国泰海通｜基金评价：ETF配置系列（二）：宏观打分配置策略

Core Viewpoint - The report aims to assist institutions targeting absolute returns in asset allocation by constructing a strategy that seeks stable investment returns with a target annualized return of no less than 6%, annualized volatility not exceeding 5%, maximum drawdown not exceeding 5%, and a return-to-drawdown ratio greater than 1 [3][6]. Asset Selection and Strategic Benchmark Construction - The report selects five major asset classes: A-share equities, Hong Kong equities, bonds, commodities, and overseas equities, ensuring that each has corresponding ETF products with significant scale in the public fund market [3][9]. - Two asset allocation models are constructed: "domestic stock and bond assets" and "global major asset" models, with monthly rebalancing and a backtesting period from January 1, 2017, to February 13, 2026 [3][13]. Strategic Layer - The strategic asset weight center is determined using risk parity and ES risk parity models, which aim to balance the risk contribution of each asset class [4][16]. - The historical performance of the strategic benchmark portfolio indicates that the selected domestic stock and bond assets are suitable for constructing an absolute return target portfolio [4][33]. Tactical Layer - A macro scoring model is developed to adjust asset weights based on ten high-frequency macro factors, allowing for tactical adjustments to asset weights on a monthly basis [4][35]. - The macro scoring model aims to capture short-term changes in economic conditions and enhance returns while controlling drawdowns [4][65]. Backtesting Results - Under the macro scoring model, the core return-risk indicators of the ETF combinations meet preset targets, with the global major asset ETF strategies achieving annualized returns of 10.85% and 10.77% under high-risk weight adjustment rules [5][72]. - The ES risk parity model shows superior risk management capabilities, with optimal control of annualized volatility and maximum drawdown, achieving a significant advantage in the return-to-drawdown ratio [5][72]. Risk Parity Model Performance - The risk parity model for domestic stock and bond assets achieved an annualized return of 4.21% with a maximum drawdown of -2.64%, while the global major asset model improved annualized returns to 5.94% [22][33]. - The ES risk parity model, while slightly sacrificing returns, effectively reduced portfolio volatility and drawdown risk, achieving annualized returns of 4.50% and 5.30% for domestic and global models, respectively [31][33]. Macro Scoring Framework - The macro scoring framework identifies macroeconomic indicators that significantly impact asset performance, using a combination of domestic and overseas factors to adjust asset weights dynamically [35][57]. - The report emphasizes the importance of macroeconomic factors in influencing asset returns and employs a scoring system to guide tactical adjustments [35][63].