Group 1: Macro Timing Strategy - The macro timing strategy has achieved a cumulative return of 53.74% since 2020, with an annualized Sharpe ratio of 1.43 and a Calmar ratio of 1.64[3] - The latest portfolio allocation as of February 27, 2026, includes: CSI 300 ETF (6.96%), CSI 500 ETF (8.04%), government bond ETF (38.74%), corporate bond ETF (14.56%), soybean meal ETF (8.77%), non-ferrous ETF (5.60%), gold ETF (12.34%), and cash ETF (5.00%)[6] - The maximum drawdown for the macro timing strategy is -4.60%[4] Group 2: Momentum Strategy - The momentum strategy has recorded a cumulative return of 178.90% since January 2, 2020, with an annualized Sharpe ratio of 0.90 and a Calmar ratio of 0.66[9] - The latest portfolio allocation as of March 5, 2026, includes: Pengyang CSI Digital Economy ETF (22.35%), Ping An FTSE China State-Owned Enterprises ETF (22.35%), Yinhua Photovoltaic 50 ETF (21.21%), E Fund CSI New Energy ETF (20.45%), and Tianhong CSI Computer Theme ETF (13.64%) [12] - The maximum drawdown for the momentum strategy is -28.71%[9] Group 3: Fund Flow Strategy - The fund flow strategy has achieved a cumulative return of 68.59% since January 2, 2020, with an annualized Sharpe ratio of 0.51 and a Calmar ratio of 0.30[14] - The latest portfolio allocation as of March 9, 2026, includes: Dachen CSI Engineering Machinery ETF (21.92%), Huaan CSI Photovoltaic Industry ETF (30.00%), CMB CSI Non-Ferrous Metal Mining Theme ETF (18.08%), and Huaxia CSI Bank ETF (30.00%) [17] - The maximum drawdown for the fund flow strategy is -30.72%[14] Group 4: Quantile Regression Strategy - The quantile regression strategy has achieved a cumulative return of 149.53% since 2020, with an annualized Sharpe ratio of 0.88 and a Calmar ratio of 0.57[19] - The latest portfolio allocation as of March 6, 2026, includes: Huaxia ChiNext AI ETF (2.50%), Huatai-PB CSI Hong Kong-Shanghai-Shenzhen Cloud Computing Industry ETF (2.50%), Southern CSI 500 Information Technology ETF (2.50%), Huaxia CSI All-Index Software Development ETF (2.50%), and Guolian Anke Innovation Chip Design ETF (40.00%), with 50.00% allocated to the Guotai Shanghai Stock Exchange 5-Year Government Bond ETF[22] - The maximum drawdown for the quantile regression strategy is -29.37%[19] Group 5: Options Basic Strategy - The best-performing buy-write strategy since 2025 is the ChiNext ETF, with a cumulative return of 18.99%[24] - The best-performing put protection strategy is also the ChiNext ETF, with a cumulative return of 25.41%[26] - The best-performing straddle strategy is the CSI 500 ETF, with a cumulative return of 5.95%[28]

Group 1: Macro Timing Strategy - The macro timing strategy has an annualized return of 7.67% as of October 31, 2025, with a Sharpe ratio of 1.45 and a Calmar ratio of 1.67, indicating a maximum drawdown of -4.60% [2][4][5] - The latest portfolio allocation includes 7.01% in CSI 300 ETF, 7.99% in CSI 500 ETF, 55.94% in government bond ETF, 11.63% in soybean meal ETF, 5.02% in non-ferrous ETF, 7.40% in gold ETF, and 5.00% in currency ETF, with no allocation to S&P 500 ETF and corporate bond ETF [7][8] Group 2: Momentum Strategy - The momentum strategy has an annualized return of 18.25% since January 2020, with a Sharpe ratio of 0.88 and a Calmar ratio of 0.64, experiencing a maximum drawdown of -28.72% [9][10] - The latest portfolio allocation includes 27.01% in Huatai-PB CSI Telecom Theme ETF, 24.92% in Fuguo CSI Tourism Theme ETF, 21.52% in Xinhua CSI Cloud Computing 50 ETF, 16.38% in Huatai-PB CSI Smart Car ETF, and 8.17% in Huaxia CSI Artificial Intelligence ETF [13][14] Group 3: Sector Rotation Strategy - The sector rotation strategy has an annualized return of 10.00% since 2020, with an excess return of 7.27% relative to CSI 300, and a maximum drawdown of -42.98% [15] - The latest portfolio includes home appliance ETF, green power ETF, steel ETF, new energy vehicle ETF, financial ETF, and agricultural ETF, while excluding non-ferrous metals ETF and transportation ETF [18][19] Group 4: Copula-Based Second-Order Stochastic Dominance Strategy - The Copula-based second-order stochastic dominance strategy has an annualized return of 14.41% since January 2020, with a Sharpe ratio of 0.68 and a maximum drawdown of -42.62% [20][24] - The latest portfolio allocation includes 5.00% in Huaxia CSI Petrochemical Industry ETF, 85.00% in Fuguo CSI 800 Bank ETF, 5.00% in Fuguo CSI All-Index Securities Company ETF, and 5.00% in Bosera CSI Oil and Gas Resources ETF [23][25] Group 5: Quantile Random Forest Technology ETF Allocation Strategy - The quantile random forest technology ETF allocation strategy has an annualized return of 13.54% since 2020, with a Sharpe ratio of 0.76 and a maximum drawdown of -29.89% [26] - The latest portfolio allocation consists of 95.63% in technology ETFs, including 4.78% in Jiahua National Communication ETF, 4.78% in Tianhong CSI Photovoltaic Industry ETF, 4.78% in Huabao CSI Military Industry ETF, 76.51% in Ping An CSI Consumer Electronics Theme ETF, and 4.78% in Fuguo CSI Technology 50 Strategy ETF [29][30]

Group 1 - The macro timing strategy has an annualized return of 7.08% and a Sharpe ratio of 1.34 as of August 29, 2025, with the latest portfolio including various ETFs such as the CSI 500 ETF (8.35%) and government bond ETFs (38.21%) [2][4][8] - The momentum strategy has an annualized return of 20.22% since 2020, with a recent portfolio allocation including the CSI Digital Economy Theme ETF (19.51%) and the Shanghai Stock Exchange Sci-Tech Innovation Board Chip ETF (20.37%) [10][14] - The industry rotation strategy has achieved an annualized return of 9.34% since 2020, with the latest holdings including non-ferrous metals ETFs and green power ETFs [19][16] Group 2 - The Copula-based second-order stochastic dominance strategy has an annualized return of 15.52% since 2020, with the latest portfolio including the Huaxia CSI Agricultural Theme ETF (6.71%) and the Guangfa CSI Major Consumption ETF (69.79%) [21][24] - The technology ETF allocation strategy based on quantile random forests has an annualized return of 12.33% since 2020, with a significant portion allocated to the Guangfa CSI All-Index Information Technology ETF (4.78%) and the Huatai-PineBridge CSI Photovoltaic Industry ETF (76.51%) [27][31]