华泰资产配置策略体系回顾与更新

Group 1: Asset Allocation Strategy Overview - Huatai's asset allocation strategy primarily focuses on Beta strategies, supplemented by Alpha and hedging strategies to diversify returns and risks[1] - Beta strategies include financial cycles, macro factors, and trend allocation, while Alpha strategies encompass term structure, commodity curves, and momentum strategies[1] - The integration of Beta, Alpha, and hedging strategies enhances overall portfolio performance by diversifying sources of returns and risks[1] Group 2: HYCLE-S3 Strategy Performance - The HYCLE-S3 strategy combines cycle signals and momentum signals, selecting top assets from stocks, bonds, commodities, and forex based on these signals[2] - The strategy achieved an annualized return of 7.03% with a maximum drawdown of -6.49% over the backtesting period from June 1, 2010, to February 21, 2025[18] - Monthly win rate for the HYCLE-S3 strategy is 67.80%, with a maximum monthly gain of 4.49% and a maximum monthly loss of 3.64%[18] Group 3: HYCLE-M2 Strategy Insights - The HYCLE-M2 strategy employs a "momentum selects assets, cycle adjusts weights" approach, resulting in a more moderate expression of cycle signals[3] - This strategy recorded an annualized return of 6.65% and a maximum drawdown of -5.95% during the same backtesting period[29] - The monthly win rate for HYCLE-M2 is also 67.80%, with a maximum monthly gain of 4.84% and a maximum monthly loss of 3.45%[29] Group 4: Global and China Trend Allocation Strategies - The HATSG1 strategy focuses on cross-asset trend trading and risk parity models, achieving an annualized return of 5.67% with a maximum drawdown of -5.62%[37] - The HATSC1 strategy utilizes time-series momentum and risk budgeting models for dynamic allocation in domestic assets, similar to the global strategy[5] - Both strategies aim to smooth returns and reduce volatility, particularly during market downturns[5]