Key Points of the Report - The report emphasizes the importance of "multi-asset multi-strategy" approaches in navigating low risk premium and low interest rate environments, suggesting a shift from traditional top-down asset allocation to a bottom-up absolute return strategy that focuses on strategy configuration [1][7][10] - The effectiveness of income strategies is based on the premise that markets often overestimate the downside risk of capital gains while underestimating the compensatory ability of income returns, creating opportunities for excess returns [1][17][21] Section Summaries 1. Logic and Effectiveness of Income Strategies - Active asset allocation is crucial in the current market due to declining risk premiums in domestic assets, with the Sharpe ratio for risk parity strategies dropping from 1.02 (2005-2011) to 0.6 (2012-2023) [7][8] - Income strategies are defined as the sum of income returns and capital gains, with a focus on capturing structural pricing inefficiencies in the market [10][13] 2. Equity Income: Dividend + Net Buyback - The income yield for A-shares is 2.4%, compared to 3.0% for U.S. stocks, with the gap primarily attributed to net buyback rates [2][30] - A shareholder return portfolio designed based on income logic achieved an annualized return of 20.4%, outperforming the CSI Dividend Index by 9.2% [2][42] 3. Bond Income: Coupon + Roll Yield - The original roll yield strategy has performed well over the past decade, but faces challenges in a low interest rate environment. The enhanced roll yield strategy achieved an annualized return of 5.2% with a maximum drawdown of 2.8% [2][3] 4. Commodity Income: Roll Yield - Empirical studies indicate that roll yield is a primary source of long-term returns in commodity futures, with specific ETFs like soybean meal ETF being identified as suitable for income strategies [2][4] 5. Convertible Bond Income: Bond Floor and Equity Dividend - Convertible bonds provide both bond floor income and equity dividends, with strategies designed to optimize returns based on these dual sources [3][5] 6. Income Strategy Design - The income-focused Fund of Funds (FOF) strategy has achieved an annualized return of 8.7% since 2018, while the income fixed income+ strategy yielded 6.9% [3][4]