证 券 研 究 报 告 股债恒定ETF增强策略创新 ——泛固收资产配置研究系列之一 证券分析师：黄伟平 A0230524110002 栾强 A0230524110003 2026.1.25 主要内容 www.swsresearch.com 证券研究报告 2 风险提示：模型计算可能存在误差，指标选取可能不够全面，历史回测不代表未来 ◼ 从理论模型和期权定价例证角度出发，都可以印证再平衡策略的波动率空头属性。 ◼ 基于此，我们设计了一个基于波动率敞口的再平衡择时策略，根据波动率变化规律调整组合的做空波动率敞口。 • 做空波动率策略在训练样本（2016-2020年）表现较好，收益、回撤、波动的表现都要更优；但是在测试样本（2021-2026.01）表现并 不理想，尽管降低了回撤和波动，但收益有所损失。 • 原因可能在于股债再平衡策略占优的假设依赖，有时候可能与实际市场环境并不一致。 • 股债再平衡的优势，依赖于股债之间大部分情况下呈现的"此消彼长"关系，因此，可以在此基础上开展"高抛低吸"操作。但是，如果 这一假设条件变得并不稳定，股债再平衡策略的表现也会打折扣。 ◼ 因此，需要考虑到股债两类资产可能产生的趋势性差 ...

Core Insights - The article discusses the investment decision made by Bill Gates in 1994, where he sold a significant amount of Microsoft stock to invest in bonds, emphasizing the importance of stability in wealth management [3][4][5][6]. Investment Strategies - The narrative illustrates that investing in bonds provides a level of stability that stocks do not, as bonds have a legal obligation for repayment, making them inherently less risky [12][13]. - The article explains the risks associated with bond investments, including price fluctuation risk and credit risk, highlighting the importance of understanding these factors in investment decisions [16][18]. Market Dynamics - It is noted that bond prices are inversely related to government bond yields, meaning that when yields rise, existing bond prices fall, which is a crucial concept for investors to grasp [17][18]. - Historical data shows that while the bond market generally trends upward, it can experience periodic adjustments of 2%-3.5%, suggesting that investors should remain calm during short-term declines if their investment horizon is longer [19]. Practical Application - The article introduces the "stock-bond rebalancing" strategy, which allows investors to maintain a desired risk profile by adjusting their asset allocation based on market conditions [21][22]. - It emphasizes the need for a systematic investment approach that incorporates bonds as a stabilizing element in a diversified portfolio, enabling investors to take advantage of market opportunities while managing risk [23][28]. Educational Opportunities - The article promotes a course focused on understanding core assets, including stocks, bonds, and real estate, aimed at helping individuals navigate the complexities of investment [25][32][33].

Group 1 - The article emphasizes the importance of asset allocation and rebalancing strategies in investment, highlighting that different asset classes (stocks and bonds) do not move in sync, necessitating adjustments to maintain desired risk levels [7][10][60] - It introduces the concept of "rebalancing" as a strategy to adjust asset proportions back to their original targets after market fluctuations, which can enhance overall returns [8][25][59] - The article outlines four common rebalancing strategies: periodic rebalancing, threshold-based rebalancing, valuation-based rebalancing, and risk parity rebalancing [27][28][35] Group 2 - The article discusses two specific rebalancing strategies used in the author's investment approach: growth/value style rotation and stock/bond rebalancing [39][47] - It provides an example of how to implement stock/bond rebalancing, illustrating the process of adjusting allocations based on market conditions, such as selling bonds to buy stocks during market downturns [50][54] - The article concludes that market volatility can create more opportunities for rebalancing, ultimately benefiting investors by enhancing returns [61][62]