全球多元平衡策略指数(GMBA)——多策略全球资产配置工具

Index Strategy Overview - The Global Multi-asset Balancing Allocation Index (GMBA) includes domestic stock indices, long-term interest rate bonds, commodity futures, as well as foreign stock indices, bond assets, and commodity futures[18] - The index achieves diversification through both country and strategy dispersion, with equal weights assigned to foreign and domestic strategy indices, and further equal weighting within domestic strategies (CMAM and CMABC)[22] - The index is rebalanced monthly, with weights of 50% for foreign strategy indices, 25% for CMAM, and 25% for CMABC[22] Performance Metrics - The global diversified balanced strategy index has an annualized return of 5.09% and an annualized volatility of 2.73% since its base date of January 5, 2015, with a maximum drawdown of -5.44%[3] - The index achieved an absolute return of 3.78% year-to-date as of June 30, 2024, with a maximum drawdown of -0.87% during the period[3] Risk Management - The foreign strategy index is constructed with multiple sub-strategies, with equal-weighted allocation to foreign assets each month, targeting a volatility of 4.5% and a leverage cap of 250%[10] - The index aims to reduce strategy resonance risk through country and strategy diversification[12] Accessibility - The GMBA index can be queried through the Wind terminal with the code GMBA.WI, and will be available on other financial terminals in the future[16]