证 券 研 究 报 告 如何构建含有预期的多资产配置组合？ 基于BootStrap的配置方式探讨 —— 金融产品每周见20251118 证券分析师：蒋辛 A0230521080002 邓虎 A0230520070003 白皓天 A0230525070001 联系人： 蒋辛 A0230521080002 jiangxin@swsresearch.com 2025.11.18 主要内容 1. 资产配置模型概述 02基础模型-均值方差模型 2 2. 纳入预期的多资产配置模型——采用BootStrap方法 进行映射分析 3. 风险提示及声明 1.1 资产配置模型——从现代资产组合理论入手 图：代表性资产配置模型概述 01固定比例配置 运作方式：股债20/80指数等 优势：运作简单，满足基础分散化投资诉求 劣势：不够灵活，环境变动下收益差距可能较大 04风险平价模型 运作方式：仅关注风险端，追求各资产风险配置均衡 优势：强化风险控制；可引入宏观风险、汇率风险等多 维度的风险，用多维风控信息做组合 劣势：依赖风控模型，当出现难以识别的风险时，没有 收益兜底的风险平价模型较难及时做调整。 运作方式：给定收益/风险，确定组合 ...

Core Insights - The report emphasizes the importance of asset allocation strategies based on both long-term and short-term perspectives, utilizing historical data to optimize investment portfolios [21][22][23]. Asset Performance Overview - Equity assets showed strong performance, with the CSI 300 Index and Nasdaq 100 Index rising by 3.5% and 2.4% respectively over the past month, while the Indian Sensex 30 Index declined by 2.9% [7][6]. - In the bond market, government bond yields increased, leading to a 0.2% decline in the government bond index, while corporate bond indices remained stable due to narrowing credit spreads [12][11]. - Commodity assets experienced a 3.8% increase in the South China Commodity Index in July, although gold prices fluctuated, ending the month nearly flat [17][16]. Asset Allocation Strategies - The report suggests a debt-oriented asset allocation strategy comprising 10% Asia-Pacific emerging market stocks, 80% corporate bonds, and 10% gold [28]. - A mixed asset allocation strategy is recommended, including 23% Nasdaq 100 Index, 7% CSI 300 Index, 40% corporate bonds, and 30% commodities [28]. Strategy Performance Tracking - From April 2015 to July 2025, the mean-variance model strategy achieved an annualized return of 6.81% with a maximum drawdown of 3.6% and a Sharpe ratio of 2.76 [25]. - The strategy's performance from January 2025 to July 2025 yielded a cumulative return of 1.97%, with a notable return of -0.15% in July due to insufficient bond contributions and declines in the Indian market index [25][27]. Model Utilization - The report employs a mean-variance model for long-term asset allocation, which outperforms constant mix strategies, and integrates the Black-Litterman model to enhance return stability by combining historical and recent performance data [22][23][24].