指数基金投资+：华鑫量化全天候刷新历史新高

Quantitative Models and Construction Methods 1. Model Name: XinXuan ETF Absolute Return Strategy - Model Construction Idea: The strategy aims to achieve absolute returns and long-term relative returns against A-share equities by selecting and holding ETFs from the XinXuan ETF pool[11] - Model Construction Process: 1. The strategy uses the "drawer method" to test the in-market equity ETF pool 2. The portfolio is optimized for absolute and relative returns through ETF trading 3. Key metrics include annualized return, maximum drawdown, Sharpe ratio, and volatility[11] - Model Evaluation: Demonstrates strong performance with low drawdowns and high Sharpe ratios, outperforming equal-weighted ETF benchmarks[11] 2. Model Name: All-Weather Multi-Asset Multi-Strategy ETF Risk Parity Strategy - Model Construction Idea: Combines industry rotation, style rotation, and risk parity to enhance returns while reducing portfolio volatility by diversifying across assets and strategies[15][17] - Model Construction Process: 1. Incorporates multiple asset classes: commodities (gold ETFs), US equities (S&P 500 ETFs), domestic equities (industry/style/size rotations), and domestic bonds (10-year and 30-year bond ETFs) 2. Allocates assets based on risk parity principles to balance portfolio risks[17] - Model Evaluation: Improves precision in ETF usage and achieves higher returns with lower volatility compared to traditional risk parity strategies[15][17] 3. Model Name: China-US Core Asset Portfolio - Model Construction Idea: Combines trend-following RSRS timing strategy and technical reversal strategies to optimize a portfolio of four strong-trend assets: liquor, dividends, gold, and Nasdaq[21] - Model Construction Process: 1. Selects assets based on strong trend signals 2. Applies RSRS timing and technical reversal strategies to adjust holdings dynamically 3. Portfolio details and methodology are elaborated in prior reports[21] - Model Evaluation: Outperforms equal-weighted indices with high annualized returns and Sharpe ratios, while maintaining moderate drawdowns[21] 4. Model Name: High Prosperity/Dividend Rotation Strategy - Model Construction Idea: Rotates between high-growth and dividend strategies based on market signals, dynamically adjusting ETF allocations[24] - Model Construction Process: 1. Allocates 50% to Growth ETFs (e.g., ChiNext, STAR 50) during high-growth signals 2. Allocates 50% to Dividend ETFs (e.g., Low Volatility Dividend, Central SOE Dividend 50) during dividend signals 3. Adjusts allocations based on signal changes, with detailed methodology in prior reports[24] - Model Evaluation: Demonstrates superior returns and risk-adjusted performance compared to equal-weighted indices, albeit with higher volatility[24] 5. Model Name: Dual Bond LOF Enhanced Strategy - Model Construction Idea: Enhances bond-heavy portfolios by dynamically adjusting weights between dual bond LOFs and other assets based on volatility normalization[27] - Model Construction Process: 1. Divides assets into dual bond LOFs and other products 2. Calculates weekly returns and volatilities for each group 3. Normalizes the inverse of volatilities to determine weights, ensuring higher allocation to bonds due to their lower volatility[27] - Model Evaluation: Achieves stable returns with minimal drawdowns and low volatility, outperforming the dual bond LOF benchmark[27] 6. Model Name: Structured Risk Parity Strategy (QDII) - Model Construction Idea: Enhances traditional risk parity by incorporating QDII products, domestic bonds, and dividend ETFs for diversified exposure[28][30] - Model Construction Process: 1. Allocates assets across commodities (gold ETFs), QDII equities (e.g., Nasdaq, Nikkei, DAX), domestic bonds (5-year, 10-year, 30-year ETFs), and dividend ETFs 2. Balances risks across asset classes to achieve structural diversification[28][30] - Model Evaluation: Delivers high returns with low drawdowns and volatility, showcasing strong risk-adjusted performance[30] --- Model Backtest Results 1. XinXuan ETF Absolute Return Strategy - Total Return: 33.49% - Annualized Return: 24.14% - Maximum Drawdown: -6.30% - Volatility: 17.58% - Sharpe Ratio: 1.20[11][33] 2. All-Weather Multi-Asset Multi-Strategy ETF Risk Parity Strategy - Total Return: 19.69% - Annualized Return: 14.40% - Maximum Drawdown: -3.62% - Volatility: 4.48% - Sharpe Ratio: 2.58[15][33] 3. China-US Core Asset Portfolio - Total Return: 59.80% - Annualized Return: 42.03% - Maximum Drawdown: -10.86% - Volatility: 17.16% - Sharpe Ratio: 2.02[21][33] 4. High Prosperity/Dividend Rotation Strategy - Total Return: 48.99% - Annualized Return: 34.78% - Maximum Drawdown: -22.04% - Volatility: 34.79% - Sharpe Ratio: 0.96[24][33] 5. Dual Bond LOF Enhanced Strategy - Total Return: 9.08% - Annualized Return: 6.73% - Maximum Drawdown: -2.26% - Volatility: 3.41% - Sharpe Ratio: 1.34[27][33] 6. Structured Risk Parity Strategy (QDII) - Total Return: 23.59% - Annualized Return: 17.18% - Maximum Drawdown: -2.38% - Volatility: 4.92% - Sharpe Ratio: 2.84[30][33]