场内ETF积极抄底港股，量化全天候组合新高

Group 1 - The report highlights the performance of the "Xinxuan ETF Absolute Return Strategy," which achieved an annualized return of 14.23% over the past three years, with a maximum drawdown of only 8.6% and a Sharpe ratio of 1.44 [10][9] - The total return of the Xinxuan ETF portfolio from the beginning of 2024 to date is 46.53%, outperforming the equal-weighted ETF by 7.16%, with a Sharpe ratio of 1.45 and a maximum drawdown of 6.3% [10][9] - The latest holdings of the Xinxuan ETF strategy include various sector ETFs such as liquor, innovative medicine, banking, and renewable energy [10] Group 2 - The "All-Weather Multi-Asset Risk Parity Strategy" has yielded a return of 22.43% since the beginning of 2024, with a maximum drawdown of 3.62% and a Sharpe ratio of 2.32 [13] - This strategy diversifies assets across different sectors and styles, including commodities like gold and various equity strategies [15] Group 3 - The "Recovery Fixed Income+" strategy aims to balance inflation and credit factors while maintaining liquidity, utilizing a monthly rotation among 15 high-liquidity ETFs in the Hong Kong market and holding 30-year long bonds [19] - The annualized return of this strategy since the market downturn in 2021 is 7.63%, with an annualized volatility of 7.06% and a Sharpe ratio of 1.07 [19] Group 4 - The "China-US Core Asset Portfolio" includes strong trend assets such as liquor, dividends, gold, and the Nasdaq, achieving an annualized return of 34.15% since early 2015, outperforming equal-weighted indices by 12.73% [23] - The latest holdings in this portfolio consist of liquor ETFs, gold ETFs, dividend ETFs, and Nasdaq ETFs [23] Group 5 - The "High Prosperity/Dividend Rotation Strategy" has an annualized return of 24.49% since early 2021, significantly outperforming equal-weighted indices by 22.91% [26] - The current holdings in this strategy include the Central Enterprise Dividend 50 ETF, low-volatility dividend ETF, and others [26] Group 6 - The "Double Bond LOF Enhanced Strategy" has achieved an annualized return of 6.48% since early 2019, with a Sharpe ratio of 2.5 and a maximum drawdown of 2.42% [29] - This strategy focuses on maintaining a larger proportion of bond holdings compared to other assets [29] Group 7 - The "Structured Risk Parity Strategy (QDII)" has yielded a return of 25.59% since the beginning of 2024, with a maximum drawdown of 2.38% and a Sharpe ratio of 2.5 [32] - This strategy incorporates domestic long-term bond ETFs, QDII equity products, and gold ETFs [32] Group 8 - The report indicates that the total return of various strategies from the beginning of 2024 includes 46.07% for the Xinxuan Technical Quantitative Strategy and 96.29% for the High Prosperity Dividend Rotation Strategy [35] - The performance metrics for these strategies show significant outperformance compared to benchmarks [35] Group 9 - The report tracks the new issuance of index funds, with a total of 10 new public funds established this week, raising a total of 9.548 billion yuan [38] - Among these, four new index funds were launched with a total initial scale of 1.708 billion yuan [38] Group 10 - The report details the fund flows across different asset classes, with A-shares, bonds, commodities, and cross-border ETFs showing significant net inflows and outflows [47] - Specifically, A-share ETFs experienced a net outflow of 166 billion yuan, while cross-border ETFs saw a net inflow of 272 billion yuan [47][51]