宏观策略基金和全天候是什么？手把手教你看明白

Core Viewpoint - The article explains the concept of macro strategy in investment, focusing on the components of returns: Beta (systematic returns) and Alpha (trading ability). It emphasizes that macro strategy's Beta is derived from a diversified asset allocation that captures systematic returns without the need for market timing or predictions [3][51]. Group 1: Understanding Beta - Macro strategy's Beta is defined as a diversified asset allocation across various asset classes, such as stocks, bonds, and commodities, without the need for market timing [7][19]. - A simple diversified portfolio consisting of 33% A-share index, 33% bond index, and 33% commodity and gold index achieved an annualized return of 10% with a maximum drawdown of 31%, compared to a 71% drawdown for the broader market [7][11]. - The article highlights that the long-term source of macro strategy's Beta returns is systematic dividends, which are derived from economic growth and monetary expansion [19][47]. Group 2: Sources of Asset Returns - Asset returns can be categorized into four main sources: earning from economic growth, earning from monetary expansion, earning from counterparties, and earning from risk-taking [12][16]. - Systematic returns (economic growth and monetary expansion) allow all participants to benefit simultaneously, while competitive returns (from counterparties) are limited and require outperforming others [17][18]. - The article concludes that the primary sources of asset returns are the first three categories, with systematic returns being the most sustainable and scalable [17][20]. Group 3: All-Weather Strategy - The All-Weather strategy aims to optimize asset allocation to capture long-term systematic dividends while smoothing out short-term cyclical volatility [26][28]. - This strategy categorizes macro environments into four scenarios based on economic growth and inflation levels, ensuring that assets are allocated to benefit from each scenario [28][29]. - The article emphasizes that true diversification should focus on risk parity rather than equal capital allocation, allowing for a balanced risk exposure across different assets [29][31]. Group 4: Evolution of Beta - The evolution from Beta 1.0 (simple asset allocation) to Beta 2.0 (All-Weather strategy) and finally to Beta 3.0 (factor diversification) reflects a deeper understanding of asset returns and their underlying factors [36][43]. - Beta 3.0 incorporates additional factors beyond growth and inflation, allowing for a more nuanced approach to risk diversification [41][43]. - The article stresses that constructing a macro strategy Beta portfolio is complex and requires a profound understanding of underlying asset characteristics and risk management [45][46].