国君晨报1010|固收、金工研究、计算机、社服批零

Quantitative Models and Construction Methods 1. Model Name: Black-Litterman (BL) Model - Model Construction Idea: The BL model integrates market equilibrium returns with subjective views to generate optimal portfolio weights for asset allocation[6] - Model Construction Process: 1. Start with the equilibrium returns derived from the market capitalization weights of assets 2. Incorporate subjective views on expected returns using a Bayesian framework 3. Combine the equilibrium returns and subjective views to calculate posterior returns 4. Optimize the portfolio based on the posterior returns and covariance matrix of asset returns - Model Evaluation: The BL model is effective in balancing market information and investor views, making it suitable for dynamic asset allocation[6] 2. Model Name: Risk Parity Model - Model Construction Idea: The risk parity model aims to allocate portfolio weights such that each asset contributes equally to the portfolio's overall risk[6] - Model Construction Process: 1. Calculate the volatility of each asset in the portfolio 2. Determine the covariance matrix of asset returns 3. Solve for portfolio weights that equalize the risk contribution of each asset 4. Adjust weights periodically to maintain equal risk contribution as market conditions change - Model Evaluation: The risk parity model is robust in diversifying risk across assets, particularly in volatile markets[6] 3. Model Name: Macro Factor-Based Asset Allocation Model - Model Construction Idea: This model uses macroeconomic factors to guide asset allocation decisions, linking economic conditions to asset performance[6] - Model Construction Process: 1. Identify key macroeconomic factors such as growth, inflation, interest rates, credit spreads, exchange rates, and liquidity 2. Assign scores to each factor based on current and expected economic conditions 3. Use the factor scores to adjust portfolio weights dynamically across asset classes 4. Optimize the portfolio based on the adjusted weights and risk-return trade-offs - Model Evaluation: The macro factor model is effective in capturing economic trends and aligning portfolio strategies with macroeconomic conditions[6] --- Model Backtesting Results 1. Black-Litterman (BL) Model - 2024 YTD Return: 6.44% - September Return: 1.07% - Maximum Drawdown: 0.78% - Annualized Volatility: 1.51%[7] 2. Risk Parity Model - 2024 YTD Return: 5.66% - September Return: 1.23% - Maximum Drawdown: 0.37% - Annualized Volatility: 1.05%[7] 3. Macro Factor-Based Asset Allocation Model - 2024 YTD Return: 4.92% - September Return: 1.32% - Maximum Drawdown: 0.47% - Annualized Volatility: 1.19%[7]