湘财证券晨会纪要-20251218

Financial Engineering - The report emphasizes a risk-based asset allocation strategy, contrasting it with traditional methods that focus on expected returns. This approach quantifies the investor's risk tolerance and sets a clear risk budget, aiming for a diversified risk contribution from various assets to achieve better risk-adjusted returns over the long term [2][3]. Risk Parity Model - The risk parity model is highlighted as a key strategy, optimizing asset contributions to total portfolio risk equally, thus avoiding the dominance of equities in traditional stock-bond portfolios. Backtesting results show an annualized return of 6.1% with a maximum drawdown of 3.4% and a Sharpe ratio of 3.62, indicating strong robustness [3][4]. Asset Allocation Insights - The report notes a persistent higher allocation to corporate bonds over government bonds since 2017, attributed to increased interest rate volatility in government bonds post "financial deleveraging" in China. This reflects the model's disciplined dynamic adjustment to real market risk structures [3][4]. Enhanced Strategy for Returns - A target volatility strategy is proposed, which dynamically adjusts portfolio leverage to maintain a preset volatility level. This strategy shows high sensitivity to financing costs of leveraged funds and is practical for investors with flexible capital. It aims for a higher Sharpe ratio by setting a target slightly above the full allocation portfolio volatility [5]. - Additionally, a risk budgeting strategy based on Sharpe squared is introduced, focusing on efficient risk allocation to assets with historically higher Sharpe ratios. While it achieves similar absolute returns to risk parity, it offers lower volatility and the highest Sharpe ratio among strategies, though it is dependent on the continuation of historical patterns [5].