国泰上证10年期国债ETF基金投资价值分析：高胜率低波动，资产定价之锚

Quantitative Models and Construction 1. Model Name: Portfolio Optimization with 10-Year Treasury Bonds - Model Construction Idea: Incorporating 10-year Treasury bonds into a portfolio to optimize the risk-return profile by leveraging their low correlation with other asset classes and high Sharpe ratio[10][13][14] - Model Construction Process: 1. Calculate the correlation matrix between 10-year Treasury bonds and other asset classes such as A-shares, U.S. equities, and gold[13] 2. Evaluate historical performance metrics, including annualized return, volatility, maximum drawdown, Sharpe ratio, and Calmar ratio for each asset[14] 3. Add 10-year Treasury bonds to a portfolio consisting of equities and short-term bonds (e.g., CSI 300, ChiNext, 1-3 year Treasury bonds) 4. Optimize the portfolio's efficient frontier by maximizing the Sharpe ratio[15] - Model Evaluation: The inclusion of 10-year Treasury bonds significantly improves the portfolio's efficient frontier, enhancing the risk-return tradeoff[10][15] --- Quantitative Factors and Construction 1. Factor Name: Macro Cycle-Based Bond Performance Factor - Factor Construction Idea: Assessing the performance of 10-year Treasury bonds under different macroeconomic cycles to identify favorable investment periods[16][18] - Factor Construction Process: 1. Divide the macroeconomic environment into six stages based on monetary, credit, and growth factors[16] 2. Calculate the annualized return of 10-year Treasury bonds in each macroeconomic stage[18] 3. Use a macroeconomic scoring card to evaluate the bond's performance probability in the current stage[18] - Factor Evaluation: The factor indicates that 10-year Treasury bonds perform best during the late stages of economic downturns, with a recent macroeconomic probability score of 40%[16][18] --- Backtesting Results of Models and Factors 1. Portfolio Optimization with 10-Year Treasury Bonds - Annualized Return: 4.51%[14] - Annualized Volatility: 2.31%[14] - Maximum Drawdown: 6.86%[14] - Sharpe Ratio: 1.95[14] - Calmar Ratio: 0.66[14] 2. Macro Cycle-Based Bond Performance Factor - Recent Macro Probability Score: 40%[18]