GUOTAI HAITONG SECURITIES·2026-03-03 03:06Group 1 - The report introduces various ETF asset allocation strategies based on risk parity, targeting different risk preferences of investors, with annualized returns of 6.74% and 8.04% for low-risk strategies, and 11.66% for high-risk strategies [1][4][7] - The report emphasizes the importance of a structured approach to ETF asset allocation, which includes defining risk-return objectives, selecting low-correlation assets, employing quantitative models, and implementing a disciplined rebalancing mechanism [8][9][10] - The report highlights the necessity of multi-asset allocation in the current complex macroeconomic environment, where single-asset "bull markets" are increasingly difficult to capture [7][8] Group 2 - For low-risk investors, the report presents an absolute return strategy based on a momentum risk budget, achieving a target volatility of 3% with an annualized return of 6.74% and a maximum drawdown of 3.72% [20][41] - The report details the construction of a momentum scoring system that evaluates assets across multiple dimensions to enhance strategy returns [21][24] - The report outlines a high-risk strategy that combines equity enhancement with a focus on high-volatility assets, achieving an annualized return of 11.66% since 2016 [3][41] Group 3 - The report discusses the concept of risk parity, which aims to equalize the risk contribution of different assets in a portfolio, thereby enhancing diversification [29][30] - The report explains the implementation of a momentum risk budget strategy, which adjusts asset allocations based on momentum scores while controlling for risk [35][38] - The report provides performance metrics for the momentum risk budget strategy, showing consistent positive returns since 2016, with an overall annualized return of 8.25% [41][42]