黄金+微盘=比黄金更小的波动

Core Viewpoint - The article discusses a strategy for asset allocation that combines gold and high-volatility micro-fund investments to achieve lower volatility while maintaining similar returns [3][4]. Group 1: Investment Strategy - The strategy involves using a combination of gold and micro-fund investments, which historically show nearly zero correlation, providing a solid basis for asset allocation [9][10]. - The optimal allocation ratio of 80% gold and 20% micro-fund is proposed to minimize volatility, resulting in a lower annualized volatility of 10.99% compared to 12.38% for a 100% gold strategy [15][19]. Group 2: Performance Metrics - The backtest results show that the 100% gold strategy had a cumulative return of +85.61% with an annualized return of 22.85% and a Sharpe ratio of 1.72 [16]. - In contrast, the 80% gold and 20% micro-fund strategy yielded a cumulative return of +84.42% with an annualized return of 22.59% and a higher Sharpe ratio of 1.92, indicating better risk-adjusted returns [20][24]. Group 3: Risk Management - The maximum drawdown for the 80% gold and 20% micro-fund strategy was 9.48%, lower than the 10.45% drawdown for the 100% gold strategy, demonstrating improved risk control [21][26]. - The recovery time for the mixed strategy was 37 days, while the 100% gold strategy had not yet recovered, highlighting the resilience of the combined approach [21][24]. Group 4: Historical Performance - Historical data indicates a 100% probability of profit when holding the combined strategy for three years, with an average return of +32.50% [22]. - The article emphasizes that asset allocation can maintain returns while reducing volatility, supporting the notion that diversification is beneficial [25][26].