CGS(SH:601881) Zhong Guo Yin He Zheng Quan·2026-03-10 05:55Group 1: Macro Timing Strategy - The macro timing strategy has achieved a cumulative return of 53.74% since 2020, with an annualized Sharpe ratio of 1.43 and a Calmar ratio of 1.64[3] - The latest portfolio allocation as of February 27, 2026, includes: CSI 300 ETF (6.96%), CSI 500 ETF (8.04%), government bond ETF (38.74%), corporate bond ETF (14.56%), soybean meal ETF (8.77%), non-ferrous ETF (5.60%), gold ETF (12.34%), and cash ETF (5.00%)[6] - The maximum drawdown for the macro timing strategy is -4.60%[4] Group 2: Momentum Strategy - The momentum strategy has recorded a cumulative return of 178.90% since January 2, 2020, with an annualized Sharpe ratio of 0.90 and a Calmar ratio of 0.66[9] - The latest portfolio allocation as of March 5, 2026, includes: Pengyang CSI Digital Economy ETF (22.35%), Ping An FTSE China State-Owned Enterprises ETF (22.35%), Yinhua Photovoltaic 50 ETF (21.21%), E Fund CSI New Energy ETF (20.45%), and Tianhong CSI Computer Theme ETF (13.64%) [12] - The maximum drawdown for the momentum strategy is -28.71%[9] Group 3: Fund Flow Strategy - The fund flow strategy has achieved a cumulative return of 68.59% since January 2, 2020, with an annualized Sharpe ratio of 0.51 and a Calmar ratio of 0.30[14] - The latest portfolio allocation as of March 9, 2026, includes: Dachen CSI Engineering Machinery ETF (21.92%), Huaan CSI Photovoltaic Industry ETF (30.00%), CMB CSI Non-Ferrous Metal Mining Theme ETF (18.08%), and Huaxia CSI Bank ETF (30.00%) [17] - The maximum drawdown for the fund flow strategy is -30.72%[14] Group 4: Quantile Regression Strategy - The quantile regression strategy has achieved a cumulative return of 149.53% since 2020, with an annualized Sharpe ratio of 0.88 and a Calmar ratio of 0.57[19] - The latest portfolio allocation as of March 6, 2026, includes: Huaxia ChiNext AI ETF (2.50%), Huatai-PB CSI Hong Kong-Shanghai-Shenzhen Cloud Computing Industry ETF (2.50%), Southern CSI 500 Information Technology ETF (2.50%), Huaxia CSI All-Index Software Development ETF (2.50%), and Guolian Anke Innovation Chip Design ETF (40.00%), with 50.00% allocated to the Guotai Shanghai Stock Exchange 5-Year Government Bond ETF[22] - The maximum drawdown for the quantile regression strategy is -29.37%[19] Group 5: Options Basic Strategy - The best-performing buy-write strategy since 2025 is the ChiNext ETF, with a cumulative return of 18.99%[24] - The best-performing put protection strategy is also the ChiNext ETF, with a cumulative return of 25.41%[26] - The best-performing straddle strategy is the CSI 500 ETF, with a cumulative return of 5.95%[28]