ETF配置系列（二）：宏观打分配置策略：以绝对收益为目标，多元配置为手段

Group 1 - The report aims to assist institutions targeting absolute returns in asset allocation, with a core goal of designing a strategy that can continuously generate stable return expectations, aiming for an annualized return of no less than 6%, annualized volatility not exceeding 5%, maximum drawdown not greater than 5%, and a return-to-drawdown ratio greater than 1 for the ETF allocation portfolio [6][14]. - The selected asset classes include A-share equities, Hong Kong equities, bonds, commodities, and overseas equities, with corresponding ETF products that are relatively large in scale within the public fund market [6][15]. - The report constructs two asset allocation models: "domestic stock and bond assets" and "global asset classes," with monthly rebalancing and a backtesting period from January 1, 2017, to February 13, 2026 [6][14]. Group 2 - The strategic layer utilizes risk parity and ES risk parity models to set the central weights of asset classes, indicating that the selected domestic stock and bond assets have the foundational basis for constructing an absolute return target portfolio [23][34]. - The tactical layer employs a macro scoring model to adjust asset weights based on macroeconomic factors, with ten high-frequency macro factors identified to significantly impact the returns of various asset classes [49][50]. - The backtesting results of the macro scoring asset allocation ETF portfolio indicate that the core return-risk indicators of each ETF portfolio meet the preset targets, with the global asset ETF strategies achieving annualized returns of 10.85% and 10.77% under high-risk weight adjustment rules [6][13]. Group 3 - The report details the selection of various asset classes, including specific indices for A-share equities, Hong Kong equities, bonds, overseas equities, and commodities, ensuring that the selected ETFs are viable for practical investment [15][17]. - The report establishes initial parameter settings for the asset allocation model, emphasizing the need for strict weight limits to control risk levels and achieve absolute return objectives [21][24]. - The risk parity model aims to equalize the risk contribution of each asset to the overall portfolio, with a focus on achieving a balance between risk and return [25][27].