指数基金投资+：被动外资增持港股，推荐关注通信ETF

• The "XinXuan ETF Absolute Return Strategy" aims to achieve both absolute returns and long-term relative returns compared to A-share equities by selecting ETFs from the XinXuan ETF pool. The strategy uses a "drawer method" to test equity ETFs in the market. Over the past three years, the strategy achieved an annualized return of 14.23%, a maximum drawdown of 8.6%, and a Sharpe ratio of 1.44. From the beginning of 2024 to the present, the total return of the XinXuan ETF portfolio is 29.91%, with an excess return of 19.67% compared to equal-weighted ETFs. The Sharpe ratio is 1.18, the maximum drawdown is 6.3%, the volatility is 18.14%, and the Calmar ratio is 3.71. The best-performing ETF in the portfolio during this period is the ChiNext ETF, with a holding period return of 40.69%[11][12] - The "All-Weather Multi-Asset Multi-Strategy ETF Risk Parity Strategy" combines industry rotation, style rotation, and size rotation strategies to enhance the precision of ETF usage and maximize returns. It employs a risk parity approach to reduce overall portfolio volatility by effectively diversifying assets across different asset classes and strategies. The portfolio includes commodities (e.g., gold ETFs), U.S. equities (e.g., S&P 500 ETFs), domestic equities (e.g., industry/style/size rotation), and domestic bonds (e.g., 10-year and 30-year government bond ETFs). From the beginning of 2024 to the present, the strategy achieved a return of 17.51%, a maximum drawdown of 3.62%, a volatility of 4.5%, and a Sharpe ratio of 2.45[14][16][17] - The "China-U.S. Core Asset Portfolio" integrates four strong-trend assets: Baijiu, dividend, gold, and Nasdaq ETFs. It combines the RSRS timing strategy for trend-following markets and technical reversal strategies to form a portfolio. From 2015 to the present, the annualized return of the portfolio is 33.77%, with an excess return of 14.19% compared to equal-weighted indices. The Sharpe ratio is 1.63, the maximum drawdown is 18.23%, and the volatility is 17.91%. The latest holding includes gold ETFs[20] - The "High Prosperity/Dividend Rotation Strategy" alternates between high-growth and dividend strategies based on signals. When the signal indicates high growth, the portfolio includes 50% ChiNext ETFs and 50% STAR 50 ETFs. When the signal indicates dividends, the portfolio includes 50% low-volatility dividend ETFs and 50% central enterprise dividend 50 ETFs. From the beginning of 2021 to the present, the annualized return of the strategy is 19.01%, with an excess return of 22.13% compared to equal-weighted indices. The Sharpe ratio is 0.85, the maximum drawdown is 22.91%, and the volatility is 24.43%. The latest holdings include low-volatility dividend ETFs and central enterprise dividend 50 ETFs (60% combined), as well as ChiNext ETFs and STAR 50 ETFs (40% combined)[23] - The "Dual Bond LOF Enhanced Strategy" adjusts the weights of bond-heavy portfolios and other products to ensure a higher proportion of bonds. The strategy uses the volatility of weekly returns to normalize weights, with bonds typically having lower volatility, thus increasing their weight. From 2019 to the present, the annualized return of the strategy is 6.81%, the Sharpe ratio is 2.55, the maximum drawdown is 2.42%, and the volatility is 2.58%, all outperforming the dual bond LOF benchmark[26] - The "Structured Risk Parity Strategy (QDII)" replaces the XinXuan ETF pool with a strategy pool that includes QDII products, domestic long-term bond ETFs, gold, and domestic dividend ETFs. From the beginning of 2024 to the present, the strategy achieved a return of 22.27%, a maximum drawdown of 2.38%, a volatility of 4.85, and a Sharpe ratio of 2.93[27][29] - Backtest Results for Strategies - XinXuan Technical Quantitative Strategy: Total return 29.91%, annualized return 23.33%, maximum drawdown -6.30%, volatility 18.11%, Sharpe ratio 1.13[32] - High Prosperity/Dividend Rotation Strategy: Total return 45.11%, annualized return 34.76%, maximum drawdown -22.04%, volatility 35.90%, Sharpe ratio 0.94[32] - China-U.S. Core Asset Portfolio: Total return 53.79%, annualized return 41.19%, maximum drawdown -10.86%, volatility 17.52%, Sharpe ratio 1.94[32] - Dual Bond Enhanced Strategy: Total return 8.64%, annualized return 6.86%, maximum drawdown -2.26%, volatility 3.51%, Sharpe ratio 1.34[32] - Structured Risk Parity Strategy (QDII): Total return 22.27%, annualized return 17.48%, maximum drawdown -2.38%, volatility 4.85, Sharpe ratio 2.93[32] - All-Weather Multi-Asset Risk Parity Strategy: Total return 17.51%, annualized return 13.80%, maximum drawdown -3.62%, volatility 4.50, Sharpe ratio 2.45[32]