1. Report Industry Investment Rating No information provided in the given content. 2. Core Viewpoints of the Report - Dalio's all - weather strategy's successful replication in China has made investors value the risk - balanced investment concept. The report proposes a benchmark long - only futures - type asset allocation index to achieve a pure risk - parity asset allocation plan through futures [11]. - The all - weather asset allocation futures index aims to build a risk - balanced portfolio adaptable to various economic environments. The risk - parity calculation in this report is based on asset dimensions [11]. - The final all - weather asset allocation index scheme shows good performance, with an annualized return of 11.6% since December 31, 2019, an average maximum drawdown of 5.7%, a Sharpe ratio of 1.96, and a Calmar ratio of 2.03, and a 10.6% return this year [2]. 3. Summary According to the Directory 3.1 About the Research Background of the Futures - Type Asset Allocation Index - **Significance of Building the Index**: It aims to achieve a replicable and risk - balanced asset allocation plan through futures. "All - weather" means building a risk - balanced portfolio adaptable to different economic environments, and "futures - type" emphasizes the high capital efficiency of futures [11][12]. - **Risk - Parity Return Source and Commodity's "Negative Beta"**: Risk - parity returns come from the risk premium of long - position assets and potential re - balancing dividends. Commodity assets show negative correlations with stocks and bonds in some macro - environments, and commodity futures can achieve a combination of beta and alpha returns [13]. - **Research Framework**: First, compare the investment differences between single - variety futures and spot ETFs. Second, replicate existing broad - based commodity indexes and build custom - logic commodity indexes. Finally, discuss the performance of the risk - parity portfolio and related detailed issues [14]. 3.2 Asset Selection of Stocks, Bonds, and Gold - **Return Structure Comparison**: Futures investment returns consist of contract holding returns and unoccupied margin interest, while spot ETF investment returns are more complex, affected by factors such as product management costs and trading premiums [16][20]. - **Comprehensive Advantages of Futures over ETFs**: Futures have high leverage and low transaction fees. For example, the comprehensive trading cost of futures is less than 1bp, while ETFs have at least 20bp in operation costs [24][25]. - **Better Returns of Stock Index Futures**: Taking the CSI 500 index as an example, the excess return of stock index futures is better than that of 500ETF and 500 index - enhanced products. Other index futures also show similar advantages [32][38]. - **Difference in Returns Due to Management Costs**: For bonds and gold, the investment returns of futures are about 50bp - 60bp higher than those of spot ETFs, mainly due to the management fees of ETFs [40][47]. 3.3 Selection of Commodity Asset Combinations - **Replication of Broad - Based Commodity Indexes**: Replicate the CSI Commodity Index and Nanhua Commodity Index. The replication results show that the CSI Commodity Index's replication has a 0.65% excess return, and the Nanhua Commodity Index's replication has a 0.19% excess return [48][56]. - **Replication of Existing Futures - Type Commodity Index ETFs**: Replicate the Shanghai Metals Index, Yisheng Energy A Index, and DCE Soybean Meal Index. The replication of the Shanghai Metals Index has a 2.3% annualized excess return [61][66]. - **Custom - Built Core Commodity Index**: - **Core Commodity Pool**: Select the actual holding varieties of five regular indexes as the core pool, with 19 - 24 varieties in the pool [75]. - **Conventional Portfolio Construction**: Build liquidity, equal - weight, and risk - parity indexes based on the core pool. The liquidity index and equal - weight index have excess returns compared to the Nanhua Commodity Index [80][84]. - **Factor Portfolio Construction**: Build momentum and term - structure indexes based on factors. The core commodity term - structure index has an 18.4% annualized return, with a Sharpe ratio of 1.02 [90]. 3.4 All - Weather Asset Allocation Futures Index - **Index Construction Concept**: Build a Risk Parity portfolio based on asset volatility risk as the all - weather asset allocation index [91]. - **Discussion on Index Construction**: - **Commodity Index Selection**: Prefer commodity indexes with low or negative correlations and high returns, such as the core commodity term - structure index [100][101]. - **Stock and Bond Asset Selection**: For bonds, T and TF are more suitable; for stocks, IC is more optimal [102]. - **Asset Weight Limit**: Do not recommend imposing excessive asset weight limits when building the index, as it may break the risk - parity target [104]. - **Covariance Estimation Method**: EWMA COV performs slightly better than normal COV, while LW COV has higher volatility and lower Sharpe ratio [106][111]. - **Covariance Estimation Window Length**: Choose the 30 - day estimation window of normal COV after considering turnover costs [112]. - **Target Volatility and Dynamic Leverage**: Applying a target volatility of 5% can improve the portfolio's return, with an annualized return of 11.58% and an average leverage of 1.59 times [119]. - **Final Index Scheme**: The asset pool includes stock index futures IC, bond futures T, gold futures AU, and the core commodity term - structure index. The index has an annualized return of 11.6% since December 31, 2019 [125][126].