多元资产配置的核心价值，在于通过低相关性资产组合对冲非线性冲击，在不同市场情景下均能找到收 益支撑。这一逻辑在富国智恒稳健FOF的设计中得到充分落地：产品以"中短久期+高等级信用债+票息 策略"构建纯债底仓，不做信用下沉，既锁定稳定票息收益，又通过中短久期规避利率波动风险，筑牢 组合"防守底盘"；同时适度配置权益、黄金、海外资产，权益端聚焦科技成长与稀缺资源等结构性机 会，黄金与海外资产则对冲通胀与地缘风险，形成"进攻有节、防守有度"的配置框架。这种"债券打底 +多元增效"的结构，恰是对达里奥"风险平价"等经典多元配置思想的本土化适配，让组合在波动中保持 平滑性与持久性。 组合的稳健性，更离不开"选得准、控得稳"的专业支撑。在个基甄选上，产品延续了富国多元资产团 队"定量+定性"的双重逻辑：对偏债基金采用"三维一体"评价体系，从基金公司信评实力、产品风险收 益特征、基金经理择券能力多维度筛选，突出稳定性；对偏股基金则通过因子化聚类、核心指标筛选与 实地调研结合，分辨经理能力与短期运气，避免风格漂移。风险控制层面，"风险预算+偏离回溯"双轨 机制贯穿全程——预设组合风险阈值并动态分配至各类资产，同时实时跟踪成分 ...

智通财经11月21日讯（编辑 杨斌）凭借股票、可转债的合理配置，今年"固收+"基金表现亮眼。头部产 品今年的回报最多已达45%，不仅远超纯债基金，且丝毫不逊色于股票基金。 "固收+"可以考虑涉足的资产类别广泛，在今年业绩爆发的基础上，业内依然看好明年"固收+"产品的发 展，但适度降低回报预期，调整权益等资产的配置策略。华泰固收的研报预测，明年"固收+"预期回报 2%-5.5%。 万得股票型基金指数今年以来上涨了27%，与股票基金相比，头部"固收+"基金今年的表现毫不逊色。 前10%的"固收+"产品年内回报已经超10% Wind数据显示，在约3700只"固收+"基金（注：份额分开计；本文固收+基金是指可转债基金、混合一 级债基、股票资产配置比例不超过20%的混合二级债基、以及股票资产配置比例不超过40%的偏债混合 基金）中，今年已有超过3500只取得正收益，中位数收益率3.56%（截至11月20日）。 目前，万得债券基金总指数在2025年上涨了2.09%，而短期纯债基金指数在上涨了1.29%，中长期纯债 基金指数只上涨了0.87%， 华泰证券固收研究团队的最新研报指出，今年"固收+"基金整体业绩表现良好，远超纯 ...

Core Viewpoint - The article emphasizes the significance of small to medium-sized private fund managers in the industry, highlighting the innovative strategies and risk management systems of Shanghai Sidaxinghui Private Fund Management Co., Ltd. [3] Company Overview - Shanghai Sidaxinghui Private Fund Management Co., Ltd. is a securities private fund company supported by the Shanghai State-owned Assets Supervision and Administration Commission and the China Chief Economist Forum [4] - The company is led by a team of experienced professionals, including Dr. Pang Yang, who has a PhD in Physics from Columbia University and extensive experience in quantitative modeling, and Ms. Cao Qingqing, who has a PhD in Computer Science from Shanghai Jiao Tong University [4][9] - The firm focuses on a classic all-weather strategy and has developed a unique Quantimental fundamental quantitative enhancement system [4] Core Team - The core team is composed of graduates from prestigious universities and aims to achieve long-term absolute return investment value for investors [9] Strategy Overview - The investment philosophy of Sidaxinghui is centered on "crossing cycles, steady and far-reaching," utilizing a quantitative all-weather enhancement strategy [13] - The firm emphasizes a deep understanding of cycles and systematic risk management in its investment approach [13] Core Strategies and Representative Products - The quantitative all-weather enhancement system has been refined since its launch in early 2019, achieving significant returns across different economic phases [17] - The company has launched a series of products, including "Tianji No. 1," which has shown impressive cumulative returns while maintaining strict risk controls [17] - The firm also offers auxiliary strategies that reflect its absolute return philosophy and showcase its multi-dimensional investment capabilities [18] Investment Framework - The investment framework combines Beta and Alpha, with Beta contributing approximately 70% and Alpha about 30% to the risk-return profile [22][23] Advantages - The team possesses a global perspective and local insights, combining international macro allocation with practical experience in the Chinese market [30] - The all-weather enhancement strategy integrates macro, fundamental, volume, and risk factors, achieving a dual-driven structure of risk parity and excess returns [31] - The firm has established a robust compliance and operational system backed by state-owned shareholders and leading custodians [33] - A long-termism and compounding culture is emphasized, focusing on providing investors with a stable investment experience [34] Continuous Evolution Capability - Sidaxinghui recognizes that long-term competitiveness comes from a systematic ability to evolve and adapt to market changes [35] - The company has implemented a data-driven closed-loop system for research, strategy, risk control, and execution [37] - Future plans include expanding global multi-asset layouts and exploring AI-driven asset pricing models [39]

Core Insights - The source of uncertainty in asset returns is influenced by the trend of "de-globalization," which continues to affect economic fundamentals and is gradually incorporated into valuation assumptions [3][10] - Asset diversification is considered a "free lunch" in asset allocation, with its value derived from the correlation between different assets [4][17] - In the current uncertain environment, investment strategies should focus on anchoring growth through income-generating assets, leveraging to enhance returns, and recognizing the ongoing macro narrative surrounding gold [5][21][38] Source of Uncertainty in Asset Returns - The "de-globalization" trend has emerged and will continue to impact economic fundamentals, with the potential for structural risks and profit expectations in certain sectors [10] - The internal macro environment is facing risks of slowing economic growth and a transition in economic drivers, moving from a high-growth phase to a medium-low growth phase [12] - The changes in Sharpe ratios across different asset classes indicate varying performance and risk profiles, with a notable downward trend in bond yield spreads since 2011 [14][15] Asset Diversification - The essence of asset diversification lies in investing in different asset classes to reduce overall portfolio risk while balancing returns, with the underlying value stemming from asset correlations [18] - Historical performance data shows significant fluctuations in quarterly returns across different years, highlighting the importance of diversification in managing risk [18] Income-Generating Assets - Income-generating assets, such as bonds and high-dividend stocks, provide predictable cash flows, enhance liquidity, and can hedge against inflation, making them essential in a diversified portfolio [23][21] - High-dividend strategies focus on stable cash flows and valuation recovery, with companies in mature industries typically exhibiting a higher propensity for dividends [26][28] Leveraging for Growth - The core value of introducing leverage in a portfolio is to enhance expected returns while maintaining overall risk balance, particularly in a risk parity framework [34] - Leveraging can amplify returns from low-risk assets without disrupting the risk contribution structure of the overall portfolio [34] High-Quality Growth - High-quality growth is identified as a key driver for the new phase of economic growth, emphasizing the importance of technological innovation and productivity improvements [35][37] - The focus on new quality production capabilities aims to enhance total factor productivity, with specific attention to sectors such as digital economy, high-end manufacturing, and renewable energy [36] Gold as a Strategic Asset - The ongoing geopolitical tensions and the questioning of the dollar's safety have led to increased global demand for gold as a risk diversification strategy [38][39] - Historical data indicates a significant rise in gold reserves among global economies since 2008, reflecting a shift away from dollar dependency [40]

Group 1 - The report highlights that since 2025, there has been a simultaneous rise in both risk assets and safe-haven assets, driven by expectations of Federal Reserve rate cuts and the AI technology revolution, while geopolitical tensions and U.S. debt sustainability concerns have pushed precious metal prices higher [1][16][19] - The report suggests that the current market environment is characterized by high macro uncertainty, recommending a diversified investment approach to mitigate risks and achieve stable long-term returns through an all-weather strategy [1][5][19] - The U.S. stock market has seen significant price increases, with the S&P 500 experiencing a cumulative rise of 90.77% since its low in September 2022, indicating that both earnings and valuations are at historical highs, which may pressure long-term investment value [22][23][31] Group 2 - The report indicates that the A-share market has shown a long-term upward potential supported by macroeconomic fundamentals, with a current expansion in domestic liquidity benefiting equity markets [3][43][46] - It notes a shift in market style since July 2025, with growth sectors performing strongly while value sectors lag, suggesting that investors should increase their focus on dividend stocks to adapt to market fluctuations [3][46][47] - The report emphasizes that the gold market has seen a year-to-date return of 54.5%, driven by U.S. tariff policies and expectations of Federal Reserve rate cuts, while cautioning that short-term volatility risks may rise due to high market sentiment and inventory pressures [4][12][23]

Summary of Conference Call Records Industry Overview - The conference call primarily discusses the life insurance industry in China, highlighting its evolution, challenges, and market dynamics [1][12][17]. Key Points and Arguments Life Insurance Product Characteristics - Life insurance products are not merely contracts but also convey values, necessitating continuous business expansion to meet diverse customer needs [1][2]. - The distinction between life insurance and property insurance lies in underwriting subjects and risk management; life insurance involves complex demographic and actuarial models, introducing interest rate risks [1][4]. Mergers and Acquisitions - Life insurance companies are increasingly engaging in mergers and acquisitions to expand market share, acquire customer resources, and enhance product diversity [2][3]. - The financial metrics indicate that mergers can optimize balance sheets, improve capital return rates, and achieve economies of scale [3]. Market Dynamics - The Chinese insurance industry has experienced three significant development phases: 1. Rapid growth driven by critical illness insurance starting in 2013. 2. Expansion following the cancellation of agent exams in 2015. 3. Disruption from the introduction of low-cost "惠民保" (Huiminbao) products post-2020, which significantly impacted traditional critical illness insurance [12][13][14]. Pricing Logic - The pricing logic for insurance products is based on a cost-plus model, incorporating death benefits, operational costs, and time costs [6][21]. - Key pricing factors include mortality differences, expense differences, and interest differences, with actuaries analyzing historical data to forecast future cash flows [6][8]. Sales and Distribution - Life insurance products require a substantial number of agents for sales due to their intangible nature, necessitating face-to-face interactions to convey the product's value [7][29]. - The sales process emphasizes the transmission of values, such as family responsibility, rather than straightforward product pricing [5][7]. Financial Performance and Challenges - The current new business value of life insurance companies in China is less than 5% of their existing liabilities, indicating difficulties in re-pricing liabilities in response to market interest rate fluctuations [22][23]. - The life insurance sector is characterized by rigid liability costs, making it challenging to adjust quickly to changing market conditions [21][25]. Investment Trends - The ongoing decline in fixed-income product yields has led insurance funds to increase equity asset allocations, driving a systemic valuation recovery [27][28]. - The preference for low-valuation stocks among debt-like funds is a core logic for recommending investments in the insurance sector [27][19]. Future Outlook - The life insurance industry is expected to face continued pressure on return on equity (ROE) due to declining interest rates, with 2023 ROE at 9% and projected to rise to 17% in 2024 [26]. - The shift towards savings-type products and the need for stable liability coverage will be critical for the industry's future performance [31][17]. Regulatory and Market Environment - The regulatory environment and macroeconomic conditions significantly influence the life insurance sector, necessitating a comprehensive understanding of these factors for effective analysis [45][46]. Additional Important Insights - The introduction of "惠民保" has altered consumer perceptions of critical illness insurance, leading to a decline in traditional product sales [13][14]. - The life insurance industry's reliance on long-term stability strategies rather than rapid market responses is emphasized due to the challenges in adjusting liability costs [22][23]. This summary encapsulates the essential insights from the conference call, providing a comprehensive overview of the life insurance industry's current state and future prospects.

Core Viewpoint - The article emphasizes the importance of diversified investment strategies over concentrated holdings, illustrating how a diversified approach can yield better returns even in volatile markets [4][12][39]. Investment Strategies - A mathematical problem is presented to illustrate the risks of concentrated investment versus diversified investment, highlighting that a 50% chance of an 80% gain and a 50% chance of a 60% loss leads to a negative expected value when concentrated [4][5]. - The article introduces a "diversified investment method" where an initial capital of 100,000 is split across 10 stocks, resulting in a 10% weekly return, leading to a total of approximately 259,000 after 10 weeks, representing a 159% return [9][12]. - The article discusses the significance of maintaining a balanced portfolio, where the distribution of gains and losses should ideally approach a 50% win rate for optimal returns [21][24]. Risk Management - The article highlights that diversification should not only involve spreading investments across multiple stocks but also across different sectors to minimize correlation and enhance returns [23][26]. - It emphasizes the need for "portfolio rebalancing," where profits from winning stocks are partially sold to reinvest in underperforming stocks, thus maintaining a balanced risk profile [35][37]. Performance Comparison - The article contrasts the performance of diversified investment strategies with concentrated strategies, noting that while successful investors like Warren Buffett may thrive with concentrated holdings, the average investor may benefit more from diversification due to lower expected loss rates [39][45]. - It points out that the effectiveness of diversified strategies increases with the volatility of the stocks involved, suggesting that higher volatility can lead to greater returns when using a diversified approach [46].

1. Report Industry Investment Rating No information provided in the given content. 2. Core Viewpoints of the Report - Dalio's all - weather strategy's successful replication in China has made investors value the risk - balanced investment concept. The report proposes a benchmark long - only futures - type asset allocation index to achieve a pure risk - parity asset allocation plan through futures [11]. - The all - weather asset allocation futures index aims to build a risk - balanced portfolio adaptable to various economic environments. The risk - parity calculation in this report is based on asset dimensions [11]. - The final all - weather asset allocation index scheme shows good performance, with an annualized return of 11.6% since December 31, 2019, an average maximum drawdown of 5.7%, a Sharpe ratio of 1.96, and a Calmar ratio of 2.03, and a 10.6% return this year [2]. 3. Summary According to the Directory 3.1 About the Research Background of the Futures - Type Asset Allocation Index - **Significance of Building the Index**: It aims to achieve a replicable and risk - balanced asset allocation plan through futures. "All - weather" means building a risk - balanced portfolio adaptable to different economic environments, and "futures - type" emphasizes the high capital efficiency of futures [11][12]. - **Risk - Parity Return Source and Commodity's "Negative Beta"**: Risk - parity returns come from the risk premium of long - position assets and potential re - balancing dividends. Commodity assets show negative correlations with stocks and bonds in some macro - environments, and commodity futures can achieve a combination of beta and alpha returns [13]. - **Research Framework**: First, compare the investment differences between single - variety futures and spot ETFs. Second, replicate existing broad - based commodity indexes and build custom - logic commodity indexes. Finally, discuss the performance of the risk - parity portfolio and related detailed issues [14]. 3.2 Asset Selection of Stocks, Bonds, and Gold - **Return Structure Comparison**: Futures investment returns consist of contract holding returns and unoccupied margin interest, while spot ETF investment returns are more complex, affected by factors such as product management costs and trading premiums [16][20]. - **Comprehensive Advantages of Futures over ETFs**: Futures have high leverage and low transaction fees. For example, the comprehensive trading cost of futures is less than 1bp, while ETFs have at least 20bp in operation costs [24][25]. - **Better Returns of Stock Index Futures**: Taking the CSI 500 index as an example, the excess return of stock index futures is better than that of 500ETF and 500 index - enhanced products. Other index futures also show similar advantages [32][38]. - **Difference in Returns Due to Management Costs**: For bonds and gold, the investment returns of futures are about 50bp - 60bp higher than those of spot ETFs, mainly due to the management fees of ETFs [40][47]. 3.3 Selection of Commodity Asset Combinations - **Replication of Broad - Based Commodity Indexes**: Replicate the CSI Commodity Index and Nanhua Commodity Index. The replication results show that the CSI Commodity Index's replication has a 0.65% excess return, and the Nanhua Commodity Index's replication has a 0.19% excess return [48][56]. - **Replication of Existing Futures - Type Commodity Index ETFs**: Replicate the Shanghai Metals Index, Yisheng Energy A Index, and DCE Soybean Meal Index. The replication of the Shanghai Metals Index has a 2.3% annualized excess return [61][66]. - **Custom - Built Core Commodity Index**: - **Core Commodity Pool**: Select the actual holding varieties of five regular indexes as the core pool, with 19 - 24 varieties in the pool [75]. - **Conventional Portfolio Construction**: Build liquidity, equal - weight, and risk - parity indexes based on the core pool. The liquidity index and equal - weight index have excess returns compared to the Nanhua Commodity Index [80][84]. - **Factor Portfolio Construction**: Build momentum and term - structure indexes based on factors. The core commodity term - structure index has an 18.4% annualized return, with a Sharpe ratio of 1.02 [90]. 3.4 All - Weather Asset Allocation Futures Index - **Index Construction Concept**: Build a Risk Parity portfolio based on asset volatility risk as the all - weather asset allocation index [91]. - **Discussion on Index Construction**: - **Commodity Index Selection**: Prefer commodity indexes with low or negative correlations and high returns, such as the core commodity term - structure index [100][101]. - **Stock and Bond Asset Selection**: For bonds, T and TF are more suitable; for stocks, IC is more optimal [102]. - **Asset Weight Limit**: Do not recommend imposing excessive asset weight limits when building the index, as it may break the risk - parity target [104]. - **Covariance Estimation Method**: EWMA COV performs slightly better than normal COV, while LW COV has higher volatility and lower Sharpe ratio [106][111]. - **Covariance Estimation Window Length**: Choose the 30 - day estimation window of normal COV after considering turnover costs [112]. - **Target Volatility and Dynamic Leverage**: Applying a target volatility of 5% can improve the portfolio's return, with an annualized return of 11.58% and an average leverage of 1.59 times [119]. - **Final Index Scheme**: The asset pool includes stock index futures IC, bond futures T, gold futures AU, and the core commodity term - structure index. The index has an annualized return of 11.6% since December 31, 2019 [125][126].

Core Insights - The event "Investment for Good" focused on ESG and charitable asset management, highlighting the importance of multi-asset investment strategies in the current economic environment [1][8]. Group 1: Market Opportunities and Asset Allocation - The current market presents a mixed picture; while the attractiveness of equities may be declining compared to last year, they still offer better value compared to low-risk returns below 2% [3][18]. - The discussion emphasized the significance of multi-asset allocation, particularly in a low inflation environment, with equities, bonds, and commodities being the most favorable asset classes [4][23]. - The concept of risk parity was highlighted as a crucial strategy for achieving stable returns while managing volatility, especially in the context of China's capital market [10][23]. Group 2: Investment Strategies and Perspectives - The panelists discussed the importance of absolute return strategies, particularly for institutional investors like university endowments, which require stable and consistent returns [6][30]. - There is a growing recognition that value and growth stocks can coexist, with some stocks fitting into both categories, suggesting a more integrated approach to stock selection [4][20]. - The need for strategic asset allocation was emphasized, with a focus on risk budgeting and the importance of diversifying across low-correlated assets to enhance overall portfolio performance [12][23]. Group 3: Challenges and Market Dynamics - The panelists expressed concerns about potential market overheating, particularly in sectors that have seen rapid price increases, indicating a cautious approach to current market conditions [19][26]. - The discussion also touched on the unique characteristics of university endowment funds, which typically have longer investment horizons and lower risk appetites compared to other funds [27][30]. - The role of ESG factors in investment decisions was highlighted, with a consensus that while ESG may not significantly enhance returns, it contributes to risk management and stability [28][30].

- The report introduces two quantitative strategy indices developed by China Merchants Securities: the Global Assets Risk Parity Rotation Index (GARRI) and the China Assets Risk Parity Rotation Index 2.0 (CARRI2) [3][10] - GARRI and CARRI2 indices use momentum trend tracking methods to rotate allocations among equities, bonds, and commodities globally or within China, employing risk parity, volatility control, and daily monitoring for stop-loss and take-profit to manage overall portfolio volatility [3][10] - GARRI includes 13 sub-portfolios such as stock indices, government bond futures, gold futures, and commodity futures, while CARRI2 includes 10 sub-portfolios with similar asset classes but focused on the Chinese market [11] - The indices adjust the allocation weights of each sub-portfolio monthly based on momentum factors and risk parity models [11] - The construction process involves selecting sub-portfolios based on momentum signals and adjusting initial weights according to risk parity theory, with dynamic adjustments for daily performance [12][13] - GARRI's long-term annualized return is 7.76%, with an annualized volatility of 4.05% and a maximum drawdown of 5.46% [3] - CARRI2's long-term annualized return is 7.42%, with an annualized volatility of 4.62% and a maximum drawdown of 5.66% [3] - GARRI's performance is attributed mainly to bond assets, contributing an average of 39% (63% including cash), with equities, gold, and commodities contributing 14.3%, 5.5%, and 17.0% respectively [3] - CARRI2's performance is also primarily driven by bonds, contributing 60% (72% including cash), with equities, gold, and commodities contributing 9.1%, 5.7%, and 12.8% respectively [3] - GARRI and CARRI2 indices can be used as underlying indices for various financial products such as OTC options, total return swaps, and structured notes, suitable for different types of investors [3][98] - Compared to other global asset classes, GARRI and CARRI2 indices offer higher return-to-drawdown ratios, making them cost-effective options for achieving higher absolute returns with reasonable portfolio volatility [3][110][112]