风险预算策略在中国股市的应用

Core Insights - The application of risk budgeting strategies in the Chinese stock market has proven effective despite the market's unique characteristics, allowing for significant outperformance compared to benchmark indices [2][3]. Group 1: Performance of Risk Budgeting Strategies - Risk budgeting strategies have effectively reduced losses during recent market volatility in the A-share market, with the CSI 300 index declining over 45% from 2021 to 2024, while the Equal Risk Contribution (ERC) strategy limited drawdowns to 33% [3]. - The ERC strategy has demonstrated superior risk-return characteristics over a longer time frame, with annualized returns, volatility, and Sharpe ratios of 7.7%, 21.9%, and 0.44 respectively, compared to the benchmark's 5.6%, 23.1%, and 0.34 [3]. - The probability of the ERC strategy outperforming the benchmark over 1, 3, and 5 years is 59%, 73%, and 82% respectively [3]. Group 2: Characteristics of the Chinese Stock Market - The low correlation and high volatility among different sectors in the Chinese stock market provide favorable conditions for risk budgeting strategies, with an average monthly pairwise correlation of approximately 67% [7]. - Historical data shows annualized volatility across sectors ranging from 24% to 34%, with utilities and consumer discretionary sectors exhibiting the lowest volatility, while telecommunications and information technology sectors show the highest [7]. Group 3: Sector Weight Adjustments - The sector allocation in risk budgeting strategies can significantly differ from market-cap weighted benchmarks, with the financial sector's weight reduced from 27% in the CSI 300 to about 11% in the ERC strategy to equalize risk contributions [9]. - As of June 2025, the utilities sector holds the highest weight in the ERC portfolio at 16%, while the consumer staples sector has the lowest at 7% [9]. Group 4: Tracking Error Management - Introducing constraints in the risk budgeting strategy can reduce tracking error, with an unrestricted ERC strategy showing an annualized tracking error of approximately 5.6%, while a constrained ERC strategy limits deviations to 5% for small sectors and 10% for large sectors, reducing tracking error to 2.8% [11].