主动量化研究系列：权益指数配置方案：风险控制视角

• The report emphasizes that index investment should focus on allocation rather than rotation, and excess returns should come from alpha rather than style or industry[1][2] - The necessity and effectiveness of index risk management are highlighted, suggesting neutralizing signals to remove existing risk factors and constraining specific dimensions' deviation from the benchmark[3] - An index configuration portfolio targeting information ratio (IR) achieved an annualized excess return of 11.25%, an IR of 2.28, a Calmar ratio of 4.10, and a monthly win rate of 73% from 2015 to 2024[4][10] - The report discusses the construction of an index risk control model, which includes determining the list of indices to be included and the risk factors to be used[53] - The index risk control model's effectiveness is significantly higher than that of individual stock models, with industry contributions greatly exceeding style contributions[55][58] - The report suggests that the index risk control model should be used to constrain active risk while pursuing alpha returns, with the goal of maximizing the information ratio[60] - The report outlines the process of constructing an index configuration portfolio, including signal selection, synthesis, and combination optimization[71] - The optimized portfolio reduced the maximum drawdown from 8.30% to 4.55% and improved the IR and Calmar ratio, with a tracking error of 4.93%[72][73]