Core Viewpoint - The report aims to assist institutions targeting absolute returns in asset allocation by constructing a strategy that seeks stable investment returns with a target annualized return of no less than 6%, annualized volatility not exceeding 5%, maximum drawdown not exceeding 5%, and a return-to-drawdown ratio greater than 1 [3][6]. Asset Selection and Strategic Benchmark Construction - The report selects five major asset classes: A-share equities, Hong Kong equities, bonds, commodities, and overseas equities, ensuring that each has corresponding ETF products with significant scale in the public fund market [3][9]. - Two asset allocation models are constructed: "domestic stock and bond assets" and "global major asset" models, with monthly rebalancing and a backtesting period from January 1, 2017, to February 13, 2026 [3][13]. Strategic Layer - The strategic asset weight center is determined using risk parity and ES risk parity models, which aim to balance the risk contribution of each asset class [4][16]. - The historical performance of the strategic benchmark portfolio indicates that the selected domestic stock and bond assets are suitable for constructing an absolute return target portfolio [4][33]. Tactical Layer - A macro scoring model is developed to adjust asset weights based on ten high-frequency macro factors, allowing for tactical adjustments to asset weights on a monthly basis [4][35]. - The macro scoring model aims to capture short-term changes in economic conditions and enhance returns while controlling drawdowns [4][65]. Backtesting Results - Under the macro scoring model, the core return-risk indicators of the ETF combinations meet preset targets, with the global major asset ETF strategies achieving annualized returns of 10.85% and 10.77% under high-risk weight adjustment rules [5][72]. - The ES risk parity model shows superior risk management capabilities, with optimal control of annualized volatility and maximum drawdown, achieving a significant advantage in the return-to-drawdown ratio [5][72]. Risk Parity Model Performance - The risk parity model for domestic stock and bond assets achieved an annualized return of 4.21% with a maximum drawdown of -2.64%, while the global major asset model improved annualized returns to 5.94% [22][33]. - The ES risk parity model, while slightly sacrificing returns, effectively reduced portfolio volatility and drawdown risk, achieving annualized returns of 4.50% and 5.30% for domestic and global models, respectively [31][33]. Macro Scoring Framework - The macro scoring framework identifies macroeconomic indicators that significantly impact asset performance, using a combination of domestic and overseas factors to adjust asset weights dynamically [35][57]. - The report emphasizes the importance of macroeconomic factors in influencing asset returns and employs a scoring system to guide tactical adjustments [35][63].

Group 1 - The report aims to assist institutions targeting absolute returns in asset allocation, with a core goal of designing a strategy that can continuously generate stable return expectations, aiming for an annualized return of no less than 6%, annualized volatility not exceeding 5%, maximum drawdown not greater than 5%, and a return-to-drawdown ratio greater than 1 for the ETF allocation portfolio [6][14]. - The selected asset classes include A-share equities, Hong Kong equities, bonds, commodities, and overseas equities, with corresponding ETF products that are relatively large in scale within the public fund market [6][15]. - The report constructs two asset allocation models: "domestic stock and bond assets" and "global asset classes," with monthly rebalancing and a backtesting period from January 1, 2017, to February 13, 2026 [6][14]. Group 2 - The strategic layer utilizes risk parity and ES risk parity models to set the central weights of asset classes, indicating that the selected domestic stock and bond assets have the foundational basis for constructing an absolute return target portfolio [23][34]. - The tactical layer employs a macro scoring model to adjust asset weights based on macroeconomic factors, with ten high-frequency macro factors identified to significantly impact the returns of various asset classes [49][50]. - The backtesting results of the macro scoring asset allocation ETF portfolio indicate that the core return-risk indicators of each ETF portfolio meet the preset targets, with the global asset ETF strategies achieving annualized returns of 10.85% and 10.77% under high-risk weight adjustment rules [6][13]. Group 3 - The report details the selection of various asset classes, including specific indices for A-share equities, Hong Kong equities, bonds, overseas equities, and commodities, ensuring that the selected ETFs are viable for practical investment [15][17]. - The report establishes initial parameter settings for the asset allocation model, emphasizing the need for strict weight limits to control risk levels and achieve absolute return objectives [21][24]. - The risk parity model aims to equalize the risk contribution of each asset to the overall portfolio, with a focus on achieving a balance between risk and return [25][27].