2025年宏观对冲策略年报：宏观对冲策略24年回顾与25年展望

Performance Overview - As of November 15, 2024, the net value of the "Passive Allocation" macro hedge index is 1.2260, while the "Active Management" index is 1.1821, indicating that passive strategies outperformed active ones in terms of returns and volatility[5] - The average weekly return for the "Passive Allocation" strategy from January 5 to November 15, 2024, is 0.49%, with an annualized return of 28.83% and a volatility of 6.63%[38] - The "Active Management" strategy has an average weekly return of 0.42%, leading to an annualized return of 24.32% and a volatility of 7.52%[38] Market Correlation Analysis - The "Passive Allocation" macro hedge index's returns in 2024 are more dependent on gold, while the "Active Management" strategy relies more on the CSI 300 index[31] - The correlation of the "Passive Allocation" index with the gold ETF is 0.399, indicating a significant relationship, whereas the correlation with the CSI 300 for the "Active Management" index is 0.324[42] Strategy Insights - The "Passive Allocation" strategy focuses on risk control by distributing volatility across different assets, while the "Active Management" strategy is more event-driven, aiming for short-term gains[31] - In 2024, the "Passive Allocation" strategy had a maximum weekly return of 2.5% and a maximum drawdown of -1.45%, while the "Active Management" strategy had a maximum weekly return of 4.15% and a maximum drawdown of -1.04%[12] Investment Outlook - The macro hedge strategies are expected to provide risk diversification and return resilience in a volatile and uncertain market environment in 2025[6] - The report suggests a preference for "Passive Allocation" managers who can also manage overseas assets, such as U.S. stocks and bonds, to hedge against potential market risks[6]