- The report introduces the construction of four ETF portfolios: A-share market asset allocation ETF portfolio, overseas equity index QDII-ETF portfolio, A-share relative return ETF portfolio, and A-share absolute return ETF portfolio, which are combined to form the All-weather diversified allocation ETF portfolio[7][12][13] - The A-share market asset allocation ETF portfolio is constructed using strategic allocation models (fixed ratio, volatility control, and risk parity) and tactical dynamic adjustment models based on macro and technical indicators. Monthly frequency scoring is applied to adjust weights[17][21][29] - Macro indicators for the A-share market asset allocation ETF portfolio include PMI, CPI YoY, social financing stock YoY, 10-year government bond yield, and USD index, with scoring ranges of -1, 0, 1 based on trends and impact directions[24][31][29] - Technical indicators for the A-share market asset allocation ETF portfolio are derived from trend, valuation, and fund flow dimensions, with scoring ranges of -1, 0, 1 for trend and fund flow, and -2, -1, 0, 1, 2 for valuation[32][34] - The A-share relative return ETF portfolio is constructed using six dimensions: historical fundamentals, fund flow, consensus expectations, macro, momentum, and style. Indicators are weighted and scored using Z-values[61][67][68] - The relative return ETF portfolio incorporates crowding indicators such as turnover ratio, beta, financing balance ratio, financing increment ratio, fund holdings ratio, and active buy-in ratio, with thresholds based on historical percentiles[69][72][73] - The A-share absolute return ETF portfolio focuses on stability, dividend yield, and low correlation with market volatility. Indicators include ROE TTM mean/standard deviation, net profit growth TTM standard deviation, dividend yield, cash dividend/net profit ratio, beta, semi-beta, and average correlation[84][90][89] - The All-weather diversified allocation ETF portfolio combines the above four portfolios, using fixed ratio models for strategic allocation and macro/technical indicators for tactical adjustments. It sets specific weight ranges for A-share relative and absolute return ETF portfolios[100][101] - Backtesting results for the A-share market asset allocation ETF portfolio show annualized returns of 9.75%, 8.41%, and 8.31% for fixed ratio, volatility control, and risk parity models respectively, with maximum drawdowns of 4.85%, 6.42%, and 2.77%[38][42] - The QDII-ETF portfolio achieves an annualized return of 18.51%, maximum drawdown of 16.78%, and annualized volatility of 11.64% during the backtesting period[59][56] - The relative return ETF portfolio with crowding indicators achieves an annualized return of 19.32%, maximum drawdown of 25.69%, and annualized volatility of 21.87%[82][78] - The absolute return ETF portfolio achieves an annualized return of 12.33%, maximum drawdown of 26.11%, and annualized volatility of 17.53%[98][94] - The All-weather diversified allocation ETF portfolio achieves an annualized return of 9.36%, maximum drawdown of 3.64%, and annualized volatility of 3.82%, with monthly win rates of 82.41%, 3-month rolling win rates of 98.11%, and 1-year rolling win rates of 100%[105][100]

Group 1 - The core viewpoint of the article is the rapid development of ETFs in the A-share market since 2019, with the total number of ETFs increasing from 198 in Q4 2018 to 1209 by Q2 2025, and the total scale rising from 0.51 trillion yuan to 4.31 trillion yuan during the same period [1][9][11] - As of Q2 2025, stock-type ETFs account for approximately 75% of the total scale, while cross-border ETFs, currency-type ETFs, bond-type ETFs, and commodity-type ETFs collectively account for about 25% [11][12] Group 2 - The article discusses the construction of an all-weather diversified ETF portfolio based on various methods, including A-share market asset allocation ETFs, overseas equity index QDII-ETFs, relative return ETFs, and absolute return ETFs [2][13] - The methodology for constructing the A-share market asset allocation ETF portfolio and overseas equity index QDII-ETF portfolio involves quantitative scoring based on macro and technical perspectives [4][19] Group 3 - The performance of the all-weather diversified ETF portfolio shows an annualized return of 9.22% with a maximum drawdown of 3.64% and an annualized volatility of 3.85% from December 31, 2016, to June 30, 2025 [6][40] - The portfolio consistently achieved positive absolute returns across different years within the backtesting period, indicating a balanced source of returns [6][40] Group 4 - The construction method for the A-share market asset allocation ETF portfolio includes selecting large-cap indices such as CSI 300 and CSI 500, and bond indices like 1-5 year national development bonds [22][23] - The strategic allocation models used include fixed ratio, volatility control, and risk parity models, with monthly adjustments based on macro and technical indicators [35][36] Group 5 - The QDII-ETF portfolio construction method focuses on overseas equity indices, including the Hang Seng Index, S&P 500, and Nikkei 225, with macro and technical indicators influencing the scoring and weighting [43][44] - The QDII-ETF portfolio achieved an annualized return of 17.24% with a maximum drawdown of 17.20% during the backtesting period [54][55] Group 6 - The relative return ETF portfolio is constructed based on six dimensions, including historical fundamentals and capital flow, to implement an index rotation strategy [57][60] - The portfolio that incorporates index crowding indicators outperformed the standard relative return ETF portfolio, achieving an annualized return of 16.59% compared to 14.04% [79] Group 7 - The absolute return ETF portfolio is designed to focus on absolute returns by selecting indices with stable fundamentals and significant dividend yields, while minimizing exposure to market volatility [83]