Core Viewpoint - The launch of the Xinhua Zhongxin Credit Bond Constant Proportion and Risk Parity Index Series aims to provide diversified investment targets and performance benchmarks in a low-interest-rate environment, highlighting the opportunity for asset allocation rebalancing [1][4]. Group 1: Index Composition and Strategy - The index series consists of two asset classes: stocks and bonds, with stock assets including the Xinhua Zhongxin Dividend Value Index and the Xinhua Zhongxin Quality Advantage Index, while bond assets include the Zhongxin 1-3 Year Credit Bond Investment Grade Preferred Index and the Zhongxin Sci-Tech Innovation Theme Credit Bond Investment Grade Index [4]. - The index series employs constant proportion and risk parity strategies for asset allocation, providing investors with tools for disciplined asset allocation and dynamic risk balancing [4][5]. Group 2: Performance Metrics - As of July 10, the Xinhua Zhongxin Dividend Value Stock-Bond Risk Parity Index has a stock asset weight of 3.64% and a bond asset weight of 96.36%, achieving an annualized return of 4.62% since its inception, with a maximum drawdown of only 1.26% [4]. - The combination of the two strategies results in a favorable risk-return profile, with higher returns compared to pure bond indices and significantly lower volatility than pure stock indices, making it suitable for institutional investors seeking absolute returns [5]. Group 3: Target Investor Segments - The index series is particularly appealing to bank wealth management subsidiaries and insurance asset management firms as a "line-drawing" asset allocation tool, especially in a low-interest-rate environment [5]. - For conservative investors, the Dividend Value Stock-Bond Combination Index offers the potential for high dividend and coupon income, while policy-sensitive funds can benefit from the Sci-Tech bond combination series, enhancing yield elasticity while considering innovation themes [5].

Group 1 - The report indicates that in the last month, equities, commodities, and bonds all experienced increases, with equities and commodities rising by 2.50% and 4.03% respectively, while gold decreased by 0.57% [2][10] - The performance of ETFs used in the allocation strategy showed that the CSI 300 ETF, non-ferrous ETF, and energy chemical ETF increased by 2.85%, 3.08%, and 4.37% respectively, while the gold ETF saw a significant decline of 0.75% [2][13] Group 2 - The backtested strategy from January 1, 2014, to the end of last month achieved an annualized return of 7.71%, with an annualized volatility of 3.53% and a maximum drawdown of 3.17%. The Sharpe ratio and Calmar ratio were 2.19 and 2.44 respectively, outperforming risk parity and equal-weighted strategies [3][25] - The strategy without currency assets yielded a return of 0.48% last month, which was lower than both the risk parity strategy and the equal-weighted strategy [3][28] Group 3 - The latest allocation recommendations suggest increasing exposure to equities and commodities, while maintaining a neutral position on bonds and gold. The final weights for equities, government bonds, commodities, and gold are set at 7.01%, 75.01%, 10.90%, and 7.08% respectively [4][32]

- The "XinXuan ETF Absolute Return Strategy" aims to achieve both absolute returns and long-term relative returns compared to A-share equities through ETF trading within the XinXuan ETF pool[10][11] - The "All-Weather Multi-Asset Multi-Strategy ETF Risk Parity Strategy" combines industry rotation, style rotation, and risk parity strategies to enhance ETF usage precision and increase returns while reducing overall portfolio volatility[15][17] - The "China-US Core Asset Portfolio" incorporates strong trend assets like liquor, dividends, gold, and the Nasdaq index, using RSRS timing and technical reversal strategies to form a combined portfolio[21] - The "High Prosperity/Dividend Rotation Strategy" switches between high-growth and dividend strategies based on signals, adjusting ETF holdings accordingly[24] - The "Dual Bond LOF Enhanced Strategy" adjusts product weights to ensure a higher proportion of bond holdings, enhancing the strategy based on bond volatility[27] - The "Structured Risk Parity (QDII)" strategy replaces the XinXuan ETF pool with a strategy pool that includes QDII equity products, gold, and domestic dividend ETFs, focusing on long-term domestic bond ETFs[28][30] Model Backtest Results - XinXuan ETF Absolute Return Strategy: Total return 33.49%, annualized return 24.14%, maximum drawdown -6.30%, volatility 17.58%, Sharpe ratio 1.20[31] - High Prosperity/Dividend Rotation Strategy: Total return 48.99%, annualized return 34.78%, maximum drawdown -22.04%, volatility 34.79%, Sharpe ratio 0.96[31] - China-US Core Asset Portfolio: Total return 59.80%, annualized return 42.03%, maximum drawdown -10.86%, volatility 17.16%, Sharpe ratio 2.02[31] - Dual Bond LOF Enhanced Strategy: Total return 9.08%, annualized return 6.73%, maximum drawdown -2.26%, volatility 3.41%, Sharpe ratio 1.34[31] - Structured Risk Parity Strategy (QDII): Total return 23.59%, annualized return 17.18%, maximum drawdown -2.38%, volatility 4.92%, Sharpe ratio 2.84[31] - All-Weather Multi-Asset Risk Parity Strategy: Total return 19.69%, annualized return 14.40%, maximum drawdown -3.62%, volatility 4.48%, Sharpe ratio 2.58[15][31]

- The "XinXuan ETF Absolute Return Strategy" utilizes a "drawer method" to test equity ETFs in the market, aiming for both absolute returns and long-term relative returns compared to A-share equities. The strategy achieved an annualized return of 14.23% over the past three years, with a maximum drawdown of 8.6% and a Sharpe ratio of 1.44 during in-sample testing. From 2024 to date, the strategy's total return is 32.01%, outperforming equal-weighted ETFs by 17.98%, with a Sharpe ratio of 1.16, maximum drawdown of 6.3%, and volatility of 17.9%[11][30] - The "All-Weather Multi-Asset Multi-Strategy ETF Risk Parity Strategy" combines industry rotation, style rotation, and size rotation strategies to enhance ETF precision and returns. It employs risk parity to reduce portfolio volatility by diversifying assets across commodities (e.g., gold ETFs), U.S. equities (e.g., S&P 500 ETFs), domestic equities, and domestic bonds (e.g., 10-year and 30-year government bond ETFs). The strategy achieved a return of 18.81% from 2024 to date, with a maximum drawdown of 3.62%, volatility of 4.49%, and a Sharpe ratio of 2.49[14][16][30] - The "China-US Core Asset Portfolio" integrates four strong-trend assets (white liquor, dividends, gold, and Nasdaq) using RSRS timing and technical reversal strategies. From 2015 to date, the portfolio achieved an annualized return of 33.85%, outperforming equal-weighted indices by 14.45%, with a Sharpe ratio of 1.63, maximum drawdown of 18.23%, and volatility of 17.89%[20][30] - The "High Prosperity/Dividend Rotation Strategy" alternates between high-growth and dividend-focused ETFs based on signals. For high-growth signals, it allocates 50% to the ChiNext ETF and 50% to the STAR 50 ETF. For dividend signals, it allocates to low-volatility dividend ETFs and central SOE dividend ETFs. From 2021 to date, the strategy achieved an annualized return of 19.13%, outperforming equal-weighted indices by 21.9%, with a Sharpe ratio of 0.86, maximum drawdown of 22.91%, and volatility of 24.27%[23][30] - The "Dual Bond LOF Enhanced Strategy" adjusts weights between dual bond LOFs and other assets (e.g., Nasdaq, white liquor, and CSI Dividend ETFs) based on weekly volatility normalization. This approach increases bond weight due to their lower volatility. From 2019 to date, the strategy achieved an annualized return of 6.81%, with a Sharpe ratio of 2.56, maximum drawdown of 2.42%, and volatility of 2.57%[26][30] - The "Structured Risk Parity Strategy (QDII)" replaces the XinXuan ETF pool with a mix of domestic long-term bond ETFs, QDII equity products, gold, and domestic dividend ETFs. From 2024 to date, the strategy achieved a return of 22.52%, with a maximum drawdown of 2.38%, volatility of 4.94, and a Sharpe ratio of 2.75[27][29][30]

Core Viewpoint - The recent strategy meeting highlighted the investment opportunities in the banking wealth management market amidst high volatility, emphasizing the importance of rational investment strategies and asset allocation [1][6]. Group 1: Investment Strategies - Wang Dong from Huayin Wealth Management suggests that investors should rationally view short-term market fluctuations and focus on assets with stable cash flows [1][7]. - The necessity of equity investment in wealth management products is emphasized, as pure fixed-income products fail to capture the benefits of corporate asset appreciation [2][4]. - A diversified investment portfolio should include both linear and non-linear tools to balance risk and return, adapting to the high volatility of financial assets [7]. Group 2: Asset Allocation - Wang Dong identifies three key considerations for equity investment: ensuring options are not overly expensive, avoiding valuation traps by selecting high-quality companies, and frequently rebalancing equity positions due to the short duration of wealth management products [4][6]. - Multi-asset and multi-strategy approaches are recommended to enhance portfolio robustness and achieve long-term compounding advantages [5][6]. - The importance of matching client profiles with product positioning is highlighted, ensuring that investment strategies align with individual risk preferences and market conditions [7]. Group 3: Market Analysis - The global market has experienced significant turbulence, with a notable decline in U.S. stocks and bonds, while Chinese assets have remained stable, indicating a shift in macroeconomic narratives [6][7]. - The current environment is characterized by rising geopolitical risks and a potential historical turning point, necessitating a cautious approach to investment [6][7]. - Investors are encouraged to embrace stable cash flow assets and consider long-term strategies that capitalize on structural opportunities amidst uncertainty [7].

Core Viewpoint - The article discusses the volatility of global assets and identifies the best-performing safe-haven assets based on historical data analysis over the past 20 years, emphasizing the importance of risk-adjusted returns in investment strategies [4][21]. Group 1: Market Volatility - The recent market fluctuations have been more significant compared to previous years, with the A-share market performing relatively well, while the US stock market has experienced a notable decline of over 20% in the last two months [4][6]. - Long-term investors may view recent downturns as mere corrections, but those who entered the market in January may feel the impact of a 2.6%+ decline over a month [6]. Group 2: Key Metrics for Safe-Haven Assets - Important metrics for evaluating safe-haven assets include maximum drawdown, recovery time from drawdowns, and the probability of positive returns over various holding periods [11][12][13]. - The analysis includes various global stock markets, bond markets, commodities, and cash-like investments to determine their performance as safe-haven assets [14][15]. Group 3: Performance of Safe-Haven Assets - The analysis reveals that Chinese money market funds are the top-performing safe-haven asset, with only a 0.03% maximum drawdown and a 100% probability of positive returns over one year [19][21]. - In contrast, US short-term government bonds have a lower positive return probability of only 40% during low-interest periods, indicating their limited effectiveness as a safe haven [21]. Group 4: Comparison of Bonds and Gold - Chinese bonds exhibit a maximum drawdown of 14.52% with a high probability of positive returns over five years, while US bonds have a maximum drawdown of 51.76% and a less than 50% probability of positive returns annually [24]. - Gold has shown significant price increases recently but has also experienced substantial drawdowns in the past, highlighting the need for caution regarding its volatility [25]. Group 5: Stock Market Performance - The Indian stock market demonstrates the highest risk-return efficiency, with a 97.89% probability of positive returns over five years, outperforming US and Chinese markets [26][28]. - Emerging markets, such as Vietnam, show extreme volatility, with a maximum drawdown of 79.35%, indicating high risk for investors [29][30]. Group 6: Multi-Asset Strategy - A balanced risk parity strategy combining A-shares, Taiwanese stocks, US bonds, gold, and Chinese money market funds yields a Sharpe ratio of 1.134, indicating superior risk-adjusted returns compared to individual assets [34][35]. - This multi-asset approach provides stability and a high probability of positive returns over various holding periods, making it a viable long-term investment strategy [35].

作者：戴皇冠的小恐龙 来源：雪球 这个回顾分析文章 ， 本应该是在清明节期间发布的 ， 因为本大类资产配置组合创建于2024年4月3号 ， 到清明节正好1年 ， 但是在节日期间看到特朗普发起的关税贸易战 ， 就决定延期发布 ， 看看本策略在全 球激烈的贸易冲突中的表现如何 ， 用真金实银验证一下它的成色 ； 过去2周了 ， 情况大家也看到了 ， 现 在可以更好地看看该策略在突发黑天鹅事件的时候的表现了 ， 这也是该策略的目标之一 ： 对抗黑天鹅事件 ； 下文中 ， 整个时间区间为2024年4月3号至2025年4月18号 ， 不再另外说明 。 长按即可参与 风险提示：本文所提到的观点仅代表个人的意见，所涉及标的不作推荐，据此买卖，风险自负。 01 整个组合前后一共运行了13个月 ， 只有2个月的收益为负 ， 分别是24年的7月和25年的2月 ， 分别 是-0.3%和-0.09% ， 其他均为正收益 ， 胜率非常高 ， 持有体验非常好 。 截止到4月18号 ， 当天组合各资产权重如下 ： 1 ， A股 ： 9.00% ， 以红利低波资产为主 收益表现 。 先看收益 （ 组合收益计算为基金净值法 ） ： | | 创 ...