资产配置方法论系列：风险平价的理念与国内实践

Group 1: Risk Parity Strategy Overview - The risk parity strategy focuses on asset risk rather than returns, aiming for equal risk contribution from all assets in the portfolio[1] - This strategy typically results in lower allocation to high-risk assets and higher allocation to low-risk assets, leading to stable excess returns[2] - The strategy has shown a 4% annualized return improvement over a traditional 60/40 stock-bond portfolio while reducing volatility by nearly 3%[4] Group 2: Implementation Challenges in China - The significant volatility difference between stocks and bonds in China poses challenges for achieving balanced risk contributions[3] - Regulatory constraints limit the leverage that can be applied, reducing the effectiveness of the risk parity strategy in a low-interest-rate environment[3] - The limited range of investable assets in China hampers the development of a comprehensive risk parity asset map[3] Group 3: Performance Metrics - The risk parity strategy has demonstrated a higher Sharpe ratio compared to traditional portfolios, indicating better risk-adjusted returns[2] - Historical data shows that the risk parity model's volatility has been lower than that of U.S. Treasury bonds since 2000, enhancing its appeal[3] - The introduction of leverage in the risk parity strategy has increased annualized returns to 5.74%, outperforming the non-leveraged version by 1.35 percentage points[4]