宽基与风格轮动复盘启示录：战胜基准：子弹型策略还是哑铃型策略？

Core Insights - Bullet strategy is highly profitable in concentrated market environments but difficult to execute consistently; while the barbell strategy excels in uncertain environments with rapid sector rotation, it tends to be more passive and conservative [1] - A combined barbell and bullet strategy offers a flexible approach, allowing for a higher tolerance for errors while balancing active and passive management, making it attractive under new performance evaluation frameworks [1] Bullet Strategy - The bullet strategy significantly impacts returns based on market style, yielding high profits but with considerable execution difficulty; since 2020, strong performance in broad indices has varied yearly, with notable style rotation [1][9] - In 2020, the market favored growth, with the Hang Seng Tech and ChiNext indices performing exceptionally well; in 2021, small-cap indices like CSI 2000 and CSI 1000 outperformed amid market volatility [1][11] - The probability of outperforming the benchmark by focusing on small-cap styles since 2020 is high, with the CSI 2000 index showing a 67% chance of outperforming the benchmark [1][29] Barbell Strategy - The barbell strategy demonstrates a clear advantage in information ratio, with a high probability of outperforming the benchmark; a 50% allocation to dividends and 50% to small caps results in a slightly higher volatility than a 100% dividend strategy, but with comparable annual returns [1][37] - The correlation between excess returns of dividend and small-cap indices is close to zero, enhancing the barbell strategy's ability to adapt to various market conditions while preserving returns [1][40] Combined Strategy - The new public fund regulations are likely to favor more flexible combined strategies; investors may shift from bullet strategies to more stable combined strategies due to performance fee structures and benchmark assessments [2][45] - The combined strategy allows for dynamic allocation between bullet and barbell strategies, adapting to market conditions while maintaining a robust base [2][46] - The 10/90 combined strategy has achieved an annualized return of 8.42% since 2020, significantly outperforming the benchmark CSI 800, which has a return of -0.34% [2][46]