量化策略视点：养老金投资的被动指数产品，收益与风险特征解析

Group 1: Pension Investment Expansion - The personal pension system will be promoted nationwide starting December 15, 2024, expanding investment options for pensions[1] - The initial batch includes 85 equity index funds added to the existing 199 FOF funds, enhancing the variety of pension investment products[1] Group 2: Index Classification - The 85 index funds can be categorized into three types: mainstream broad-based indices like CSI 300 and CSI A500, innovation-driven indices like ChiNext and Sci-Tech 50, and dividend indices like CSI Dividend and Low Volatility Dividend[2] - Broad-based indices allow investors to share in the growth of the Chinese economy, while innovation indices reflect regulatory support for long-term capital in technology[2] Group 3: Performance Metrics - Key performance indicators for the indices include annualized return, rolling maximum drawdown, and Calmar ratio, which measures return relative to risk[15] - The highest investment cost-performance ratio is seen in dividend indices, particularly the Low Volatility Dividend 100 and Low Volatility Dividend indices, which combine dividend and low volatility factors[19] Group 4: Risk and Recovery - The report highlights the importance of understanding the maximum drawdown and recovery time for indices, with the Low Volatility Dividend index showing manageable recovery times after drawdowns[24] - The average recovery time for significant drawdowns in the Low Volatility Dividend index is around 302 days for the worst five instances, indicating a favorable holding experience[26]