Core Viewpoint - The article discusses a strategy for asset allocation that combines gold and high-volatility micro-fund investments to achieve lower volatility while maintaining similar returns [3][4]. Group 1: Investment Strategy - The strategy involves using a combination of gold and micro-fund investments, which historically show nearly zero correlation, providing a solid basis for asset allocation [9][10]. - The optimal allocation ratio of 80% gold and 20% micro-fund is proposed to minimize volatility, resulting in a lower annualized volatility of 10.99% compared to 12.38% for a 100% gold strategy [15][19]. Group 2: Performance Metrics - The backtest results show that the 100% gold strategy had a cumulative return of +85.61% with an annualized return of 22.85% and a Sharpe ratio of 1.72 [16]. - In contrast, the 80% gold and 20% micro-fund strategy yielded a cumulative return of +84.42% with an annualized return of 22.59% and a higher Sharpe ratio of 1.92, indicating better risk-adjusted returns [20][24]. Group 3: Risk Management - The maximum drawdown for the 80% gold and 20% micro-fund strategy was 9.48%, lower than the 10.45% drawdown for the 100% gold strategy, demonstrating improved risk control [21][26]. - The recovery time for the mixed strategy was 37 days, while the 100% gold strategy had not yet recovered, highlighting the resilience of the combined approach [21][24]. Group 4: Historical Performance - Historical data indicates a 100% probability of profit when holding the combined strategy for three years, with an average return of +32.50% [22]. - The article emphasizes that asset allocation can maintain returns while reducing volatility, supporting the notion that diversification is beneficial [25][26].

Group 1 - The core idea of the article emphasizes the importance of fixed overall volatility in asset allocation to maximize returns and Sharpe ratios, derived from the pursuit of portfolio efficiency [3][41]. - The article outlines a three-step process to reconstruct investment paradigms: setting risk budgets, decomposing volatility allocation, and maximizing efficiency [6][10][11]. - The article presents backtesting results using the "three-part method" tool, comparing various strategies and highlighting the performance of long bond and equity combinations [4][12]. Group 2 - The first step involves anchoring the overall annualized volatility target, which should align with the investor's risk tolerance, with examples indicating a target of around 2% volatility corresponding to a maximum drawdown of 2% [6][7]. - The second step focuses on decomposing total volatility across asset classes using dynamic optimization models, aiming for negative correlation between asset classes to enhance returns [10][16]. - The third step aims to maximize the overall portfolio efficiency by adjusting the volatility exposure allocated to different asset classes [11][21]. Group 3 - Backtesting results show that an 88.5% long bond and 11.5% equity combination achieved a cumulative return of 22.20% with an annualized volatility of only 2.19%, significantly lower than the 17.72% volatility of the CSI 300 index [16][42]. - The long bond portion contributed an annualized volatility of 1.85%, while the equity portion contributed only 0.68% due to their negative correlation of -0.33, resulting in a compressed overall portfolio volatility [16][22]. - The article highlights that the long bond and equity strategy outperformed pure long bond strategies, achieving a higher Sharpe ratio of 2.47 compared to 2.02 for pure long bonds [21][41]. Group 4 - The article discusses the advantages of the long bond and equity strategy, noting that long bond funds have a higher unit risk-return ratio compared to equity funds in recent market conditions [44][45]. - It emphasizes that a stronger negative correlation between long bonds and equities allows for higher volatility exposure while maintaining lower overall portfolio volatility [46][47]. - The conclusion suggests that in the current market environment, anchoring around 2% volatility, the optimal solution is a combination of long bonds and equities, despite a potentially higher maximum drawdown compared to short bonds and equities [48].