Quantitative Models and Construction Methods 1. Model Name: "Core + Satellite" Dual-Layer Framework - **Model Construction Idea**: The model aims to balance "stability" and "growth" by combining low-correlation asset classes to smooth volatility and achieve returns[4][53] - **Model Construction Process**: - **Core Layer**: Primarily consists of interest rate bonds, supplemented by credit bonds[53] - **Satellite Layer**: Includes high-volatility assets such as equities, overseas assets, and commodities. These assets are allocated across regions and strategies to reduce portfolio drawdowns and achieve stable returns[53] - **Model Evaluation**: The dual-layer structure effectively reduces portfolio volatility while maintaining stable returns, aligning with the fund's conservative investment objectives[4][53] 2. Risk Control System - **Model Construction Idea**: The primary goal is to limit maximum drawdowns to ensure principal safety while pursuing stable annualized returns[54] - **Model Construction Process**: - Strict risk control measures are implemented to ensure a positive return experience for investors at any entry point[54] - Risk budgets are adjusted dynamically to reduce exposure to asset classes with anticipated risks, avoiding "buying the dip" strategies[54] - **Model Evaluation**: The risk control system ensures a smooth investment experience, reducing irrational redemptions and maintaining portfolio management continuity[54] 3. Return Realization Path - **Model Construction Idea**: The model emphasizes a diversified approach to achieve returns through bonds, equities, and commodities[57] - **Model Construction Process**: - **Bond Investments**: Focus on government bonds, supplemented by credit bonds[57] - **Equity Investments**: Core allocation to passive funds, with at least 50% of total equity exposure. The remaining allocation is split between individual stocks and active funds, with intra-day stop-loss and stop-gain mechanisms[57] - **Commodity Strategy**: Utilized as a supplementary return source[57] - **Model Evaluation**: The diversified approach ensures stable returns while mitigating risks through dynamic adjustments and sector/region rotation[57] --- Model Backtesting Results 1. "Core + Satellite" Dual-Layer Framework - **Annualized Return**: 5.16% (A-class), 5.84% (Y-class)[24][28][32] - **Annualized Volatility**: 1.68% (A-class), 1.90% (Y-class)[24][28][32] - **Sharpe Ratio (IR)**: 2.61 (A-class), 2.23 (Y-class)[24][28][32] - **Maximum Drawdown**: -0.88% (both A-class and Y-class)[24][28][32] - **Calmar Ratio**: 5.66 (A-class), 6.33 (Y-class)[24][28][32] 2. Peer Comparison - **Annualized Return (Median)**: 4.76% (peer group)[49] - **Annualized Volatility (Median)**: 4.22% (peer group)[49] - **Sharpe Ratio (Median)**: 0.82 (peer group)[49] - **Maximum Drawdown (Median)**: -3.17% (peer group)[49] - **Calmar Ratio (Median)**: 1.53 (peer group)[49] 3. Performance Rankings - **Sharpe Ratio Ranking**: Top 1.20% among peers[49] - **Maximum Drawdown Ranking**: Top 2.40% among peers[49] - **Calmar Ratio Ranking**: Top 2.20% among peers[49] 4. Additional Metrics - **3-Month Positive Return Probability**: 100% for both A-class and Y-class[33] - **Longest Non-New High Period**: 42 days (A-class), 39 days (Y-class)[40][43] --- Quantitative Factors and Construction Methods 1. Factor Name: Multi-Asset Allocation - **Factor Construction Idea**: Diversify across asset classes to reduce correlation and smooth portfolio volatility[53] - **Factor Construction Process**: - Allocate to low-correlation assets such as bonds, equities, and commodities[53] - Adjust allocations dynamically based on market conditions and risk assessments[54] - **Factor Evaluation**: The multi-asset allocation strategy effectively balances risk and return, ensuring stable performance across market cycles[53][54] --- Factor Backtesting Results 1. Multi-Asset Allocation Factor - **Annualized Return**: 5.16% (A-class), 5.84% (Y-class)[24][28][32] - **Annualized Volatility**: 1.68% (A-class), 1.90% (Y-class)[24][28][32] - **Sharpe Ratio (IR)**: 2.61 (A-class), 2.23 (Y-class)[24][28][32] - **Maximum Drawdown**: -0.88% (both A-class and Y-class)[24][28][32] - **Calmar Ratio**: 5.66 (A-class), 6.33 (Y-class)[24][28][32]