泛固收资产配置研究系列之一：股债恒定ETF增强策略创新

Core Insights - The report emphasizes the volatility short position attribute of the rebalancing strategy, supported by theoretical models and option pricing examples [3][25][76] - A volatility shorting timing strategy was designed based on volatility exposure, adjusting the short volatility position according to volatility changes [3][48][76] - The improved strategy, which combines short volatility and momentum, shows enhanced performance with increased returns and reduced volatility and drawdown [3][49][76] Group 1: Constant Stock-Bond ETF Derivative Attributes - The representative index of the constant stock-bond ratio shows a relatively large scale in terms of constituent stock index size and bond index coverage [7][25] - The constant rebalancing strategy has certain advantages, with better returns compared to bond indices and lower volatility and drawdown compared to stock indices [10][25] Group 2: Foundation - Short Volatility Timing Strategy - The strategy design includes selecting a benchmark holding of the A500 exchange stock-bond ratio of 15/85, considering the scale of the constant stock-bond index [27][30] - The adjustment logic is based on the characteristics of volatility clustering and mean reversion [28][30] - The training sample from 2016 to 2020 shows significant improvement in performance compared to the original stock-bond strategy [31][34] Group 3: Improvement - Adding Stock-Bond Momentum - The improved strategy incorporates momentum effects of stock and bond assets, which can be detrimental to the rebalancing strategy during trend divergence [50][73] - The adjustment logic involves increasing the weight of the outperforming asset based on recent performance [53][73] - The improved strategy shows better performance in both training and testing samples, with increased returns and reduced volatility and drawdown [54][62][73]