晨 会 纪 要 [2025]第 232 号 主 题：对近期重要经济金融新闻、行业事件、公司公告等进行点评 时 间：2025 年 12 月 18 日 8:50-9:30 研究所今日晨会要点如下: 一、金融工程 1、基于风险角度的大类资产配置策略（邢维洁） 从风险角度进行大类资产配置 以风险管理为基石的现代资产配置哲学，与传统以预期收益为核心的方法不同，风险配 置的起点是量化投资者的风险承受能力，并以此设定明确的风险预算。其核心操作并非简单 地分配资金，而是追求各类资产对投资组合的风险贡献符合预设目标，从而实现真正的风险 分散。这种方法的优势在于能显著改善下行保护，提供更平滑的投资体验，并构建一个对各 种经济环境都具有韧性的反脆弱系统，最终帮助投资者在长期内获得更优的风险调整后收益。 基于风险平价模型的配置策略 作为风险配置理念的典范，风险平价模型被置于研究的中心。该模型通过数学优化，使 不同波动特性的资产对组合总风险产生相等的贡献，从而避免了传统股债组合中风险被股票 资产主导的弊端。回测结果显示，风险平价模型在观测期内实现了 6.1% 的年化收益率，并 将最大回撤控制在 3.4%，夏普比率达到 3.62，展现了 ...

Group 1: ETF Innovations in the US - The US saw the launch of 37 new ETF products last week, with a focus on both increasing and decreasing concentration in portfolios [1] - Direxion, Leverage Shares, Defiance, and Rex Shares expanded their single-stock leveraged inverse products, covering companies like UnitedHealth Group, JPMorgan, and Ford [1] - WEBs introduced a Defined Volatility series that targets a specific volatility level based on historical data, with leverage adjustments made according to the product's recent performance [1] Group 2: New ETF Products - Crossmark launched two ETFs focusing on large-cap growth and value, utilizing a combination of fundamental and quantitative methods [2] - Defiance released an ETF targeting AI and power infrastructure, tracking companies with over 50% revenue from AI-related sectors [2] - Roundhill expanded its weekly leveraged and dividend ETFs linked to major tech companies, providing 1.2x weekly returns [2] Group 3: ETF Market Dynamics - Stock ETFs experienced inflows exceeding $16 billion last week, with domestic and international stocks seeing similar levels of investment [5] - Factor rotation ETFs saw inflows surpassing $1 billion, with total assets exceeding $20 billion [7] - The top inflow products included Vanguard's broad-based ETFs and BlackRock's factor rotation ETF, while major outflows were seen in SPDR's S&P 500 ETFs [7] Group 4: Performance of Digital Currency ETFs - The total size of US digital currency ETFs has surpassed $150 billion, with BlackRock's Bitcoin ETF nearing $90 billion [10] - Bitcoin products have outperformed Ethereum, with Bitcoin ETFs showing a year-to-date increase of approximately 25% compared to Ethereum's less than 10% [10] Group 5: Fund Flow Trends - As of May 2025, the total amount of non-money market mutual funds in the US reached $21.91 trillion, reflecting a slight increase from April [11] - During the week of July 2-9, domestic equity funds experienced outflows of about $7.5 billion, while bond products saw inflows of $7.58 billion [11]