Group 1: Macro Timing Strategy - The macro timing strategy has an annualized return of 7.67% as of October 31, 2025, with a Sharpe ratio of 1.45 and a Calmar ratio of 1.67, indicating a maximum drawdown of -4.60% [2][4][5] - The latest portfolio allocation includes 7.01% in CSI 300 ETF, 7.99% in CSI 500 ETF, 55.94% in government bond ETF, 11.63% in soybean meal ETF, 5.02% in non-ferrous ETF, 7.40% in gold ETF, and 5.00% in currency ETF, with no allocation to S&P 500 ETF and corporate bond ETF [7][8] Group 2: Momentum Strategy - The momentum strategy has an annualized return of 18.25% since January 2020, with a Sharpe ratio of 0.88 and a Calmar ratio of 0.64, experiencing a maximum drawdown of -28.72% [9][10] - The latest portfolio allocation includes 27.01% in Huatai-PB CSI Telecom Theme ETF, 24.92% in Fuguo CSI Tourism Theme ETF, 21.52% in Xinhua CSI Cloud Computing 50 ETF, 16.38% in Huatai-PB CSI Smart Car ETF, and 8.17% in Huaxia CSI Artificial Intelligence ETF [13][14] Group 3: Sector Rotation Strategy - The sector rotation strategy has an annualized return of 10.00% since 2020, with an excess return of 7.27% relative to CSI 300, and a maximum drawdown of -42.98% [15] - The latest portfolio includes home appliance ETF, green power ETF, steel ETF, new energy vehicle ETF, financial ETF, and agricultural ETF, while excluding non-ferrous metals ETF and transportation ETF [18][19] Group 4: Copula-Based Second-Order Stochastic Dominance Strategy - The Copula-based second-order stochastic dominance strategy has an annualized return of 14.41% since January 2020, with a Sharpe ratio of 0.68 and a maximum drawdown of -42.62% [20][24] - The latest portfolio allocation includes 5.00% in Huaxia CSI Petrochemical Industry ETF, 85.00% in Fuguo CSI 800 Bank ETF, 5.00% in Fuguo CSI All-Index Securities Company ETF, and 5.00% in Bosera CSI Oil and Gas Resources ETF [23][25] Group 5: Quantile Random Forest Technology ETF Allocation Strategy - The quantile random forest technology ETF allocation strategy has an annualized return of 13.54% since 2020, with a Sharpe ratio of 0.76 and a maximum drawdown of -29.89% [26] - The latest portfolio allocation consists of 95.63% in technology ETFs, including 4.78% in Jiahua National Communication ETF, 4.78% in Tianhong CSI Photovoltaic Industry ETF, 4.78% in Huabao CSI Military Industry ETF, 76.51% in Ping An CSI Consumer Electronics Theme ETF, and 4.78% in Fuguo CSI Technology 50 Strategy ETF [29][30]
ETF量化配置策略更新（251031）
Yin He Zheng Quan·2025-11-07 13:50