景顺长城保守养老目标一年持有投资价值分析：稳健配置新选择，低利率时代下的守与攻

Quantitative Models and Construction Methods Model Name: 景顺长城保守养老目标一年持有 A - Model Construction Idea: The fund aims to achieve long-term stable growth of pension assets through diversified asset allocation and fund selection, focusing on risk control and volatility management[32][34] - Model Construction Process: - Strategic and Tactical Asset Allocation: The fund uses a two-layer asset allocation model to control portfolio risk and strive to exceed benchmark returns. Strategic allocation is based on risk budget, while tactical allocation dynamically adjusts asset proportions based on macroeconomic, technical, and market sentiment factors[35] - Quantitative and Qualitative Fund Selection: The fund combines quantitative and qualitative methods to select outstanding fund managers and fund varieties within each asset class. This involves continuous tracking and evaluation to form a fund pool and construct a fund-of-funds portfolio[36][38] - Risk Control Strategy: Daily tracking of portfolio performance, regular position analysis, and stress testing. Adjustments are made when there are deviations in sub-fund styles, manager changes, or better alternatives[39] - Bond, Stock, and Hong Kong Stock Connect Investment Strategy: For bond investments, the fund manager determines duration and asset allocation based on macroeconomic and interest rate forecasts. For stocks and Hong Kong Stock Connect stocks, the focus is on fundamental research and valuation assessment[39] - Model Evaluation: The fund has demonstrated effective risk control and stable net value, with a maximum drawdown of less than 1% during periods of market volatility[40][41] Model Backtest Results - 景顺长城保守养老目标一年持有 A: - Annualized Return: 5.13%[41] - Maximum Drawdown: 0.88%[41] - Net Value Volatility: 1.70%[43] - Sharpe Ratio: 2.94[41] - Calmar Ratio: 5.81[41] - Probability of Positive Return for 3-Month Holding Period: 100%[44] - Minimum Return for 3-Month Holding Period: 0.43%[44] - Maximum Return for 3-Month Holding Period: 2.58%[44] - Longest Duration Without New High: 41 days[44] Quantitative Factors and Construction Methods Factor Name: 宏观经济指标 - Factor Construction Idea: Reflects the performance of macroeconomic factors such as monetary policy, fiscal policy, and industrial production[38] - Factor Construction Process: Selection of relevant indicators to form a comprehensive scoring model based on factor signals, which ranks assets and dynamically adjusts asset allocation proportions[35][38] Factor Name: 技术指标 - Factor Construction Idea: Reflects market factors such as capital flows, asset price volatility, and price trends[38] - Factor Construction Process: Similar to macroeconomic indicators, relevant technical indicators are selected to form a comprehensive scoring model based on factor signals[35][38] Factor Name: 市场情绪指标 - Factor Construction Idea: Reflects market sentiment through trading data and implied volatility[38] - Factor Construction Process: Selection of relevant sentiment indicators to form a comprehensive scoring model based on factor signals[35][38] Factor Backtest Results - 景顺长城保守养老目标一年持有 A: - Annualized Return: 5.13%[41] - Maximum Drawdown: 0.88%[41] - Net Value Volatility: 1.70%[43] - Sharpe Ratio: 2.94[41] - Calmar Ratio: 5.81[41] - Probability of Positive Return for 3-Month Holding Period: 100%[44] - Minimum Return for 3-Month Holding Period: 0.43%[44] - Maximum Return for 3-Month Holding Period: 2.58%[44] - Longest Duration Without New High: 41 days[44]