over the past five years is 5.14%, with an annualized volatility of 1.27% [2]. - The China Bond-Gold Backed CDB Bond Risk Parity Index has an annualized return of 4.46% and an annualized volatility of 1.23% [2]. - The Sharpe ratio for the China Bond-Gold Backed Credit Bond Risk Parity Index is 2.56, while the Kappa ratio is 3.12, with a maximum drawdown of 1.65% [2]. - For the China Bond-Gold Backed CDB Bond Risk Parity Index, the Sharpe ratio is 2.11, the Kappa ratio is 5.89, and the maximum drawdown is 0.76% [2].