指数基金投资+：首批10只科创债ETF上报，推荐关注半导体ETF

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 trading ETFs from the XinXuan ETF pool [11] - Model Construction Process: - The strategy uses the "drawer method" to test equity ETFs in the pool - Past three-year performance: annualized return of 14.23%, maximum drawdown of 8.6%, Sharpe ratio of 1.44 (in-sample) - 2024 YTD performance: total return of 34.07%, excess return of 19.64% over equal-weighted ETFs, Sharpe ratio of 1.18, maximum drawdown of 6.3%, volatility of 17.11%, Calmar ratio of 3.67 [11] - Evaluation: Demonstrates strong performance with low drawdowns and high Sharpe ratio [11] 2. Model Name: All-Weather Multi-Asset Multi-Strategy ETF Risk Parity Strategy - Model Construction Idea: Combines sector rotation, style rotation, and risk parity to enhance returns while reducing portfolio volatility [14][16] - Model Construction Process: - Asset allocation includes: - Commodities: Gold ETFs - US equities: S&P 500 ETFs - Domestic equities: sector/style/size rotation - Domestic bonds: 10-year and 30-year government bond ETFs [16] - Risk parity is applied to distribute assets effectively across different strategies and asset classes [16] - Evaluation: Improves precision in ETF usage and achieves effective diversification [16] 3. Model Name: China-US Core Asset Portfolio - Model Construction Idea: Combines trend-following RSRS strategy and technical reversal strategies for four strong-trend assets: Baijiu, dividends, gold, and Nasdaq [20] - Model Construction Process: - Annualized return since 2015: 33.77%, excess return of 13.16% over equal-weighted indices, Sharpe ratio of 1.64, maximum drawdown of 18.23%, volatility of 17.8% [20] - Evaluation: Outperforms equal-weighted indices with strong returns and moderate risk [20] 4. Model Name: High Growth/Dividend Rotation Strategy - Model Construction Idea: Rotates between high-growth and dividend strategies based on signals [23] - Model Construction Process: - High-growth signal: Allocates 50% to ChiNext ETF and 50% to STAR 50 ETF - Dividend signal: Allocates to Dividend Low Volatility ETF (pre-Feb 2024) and 50% to Dividend Low Volatility ETF + 50% to Central SOE Dividend 50 ETF (post-Feb 2024) - Annualized return since 2021: 19.44%, excess return of 21.51% over equal-weighted indices, Sharpe ratio of 0.88, maximum drawdown of 22.91%, volatility of 24.08% [23] - Evaluation: Strong returns but higher volatility and drawdowns [23] 5. Model Name: Dual Bond LOF Enhanced Strategy - Model Construction Idea: Enhances bond-heavy portfolios by adjusting weights based on volatility normalization [26] - Model Construction Process: - Divides assets into Dual Bond LOF and other products (aligned with China-US Core Asset Portfolio) - Calculates weekly returns and volatility for each group - Normalizes the inverse of volatility to determine weights, ensuring higher allocation to bonds due to lower volatility [26] - Annualized return since 2019: 6.73%, Sharpe ratio of 2.55, maximum drawdown of 2.42%, volatility of 2.55% [26] - Evaluation: Effectively reduces risk while maintaining competitive returns [26] 6. Model Name: Structured Risk Parity Strategy (QDII) - Model Construction Idea: Incorporates QDII products into a risk parity framework, focusing on domestic long-term bonds, QDII equities, gold, and domestic dividend ETFs [29] - Model Construction Process: - Asset allocation includes: - Commodities: Gold ETFs - QDII: Nasdaq, Nikkei, German, S&P, and other international ETFs - Domestic dividends: Bank ETFs, Dividend Low Volatility ETFs - Domestic bonds: 5-year, 10-year, and 30-year government bond ETFs - 2024 YTD performance: total return of 24.84%, maximum drawdown of 2.38%, volatility of 4.83%, Sharpe ratio of 2.87 [29] - Evaluation: Strong performance with low drawdowns and high Sharpe ratio [29] --- Model Backtest Results 1. XinXuan ETF Absolute Return Strategy - Total return: 34.07% - Annualized return: 23.08% - Maximum drawdown: -6.30% - Volatility: 17.11% - Sharpe ratio: 1.18 [32] 2. High Growth/Dividend Rotation Strategy - Total return: 53.14% - Annualized return: 35.23% - Maximum drawdown: -22.04% - Volatility: 33.88% - Sharpe ratio: 0.99 [32] 3. China-US Core Asset Portfolio - Total return: 61.21% - Annualized return: 40.24% - Maximum drawdown: -10.86% - Volatility: 16.79% - Sharpe ratio: 1.98 [32] 4. Dual Bond LOF Enhanced Strategy - Total return: 9.26% - Annualized return: 6.47% - Maximum drawdown: -2.26% - Volatility: 3.32% - Sharpe ratio: 1.30 [32] 5. Structured Risk Parity Strategy (QDII) - Total return: 24.84% - Annualized return: 17.01% - Maximum drawdown: -2.38% - Volatility: 4.83% - Sharpe ratio: 2.87 [32] 6. All-Weather Multi-Asset Multi-Strategy ETF Risk Parity Strategy - Total return: 19.84% - Annualized return: 13.67% - Maximum drawdown: -3.62% - Volatility: 4.39% - Sharpe ratio: 2.49 [32]