稳健养老投资的优质选择——景顺长城保守养老目标一年持有（019665&022272）投资价值分析

Quantitative Models and Construction Methods 1. Model Name: "Core + Satellite" Dual-Layer Framework - Model Construction Idea: The model aims to balance "stability" and "growth" by combining low-correlation asset classes to smooth volatility and achieve returns[4][53] - Model Construction Process: - Core Layer: Primarily consists of interest rate bonds, supplemented by credit bonds[53] - Satellite Layer: Includes high-volatility assets such as equities, overseas assets, and commodities. These assets are allocated across regions and strategies to reduce portfolio drawdowns and achieve stable returns[53] - Model Evaluation: The dual-layer structure effectively reduces portfolio volatility while maintaining stable returns, aligning with the fund's conservative investment objectives[4][53] 2. Risk Control System - Model Construction Idea: The primary goal is to limit maximum drawdowns to ensure principal safety while pursuing stable annualized returns[54] - Model Construction Process: - Strict risk control measures are implemented to ensure a positive return experience for investors at any entry point[54] - Risk budgets are adjusted dynamically to reduce exposure to asset classes with anticipated risks, avoiding "buying the dip" strategies[54] - Model Evaluation: The risk control system ensures a smooth investment experience, reducing irrational redemptions and maintaining portfolio management continuity[54] 3. Return Realization Path - Model Construction Idea: The model emphasizes a diversified approach to achieve returns through bonds, equities, and commodities[57] - Model Construction Process: - Bond Investments: Focus on government bonds, supplemented by credit bonds[57] - Equity Investments: Core allocation to passive funds, with at least 50% of total equity exposure. The remaining allocation is split between individual stocks and active funds, with intra-day stop-loss and stop-gain mechanisms[57] - Commodity Strategy: Utilized as a supplementary return source[57] - Model Evaluation: The diversified approach ensures stable returns while mitigating risks through dynamic adjustments and sector/region rotation[57] --- Model Backtesting Results 1. "Core + Satellite" Dual-Layer Framework - Annualized Return: 5.16% (A-class), 5.84% (Y-class)[24][28][32] - Annualized Volatility: 1.68% (A-class), 1.90% (Y-class)[24][28][32] - Sharpe Ratio (IR): 2.61 (A-class), 2.23 (Y-class)[24][28][32] - Maximum Drawdown: -0.88% (both A-class and Y-class)[24][28][32] - Calmar Ratio: 5.66 (A-class), 6.33 (Y-class)[24][28][32] 2. Peer Comparison - Annualized Return (Median): 4.76% (peer group)[49] - Annualized Volatility (Median): 4.22% (peer group)[49] - Sharpe Ratio (Median): 0.82 (peer group)[49] - Maximum Drawdown (Median): -3.17% (peer group)[49] - Calmar Ratio (Median): 1.53 (peer group)[49] 3. Performance Rankings - Sharpe Ratio Ranking: Top 1.20% among peers[49] - Maximum Drawdown Ranking: Top 2.40% among peers[49] - Calmar Ratio Ranking: Top 2.20% among peers[49] 4. Additional Metrics - 3-Month Positive Return Probability: 100% for both A-class and Y-class[33] - Longest Non-New High Period: 42 days (A-class), 39 days (Y-class)[40][43] --- Quantitative Factors and Construction Methods 1. Factor Name: Multi-Asset Allocation - Factor Construction Idea: Diversify across asset classes to reduce correlation and smooth portfolio volatility[53] - Factor Construction Process: - Allocate to low-correlation assets such as bonds, equities, and commodities[53] - Adjust allocations dynamically based on market conditions and risk assessments[54] - Factor Evaluation: The multi-asset allocation strategy effectively balances risk and return, ensuring stable performance across market cycles[53][54] --- Factor Backtesting Results 1. Multi-Asset Allocation Factor - Annualized Return: 5.16% (A-class), 5.84% (Y-class)[24][28][32] - Annualized Volatility: 1.68% (A-class), 1.90% (Y-class)[24][28][32] - Sharpe Ratio (IR): 2.61 (A-class), 2.23 (Y-class)[24][28][32] - Maximum Drawdown: -0.88% (both A-class and Y-class)[24][28][32] - Calmar Ratio: 5.66 (A-class), 6.33 (Y-class)[24][28][32]