金 融 工 程 ETF 配置系列（三）：构建不同风险偏好 的 ETF 配置策略 ——基于风险预算的 ETF 配置实践 本报告导读： 本文介绍了 ETF 资产配置的基础流程，并针对不同风险偏好的投资者提供了以风险 平价为底座的多种 ETF 资产配置策略：3%与 5%目标波动的低风险绝对收益策略， 年化收益分别达 6.74%与 8.04%；叠加红利成长轮动的高弹性策略年化达 11.66%， 给投资者提供了多样的资产配置选择。 投资要点： | | | | [Table_Authors] | 郑雅斌(分析师) | | --- | --- | | | 021-23219395 | | | zhengyabin@gtht.com | | 登记编号 | S0880525040105 | | | 朱惠东(分析师) | | | 0755-23976176 | | | zhuhuidong@gtht.com | | 登记编号 | S0880525070025 | | | 梁誉耀(分析师) | | | 021-38038665 | | | liangyuyao@gtht.com | | 登记编号 | S0880524080003 ...

平安 5-10 年期国债活跃券 ETF 投资价值分析 家国同行，共享时代红利 glmszqdatemark 本公司具备证券投资咨询业务资格，请务必阅读最后一页免责声明 证券研究报告 1 相关研究 2026 年 03 月 01 日 | 目录 | | --- | | 1 债市延续低位高波震荡 3 | | --- | | 2 低利率下超额业绩实现路径 4 | | 2.1 10 年国债的配置价值 4 | | 2.2 债券 ETF 的优势 7 | | 3 活跃国债 ETF 配置优势 9 | | 3.1 基本信息 9 | | 3.2 业绩归因 10 | | 3.3 配置优势 11 | | 4 活跃国债 ETF 应用场景 12 | | 4.1 股债风险评价组合 12 | | 4.2 国债期货期现策略 13 | | 5 风险提示 14 | | 插图目录 15 | [Table_Author] 分析师 徐亮 执业证书： S0590525110037 邮箱： xliang@glms.com.cn 债市低位高波震荡：2026 年开年以来，由于前期收益率调整幅度较大，配置价值 显现，有望为利率下行打开空间，叠加市场风险偏好边际回落， ...

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - The report captures global multi - asset investment opportunities (covering domestic assets such as A - shares, bonds, and gold, as well as overseas equity assets like US stocks, Japanese stocks, and Indian stocks) and designs corresponding allocation schemes according to common investment scenarios. All portfolios can be tracked through corresponding ETF/LOF products [7]. - In January 2026, the allocation suggestions are as follows: A - shares may have short - term momentum but also face callback risks, with a focus on cyclical mid - cap blue - chips led by chemicals, domestic AI, satellites, and semiconductors; the domestic bond market is neutral, and short - term varieties can be focused on; US stocks may maintain a neutral shock pattern; Japanese stocks may have a neutral shock pattern; Indian stocks may have a weak shock pattern; gold may remain strong in the short - term but also face volatility risks, and its medium - to - long - term allocation value is significant [7]. - A two - stage robust multi - asset portfolio design method based on "portfolio insurance + risk budget" is introduced, which is decision - making based on risk characteristics, does not rely on asset return forecasts, and has good robustness while considering both return elasticity and risk control [7]. Summary by Relevant Catalogs 1. Market Review and Allocation Outlook 1.1 Market Review - In 2025, gold performed outstandingly, global equity assets showed differentiation (A - shares, Japanese stocks, and US stocks were strong, while Indian stocks declined slightly), and the bond market was relatively sluggish. The return performance of underlying assets was: gold (58.57%) > CSI 800 (23.91%) > Nikkei 225 (22.26%) > Nasdaq 100 (17.50%) > short - term financing (1.78%) > 7 - 10 - year policy - financial bonds (0.22%) > S&P BSE Sensex ( - 0.40%) [16]. 1.2 Asset Allocation Outlook - **A - shares**: Economic prosperity and mild inflation recovery support the medium - to - long - term stock market trend, but there are short - term callback risks. Industry themes such as cyclical mid - cap blue - chips led by chemicals, domestic AI, satellites, and semiconductors can be focused on [18]. - **Domestic bond market**: Due to the risk preference of rising equities and the expectation of mild inflation recovery, bonds are neutral overall, and short - term varieties can be continuously focused on [20]. - **US stocks**: The US economy still has resilience, but due to the downward revision of interest - rate cut expectations and relatively high valuations, US stocks may maintain a neutral shock pattern in the short - term [22]. - **Japanese stocks**: Japan's economy is in a benign "wage - price spiral" and is moderately recovering, but with a marginal net outflow of foreign capital, Japanese stocks may have a neutral shock pattern in the short - term [31]. - **Indian stocks**: The economic prosperity has declined from its peak, and with a marginal net outflow of foreign capital, Indian stocks may have a weak shock pattern in the short - term [34]. - **Gold**: Geopolitical tensions have pushed gold to new highs. It may remain strong in the short - term but also face volatility risks, and its medium - to - long - term allocation value is significant [38]. 2. Robust Portfolio Design Idea: Two - Stage Method of "Portfolio Insurance + Risk Budget" 2.1 Dilemma of Asset Allocation Models in Domestic Investment Applications - The two classic multi - asset portfolio management methods, mean - variance optimization (MVO) and its derivative models, and risk - budget - based models (such as the risk - parity model), have limitations in domestic investment applications. MVO is highly sensitive to changes in returns and risks, and the risk - parity model may lead to an overly low proportion of equity assets in the portfolio [45]. 2.2 Optimization Idea 1: Using Portfolio Insurance Method to Optimize the Sharpe Ratio of High - Risk Assets - The portfolio insurance strategy can optimize the return - risk ratio of high - volatility assets such as A - shares in the medium - to - long - term. Taking the domestic stock - bond CPPI portfolio as an example, it can achieve better risk performance compared to corresponding portfolios [52]. 2.3 Optimization Idea 2: Integrating Target Allocation Central Risk Budget Strategy - By decomposing the risk budget, the target stock - bond allocation central can be integrated into the risk - budget configuration model, and the allocation weights can be dynamically adjusted according to the changes in asset volatility [59]. 2.4 "Portfolio Insurance + Risk Budget": Balancing Return Elasticity and Risk Control - The two - stage combination design method of "portfolio insurance + risk budget" first uses the CPPI method to optimize the Sharpe ratio of single risk assets and then constructs a risk - budget investment portfolio based on the risk characteristics of each sub - portfolio. It can effectively combine return elasticity and risk control and has good robustness [63]. 3. Stock - Bond Target Allocation Central Risk Budget Portfolio 3.1 Investment Scenarios and Scheme Design - In a low - interest - rate environment, the fixed - income plus strategy can alleviate the problem of declining returns of pure - bond assets. Two strategies are designed: the stock - bond target allocation central risk budget strategy (stock - bond RB) and the "CPPI + RB" two - stage stock - bond target allocation central strategy (stock - bond CPPI_RB), with three types of allocation central combinations of 1:9, 2:8, and 3:7 constructed respectively [67][68][69]. 3.2 Portfolio Performance Analysis - During the back - testing period (January 5, 2015 - December 31, 2025), the performance of the strategy integrating the stock - bond target allocation central risk budget is better than that of the fixed - allocation central stock - bond portfolio, and the two - stage stock - bond CPPI_RB portfolio is better than the stock - bond RB portfolio [70]. 3.3 Allocation Weights and Marginal Changes - The stock - bond allocation of the three types of allocation central portfolios meets the requirements of the target allocation central. At the end of December 2025, the stock - bond RB portfolio moderately increased the weight of A - shares and increased the weight of long - term bonds while reducing the weight of short - term bonds within the bond category [75]. 4. Low - Volatility "Fixed - Income Plus" Portfolio 4.1 Investment Scenarios and Scheme Design - To reduce the volatility risk of the stock - bond portfolio during extreme "stock - bond double - kill" market conditions, an appropriate amount of gold is added. The portfolio is designed using the two - stage method of "portfolio insurance (CPPI) + risk budget (RB)", with a target allocation central of stock:gold:bond = 1:1:4 [80][81]. 4.2 Portfolio Performance Analysis - During the back - testing period (January 1, 2015 - December 31, 2025), the low - volatility "fixed - income plus" strategy has an annualized return of 7.08%, an annualized volatility of 3.47%, a maximum drawdown of - 4.92%, a Sharpe ratio of 1.99, and a Calmar ratio of 1.44 [83]. 4.3 Allocation Weights and Marginal Changes - As of December 31, 2025, the latest weights of the strategy are: CSI 800 (10.78%), gold (5.99%), 7 - 10 - year policy - financial bonds (75.09%), and short - term financing (8.14%). In December 2025, the weight of short - term financing was increased, and the weights of other assets were decreased [90]. 4.4 Strategy Implementation: Tracking Based on ETF Assets - The low - volatility "fixed - income plus" strategy can be well tracked by corresponding ETF assets. As of December 31, 2025, the annualized return of the strategy since 2023 is 9.38%, and the annualized returns of the FOF_of_ETFs portfolio based on ETF net value and on - site price are 9.05% and 9.07% respectively [95]. 5. Global Asset Allocation Portfolio 5.1 Investment Scenarios and Scheme Design - In a volatile global situation, global asset allocation can effectively diversify risks and improve the return - risk ratio of the portfolio. A two - stage FOF portfolio design method of "portfolio insurance (CPPI) + risk parity (RP)" is used [102][104]. 5.2 Global Multi - Asset Allocation Strategy I: A - shares + Bonds + Gold + US Stocks - **Performance**: During the back - testing period (January 1, 2014 - December 31, 2025), the annualized return is 11.85%, the annualized volatility is 5.94%, the maximum drawdown is - 7.97%, the Sharpe ratio is 1.91, and the Calmar ratio is 1.49. In 2025, it recorded 20.94% [106]. - **Allocation Weights and Marginal Changes**: As of December 31, 2025, the model allocation weights are: CSI 800 (18.98%), Nasdaq 100 (17.84%), gold (13.66%), and 7 - 10 - year policy - financial bonds (49.51%). In December 2025, the weight of 7 - 10 - year policy - financial bonds was increased, and the weights of other assets were decreased [111]. - **Strategy Implementation**: The strategy can be well tracked by corresponding ETF/LOF assets. As of December 31, 2025, the annualized return of the strategy since 2023 is 16.92%, and the annualized returns of the FOF_of_ETFs portfolio based on ETF net value and on - site price are 16.53% and 17.04% respectively [119]. 5.3 Global Multi - Asset Allocation Strategy II: A - shares + Bonds + Gold + Cross - Border Equities - **Performance**: During the back - testing period (January 1, 2014 - December 31, 2025), the annualized return is 10.25%, the annualized volatility is 5.09%, the maximum drawdown is - 9.97%, the Sharpe ratio is 1.94, and the Calmar ratio is 1.03. In 2025, it recorded 13.56% [126]. - **Allocation Weights and Marginal Changes**: As of December 31, 2025, the model allocation weights are: CSI 800 (9.63%), Nasdaq 100 (9.65%), Nikkei 225 (6.17%), S&P BSE Sensex (17.87%), gold (7.16%), and 7 - 10 - year policy - financial bonds (49.51%). In December 2025, the weights of S&P BSE Sensex and 7 - 10 - year policy - financial bonds were increased, and the weights of other assets were decreased [133]. - **Strategy Implementation**: The strategy can be well tracked by corresponding ETF/LOF assets. As of December 31, 2025, the annualized return of the strategy since 2023 is 14.06%, and the annualized returns of the FOF_of_ETFs portfolio based on ETF net value and on - site price are 13.60% and 14.06% respectively [145].

Group 1 - The core viewpoint emphasizes the need for institutions to adapt their asset allocation strategies in a low-interest-rate environment, with a focus on "fixed income +" as a key solution for achieving balance between safety, liquidity, and returns [1][11] - The expected collaboration between fiscal and monetary policies in 2026 aims to support economic stability and structural optimization, with a focus on technology innovation and consumer sectors [3] - The anticipated market trends suggest a shift from valuation recovery to profit growth, with key investment themes including AI, biomedicine, and consumer recovery supported by policy measures [3] Group 2 - The "fixed income +" strategy does not have a fixed ratio and can be adjusted from conservative to aggressive to achieve a balance of safety, liquidity, and returns [1][11] - In the bond market, a focus on mid to short-duration bonds (1-3 years) and high-grade credit bonds (AA+ and above) is recommended to manage risks and enhance returns [7][11] - The expected trend of a stable RMB exchange rate may attract foreign investment into Chinese assets, particularly in high-dividend and technology growth sectors [7][13] Group 3 - The investment strategy should include a mix of traditional equity tools and derivative strategies to capture opportunities in various market conditions while managing overall volatility [12] - The importance of compliance and transparency in private equity management is highlighted, with a focus on generating alpha returns for investors [12] - Institutions are encouraged to utilize diverse outbound investment channels to effectively manage geopolitical and economic cycle risks [13]

Group 1 - The global capital markets delivered impressive results in 2025, with major asset classes performing well, including a broad rise in global stock markets and a strong performance in gold, marking its best performance in nearly 46 years [1] - The market performance in 2025 was largely driven by the easing of monetary policies from major central banks and improved liquidity expectations [3] - As 2026 approaches, the investment environment is expected to become more complex due to the non-synchronous monetary policies and geopolitical uncertainties [4] Group 2 - The U.S. Treasury market anticipates approximately 50 basis points of additional rate cuts from the Federal Reserve in 2026, leading to a gradual decline in short-term Treasury yields [5] - Inflation remains a significant variable; a rebound in U.S. inflation could lead the Federal Reserve to pause rate cuts, potentially impacting Treasury performance [6] - The earnings growth for major U.S. indices is projected to increase, with the S&P 500, Nasdaq 100, and MAG 8 expected to see net profit growth rates of 15.6%, 20.0%, and 24.5% respectively, providing upward momentum for U.S. stocks [8] Group 3 - Concerns about a potential AI bubble burst in 2026 may lead to increased volatility in U.S. stocks, with current valuations of major indices at historically high levels, suggesting limited room for significant expansion [9] - The "All Weather Strategy," proposed by Ray Dalio, aims to create a diversified asset allocation that performs well across various economic environments, focusing on economic growth and inflation as core variables [10][13] - The strategy emphasizes "risk parity," where asset weights are adjusted to ensure equal contribution to overall portfolio risk, although achieving true risk parity requires professional expertise [13] Group 4 - QDII-FOF funds are highlighted as efficient tools for global asset allocation, allowing investors to access diverse global investment strategies without the complexities of direct international investing [14] - These funds can invest in a range of global assets, including U.S. stocks, Hong Kong stocks, U.S. Treasuries, and gold, and can adjust asset proportions based on market conditions [14] - The FOF structure allows for secondary diversification by investing in a selection of high-quality global funds, which can help smooth out volatility in a complex market environment [14]

Core Viewpoint - The article emphasizes the importance of multi-asset and multi-strategy investment approaches for achieving stable returns in the private equity sector, especially in the context of market fluctuations and varying performance across different strategies [10][12]. Market Performance - In 2025, the A-share market showed a notable performance with index increases of approximately 30% for both the 500 and 1000 indices, alongside high trading volumes, benefiting both subjective long positions and quantitative strategies [3]. - The commodity market also exhibited strengths, particularly in precious metals and non-ferrous metals, while energy and chemical sectors remained weak. The trend in lithium carbonate, driven by "anti-involution," provided trading opportunities for CTA strategies [3]. Strategy Performance - Despite the overall positive market conditions, not all strategies performed consistently well throughout the year. For instance, quantitative stock strategies faced challenges after August due to concentrated investments in AI technology stocks, leading to a situation where indices rose but individual stocks did not [6]. - Subjective long strategies experienced significant volatility, with extreme reversals in early and April causing many products to miss subsequent rebounds. The frequent rotation of structural market conditions resulted in notable performance differentiation among products [6]. - CTA strategies also displayed considerable performance variance, with many products enduring prolonged periods of low performance during the first half of the year [6]. Investment Outlook for 2026 - The article suggests that for 2026, investors should focus on multi-asset and multi-strategy approaches, which have gained popularity due to their ability to provide diversified income sources and risk mitigation [10][12]. - The demand for such products is evidenced by the rapid sell-out of strategies from leading institutions, such as Bridgewater's all-weather strategy and Man Group's macro strategy, indicating strong market interest [14][12]. Types of Multi-Asset Strategies - Three main types of multi-asset multi-strategy investment approaches are highlighted: 1. **Macro Strategies**: These strategies consider various macroeconomic factors to flexibly allocate across stocks, commodities, and bonds, aiming for stable absolute returns [15]. 2. **CTA Strategies**: These involve using multiple CTA strategies to trade indices, government bonds, and commodity futures, allowing for diversified asset allocation and profit from futures trading [15]. 3. **Multi-Strategy Combinations**: These strategies leverage low correlations between different strategies to achieve diversified returns and smooth overall volatility, exemplified by products like Blackwing's "quantitative + CTA + convertible bonds" combination [17][18]. Conclusion - The article concludes that despite favorable market conditions, volatility is inevitable, which can impact the holding experience and lead to missed long-term compounding returns. Therefore, a focus on multi-asset and multi-strategy private equity is recommended for better investment experiences and more predictable returns [20][21].

Core Concept - The article emphasizes the importance of macro strategies in investment, likening them to a well-balanced meal that can adapt to various market conditions, ensuring consistent performance regardless of market volatility [1][7]. Group 1: Macro Strategy Overview - Macro strategy is compared to a Michelin chef preparing a diverse meal, focusing on risk budgeting and adjusting asset proportions based on the macro environment [2][8]. - Traditional investment approaches are likened to single dishes, which can be either too risky or too conservative, while macro strategies provide a balanced and nutritious investment portfolio [2][8]. Group 2: Asset Allocation - The foundation of macro strategy involves static allocation of major asset classes, ensuring a balanced risk profile with a target overall volatility of 15%-20% [3][9]. - Stocks are considered the main dish, making up nearly half of the portfolio, while bonds serve as a stable base, and commodities add flavor and diversification [3][9]. Group 3: Seasonal Adjustments - Macro strategies should adapt to changing market conditions, akin to a chef updating the menu based on seasonal ingredients [4][10]. - In times of inflation, commodities should be favored, while economic growth calls for increased stock exposure, with adjustments made for unpredictable market conditions [4][10]. Group 4: Additional Alpha Opportunities - The strategy includes opportunities for extra returns, such as incorporating unique stock selections or capitalizing on sudden market events, enhancing overall portfolio performance [5][11]. - The approach aims to maintain a balanced diet of investments, ensuring resilience in various market scenarios without requiring constant management [5][11].

Core Viewpoint - The article explains the concept of macro strategy in investment, focusing on the components of returns: Beta (systematic returns) and Alpha (trading ability). It emphasizes that macro strategy's Beta is derived from a diversified asset allocation that captures systematic returns without the need for market timing or predictions [3][51]. Group 1: Understanding Beta - Macro strategy's Beta is defined as a diversified asset allocation across various asset classes, such as stocks, bonds, and commodities, without the need for market timing [7][19]. - A simple diversified portfolio consisting of 33% A-share index, 33% bond index, and 33% commodity and gold index achieved an annualized return of 10% with a maximum drawdown of 31%, compared to a 71% drawdown for the broader market [7][11]. - The article highlights that the long-term source of macro strategy's Beta returns is systematic dividends, which are derived from economic growth and monetary expansion [19][47]. Group 2: Sources of Asset Returns - Asset returns can be categorized into four main sources: earning from economic growth, earning from monetary expansion, earning from counterparties, and earning from risk-taking [12][16]. - Systematic returns (economic growth and monetary expansion) allow all participants to benefit simultaneously, while competitive returns (from counterparties) are limited and require outperforming others [17][18]. - The article concludes that the primary sources of asset returns are the first three categories, with systematic returns being the most sustainable and scalable [17][20]. Group 3: All-Weather Strategy - The All-Weather strategy aims to optimize asset allocation to capture long-term systematic dividends while smoothing out short-term cyclical volatility [26][28]. - This strategy categorizes macro environments into four scenarios based on economic growth and inflation levels, ensuring that assets are allocated to benefit from each scenario [28][29]. - The article emphasizes that true diversification should focus on risk parity rather than equal capital allocation, allowing for a balanced risk exposure across different assets [29][31]. Group 4: Evolution of Beta - The evolution from Beta 1.0 (simple asset allocation) to Beta 2.0 (All-Weather strategy) and finally to Beta 3.0 (factor diversification) reflects a deeper understanding of asset returns and their underlying factors [36][43]. - Beta 3.0 incorporates additional factors beyond growth and inflation, allowing for a more nuanced approach to risk diversification [41][43]. - The article stresses that constructing a macro strategy Beta portfolio is complex and requires a profound understanding of underlying asset characteristics and risk management [45][46].

Core Viewpoint - The investment philosophy of the company emphasizes stability and long-term gains over short-term high returns, advocating for low-volatility products that can yield consistent profits for investors [1][2][11]. Group 1: Investment Strategy - The company has shifted its focus from high-volatility products to low and medium-volatility strategies, such as quantitative convertible bond strategies and quantitative hedging strategies, which have proven to be more stable and risk-controlled [1][3]. - The founder believes that the core goal of investing is not to seek short-term excitement but to ensure that investors can "hold on, sleep well, and make money" [1][2]. - The company has developed a "valuation-momentum-risk parity" decision-making system to ensure that investment strategies remain resilient across various macroeconomic environments [3]. Group 2: Risk Management - The company employs a comprehensive risk management framework that integrates artificial intelligence and big data analysis to maintain a high level of sensitivity and responsiveness to market fluctuations [3][4]. - A compliance intelligent recognition module has been added to the risk management system to automatically scan for potential compliance risks, thereby creating a proactive regulatory defense line [5]. - The company emphasizes that risk management is not about limiting returns but about protecting compound growth [5]. Group 3: Performance Metrics - The flagship product, "Youmeili Win Value No. 1 A-Class Share," has achieved a cumulative return of over 150% and an annualized return exceeding 15% since its inception over six years ago [6]. - The company believes that controlling drawdowns effectively allows for the natural compounding of returns, leading to significant long-term growth [6][10]. - The company has maintained a "zero default" record in bond investments over the past decade, attributing this success to disciplined risk management and systematic monitoring of market indicators [7]. Group 4: Technological Integration - The company has invested heavily in technology, with technology expenditures accounting for half of its profits, and has established a complete chain from data collection to risk control [10][11]. - The team comprises members with backgrounds in computer science, mathematics, and financial engineering, which enhances the company's technological capabilities [10]. - The company aims to build a competitive edge through systematic and automated execution capabilities, positioning technology as a foundational element of its investment strategy [10][11].

Core Viewpoint - The investment philosophy of the company emphasizes stability and long-term gains over short-term volatility, with a focus on low-volatility products that can yield consistent returns for investors [1][2][10]. Group 1: Investment Philosophy - The founder of the company, He Jinlong, believes that the core goal of investing is not to chase short-term excitement but to ensure that investors can "hold on, sleep well, and make money" [1]. - The company has developed a multi-asset quantitative system that prioritizes risk control and stable returns, demonstrating that low volatility does not equate to low returns [6][9]. Group 2: Performance Metrics - The flagship product, "Youmeili Win Value No. 1 A-Class Share," has achieved a cumulative return of over 150% and an annualized return exceeding 15% since its inception over six years ago [6]. - The company has maintained a record of "zero defaults" in bond investments over the past decade, attributing this success to disciplined risk management and a systematic approach [7]. Group 3: Risk Management - The company employs a "valuation-momentum-risk parity" decision-making framework, which aims to balance risk contributions across different assets to maintain resilience in various macroeconomic environments [3]. - An AI-driven risk control and timing management system has been developed to analyze market sentiment and optimize trading efficiency, significantly enhancing execution speed compared to manual trading [4][5]. Group 4: Technological Integration - The company invests heavily in technology, with half of its profits allocated to technological advancements, establishing a complete chain from data collection to risk control [9]. - The team comprises members with backgrounds in computer science, mathematics, and financial engineering, which supports the development of automated execution systems [9][10]. Group 5: Long-term Strategy - The company focuses on a long-term investment strategy, avoiding high-volatility products and instead opting for a diversified approach that includes various strategies such as convertible bonds and quantitative neutral strategies [8][10]. - The belief in compounding returns and the importance of managing drawdowns are central to the company's investment approach, aiming for consistent annual returns rather than chasing high short-term gains [2][6].