Quantitative Models and Construction 1. Model Name: Portfolio Optimization with 10-Year Treasury Bonds - **Model Construction Idea**: Incorporating 10-year Treasury bonds into a portfolio to optimize the risk-return profile by leveraging their low correlation with other asset classes and high Sharpe ratio[10][13][14] - **Model Construction Process**: 1. Calculate the correlation matrix between 10-year Treasury bonds and other asset classes such as A-shares, U.S. equities, and gold[13] 2. Evaluate historical performance metrics, including annualized return, volatility, maximum drawdown, Sharpe ratio, and Calmar ratio for each asset[14] 3. Add 10-year Treasury bonds to a portfolio consisting of equities and short-term bonds (e.g., CSI 300, ChiNext, 1-3 year Treasury bonds) 4. Optimize the portfolio's efficient frontier by maximizing the Sharpe ratio[15] - **Model Evaluation**: The inclusion of 10-year Treasury bonds significantly improves the portfolio's efficient frontier, enhancing the risk-return tradeoff[10][15] --- Quantitative Factors and Construction 1. Factor Name: Macro Cycle-Based Bond Performance Factor - **Factor Construction Idea**: Assessing the performance of 10-year Treasury bonds under different macroeconomic cycles to identify favorable investment periods[16][18] - **Factor Construction Process**: 1. Divide the macroeconomic environment into six stages based on monetary, credit, and growth factors[16] 2. Calculate the annualized return of 10-year Treasury bonds in each macroeconomic stage[18] 3. Use a macroeconomic scoring card to evaluate the bond's performance probability in the current stage[18] - **Factor Evaluation**: The factor indicates that 10-year Treasury bonds perform best during the late stages of economic downturns, with a recent macroeconomic probability score of 40%[16][18] --- Backtesting Results of Models and Factors 1. Portfolio Optimization with 10-Year Treasury Bonds - **Annualized Return**: 4.51%[14] - **Annualized Volatility**: 2.31%[14] - **Maximum Drawdown**: 6.86%[14] - **Sharpe Ratio**: 1.95[14] - **Calmar Ratio**: 0.66[14] 2. Macro Cycle-Based Bond Performance Factor - **Recent Macro Probability Score**: 40%[18]

证券研究报告 | 朝闻国盛 gszqdatemark 2025 06 18 年 月 日 朝闻国盛 百年复盘，寻找当下黄金的历史坐标 今日概览 ◼ 重磅研报 【金融工程】高胜率低波动，资产定价之锚——国泰上证 10 年期国债 ETF 基金投资价值分析——20250617 【金融工程】转债市场当前仍在合理区间内运行——六月可转债量化月 报——20250617 【机械设备】国内外大周期均向上，利润弹性大——20250617 【有色金属】百年复盘，寻找当下黄金的历史坐标——20250617 ◼ 研究视点 【钢铁】5 月数据跟踪：粗钢产量收缩需要进一步观察——20250617 【煤炭】进口继续下滑，火电由降转增，旺季反弹可期——20250617 作者 | 分析师 马婷婷 | | | | | --- | --- | --- | --- | | 执业证书编号：S0680519040001 | | | | | 邮箱：matingting@gszq.com | | | | | 行业表现前五名 | | | | | 行业 | 1 月 | 3 月 | 1 年 | | 传媒 | 6.9% | -2.5% | 36.0% | | 有色金 ...