通往绝对收益之路股债混合与衍生品运用

1、内容要点：股债混合策略基于衍生品的绝对收益策略股债混合与衍生品复合策略2请务必阅读正文之后的信息披露和法律声明股债混合与衍生品运用1. 股债混合策略资料来源：海通证券研究所股债混合策略中主要运用资产配置方法。固定比例基于风险基于收益和风险主动性资产配置股债等权最小方差Markowitz均值-方差美林时钟股债20%/80%风险平价目标风险Black-Litterman股债60%/40%风险预算目标收益风险预算+择时最大分散度配置增强策略配置另类资产3请务必阅读正文之后的信息披露和法律声明请务必阅读正文之后的信息披露和法律声明资料来源：Wind，海通证券研究所注：表格中，分年度的收益率为累计收益率

2、，全区间收益率为年化收益率；夏普比率、calmar比率均使用年化收益率计 4算，计算夏普比率时假定无风险利率为0，下同。1.1 股债20/80再平衡策略股债再平衡策略是一种常用的绝对收益策略。-16%-14%-12%-10%-8%-6%-4%-2%0%1.01.21.41.61.82.02.22.42.6200601042006061320061109200704122007091020080215200807142008121120090515200910162010031720100813201101172011062120111118201204242012091820130226201

3、30730201312302014060420141103201504032015082820160129201607042016120220170508201709292018030720180803201901042019061120191108回撤（右轴）策略净值股票和债券的比例分别为20%和80%，股票资产为沪深300指数，债券资产为中债总财富指数，月初再平衡。2006年以来，策略年化收益率6.2%，夏普比率1.1。图：股债20/80再平衡策略净值表：股债20/80策略收益风险特征收益率年化波动率最大回撤夏普比率calmar比率月均换手率200620.3%4.7%3.3%4.46.31

4、0.5%200721.7%7.7%5.0%2.94.43.8%2008-7.2%9.3%13.5%-0.8-0.54.9%200915.1%6.6%4.7%2.33.33.4%2010-0.4%5.0%4.5%-0.1-0.12.5%2011-1.0%4.2%4.6%-0.2-0.21.3%20124.1%4.0%4.2%1.01.01.9%2013-2.9%4.6%6.3%-0.6-0.52.0%201419.1%4.3%1.4%4.513.61.1%20158.7%7.6%9.1%1.21.03.5%2016-0.9%4.7%4.0%-0.2-0.21.3%20173.1%2.3%2.3%

5、1.31.40.7%20181.8%4.1%2.5%0.40.71.1%201910.6%3.7%2.3%2.94.61.8%2020.1-31.0%5.0%3.0%0.81.43.2%全区间6.2%5.5%13.6%1.10.52.8%1.1 股债20/80再平衡策略资料来源：Wind，海通证券研究所5请务必阅读正文之后的信息披露和法律声明使用重抽样方法进一步分析组合收益风险特征。股票资产债券资产年化收益率年化波动率VaR（0.95）CVaR（0.95）最大回撤夏普比率沪深300中债国债总财富7.27%6.60%-2.68%-3.70%11.27%1.10沪深300中债企业债总财富6.93%

6、6.73%-2.68%-3.70%11.29%1.03沪深300中债总财富7.27%6.49%-2.63%-3.65%11.00%1.12上证50中债国债总财富7.00%6.72%-2.66%-3.73%11.63%1.04上证50中债企业债总财富6.68%6.85%-2.66%-3.74%11.64%0.98上证50中债总财富7.00%6.60%-2.61%-3.69%11.36%1.06中证500中债国债总财富8.20%7.25%-2.88%-4.01%12.15%1.13中证500中债企业债总财富7.88%7.40%-2.88%-4.01%12.15%1.06中证500中债总财富8.20

7、%7.15%-2.84%-3.97%11.90%1.15对股票和债券月收益率序列进行10万次重抽样，得到各组合的收益风险特征如下所示。表：股债20/80再平衡策略收益风险特征（重抽样）1.2 目标风险策略目标波动率策略维持股债20/80的配比，调整杠杆使得组合事前波动率与目标波动率相匹配。股票和债券的比例分别为20%和80%，股票资产为沪深300指数，债券资产为中债总财 富指数，使用过去242个交易日的数据估计协方差矩阵，目标波动率为年化5%。图：目标波动率策略（调整杠杆）净值表：目标波动率策略（调整杠杆）收益风 险特征收益率年化波动率最大回撤夏普比率calmar比率月均换手率200623.5

8、%5.5%4.0%4.36.017.3%200719.4%6.7%3.4%3.05.88.8%2008-3.5%5.6%8.0%-0.6-0.45.0%20098.9%3.9%2.9%2.33.14.8%2010-0.3%4.6%3.9%-0.1-0.17.6%2011-1.5%4.4%4.9%-0.3-0.34.6%20124.4%4.8%5.3%0.90.85.3%2013-3.9%5.5%7.7%-0.7-0.58.8%201424.5%5.5%1.6%4.515.26.8%20158.8%6.8%7.6%1.31.212.1%2016-0.4%3.4%4.3%-0.1-0.18.8%2

9、0172.6%3.9%3.9%0.70.714.0%20180.3%6.7%5.4%0.00.121.7%201912.3%4.3%2.6%2.84.77.3%2020.1-31.0%6.9%4.2%0.61.08.6%全区间6.4%5.3%8.3%1.20.89.5%-9%资料来源：Wind，海通证券研究所6请务必阅读正文之后的信息披露和法律声明-8%-7%-1%0%1.01.21.42.2-2%-3%2.0-4%1.8-5%1.6-6%2.42.6200601042006052520060927200702092007062820071107200803202008072920081209

10、200904232009083120100112201005262010101320110223201107042011111420120327201208072012121720130508201309132014012820140613201410242015030920150715201511262016040820160816201612282017051520170919201801302018061520181029201903122019072220191202回撤（右轴）策略净值1.2 目标风险策略均值方差模型在Markowitz均值-方差模型中添加波动率约束，最大化预期收益。

11、使用过去242个交易日的数据估计协方差 矩阵，目标波动率为年化5%，优化求解得 到权重。图：均值方差策略净值表：均值方差策略收益风险特征收益率年化波动率最大回撤夏普比率calmar比率月均换手率200624.1%5.6%3.8%4.46.411.0%200718.2%6.7%3.7%2.85.04.9%20081.4%5.9%7.6%0.20.22.9%20096.3%3.6%2.4%1.72.71.4%20100.3%4.6%3.8%0.10.12.6%2011-1.8%4.4%4.8%-0.4-0.41.9%20124.8%4.9%5.1%1.00.92.8%2013-3.5%5.4%7.

12、0%-0.7-0.52.1%201423.7%5.5%1.6%4.314.52.1%201510.3%6.8%7.2%1.61.53.9%20160.1%3.4%4.0%0.00.01.9%20177.4%4.5%2.9%1.72.54.7%2018-3.2%7.0%9.1%-0.5-0.43.4%201911.9%4.4%2.7%2.74.52.8%2020.1-30.1%7.1%4.1%0.00.13.5%全区间6.6%5.4%9.1%1.20.73.5% . . = = 0-9%-10%资料来源：Wind，海通证券研究所7请务必阅读正文之后的信息披露和法律声明0%-1%-2%-3%-4%

13、-5%-6%-7%-8%1.01.22.82.62.42.22.01.81.61.4200601042006052520060927200702092007062820071107200803202008072920081209200904232009083120100112201005262010101320110223201107042011111420120327201208072012121720130508201309132014012820140613201410242015030920150715201511262016040820160816201612282017051520

14、170919201801302018061520181029201903122019072220191202回撤（右轴）策略净值1.2 目标风险策略波动率平价与风险平价波动率平价与风险平价的核心思想是将风险平均配给每一项资产。表：风险平价策略收益风险特征收益率年化波动率最大回撤夏普比率calmar比率月均换手率200610.3%2.5%2.0%4.25.310.2%20072.5%2.1%2.3%1.21.11.8%200810.6%3.6%3.0%3.03.61.5%20094.1%2.8%2.3%1.51.81.6%20101.3%1.8%3.2%0.80.41.1%20113.3%2.0

15、%1.7%1.62.00.9%20122.8%1.6%1.8%1.81.61.0%2013-2.1%2.0%4.9%-1.1-0.41.1%201416.1%2.9%0.9%5.617.40.9%20158.9%3.4%2.8%2.63.21.8%20160.8%2.1%4.1%0.40.20.6%20171.8%2.0%2.1%0.90.91.9%20186.1%2.2%1.4%2.84.52.0%20196.6%1.5%1.1%4.46.31.0%2020.1-32.6%2.1%1.4%5.57.91.2%全区间5.2%2.4%5.1%2.21.01.9%-6%0%-1%-2%-3%-4%

16、-5%2.01.91.81.71.61.51.41.31.21.11.0200601042006060620061026200703222007081320080104200805302008102320090318200908062009122920100525201010222011031620110804201112272012052820121018201303142013080820140102201405292014102220150317201508042015122820160523201610182017031020170801201712212018052120181012

17、回撤（右轴）策略净值 = = = , = 0图：风险平价策略净值 ,. . = 0资料来源：Wind，海通证券研究所8请务必阅读正文之后的信息披露和法律声明1.2 目标风险策略风险预算策略相比于风险平价策略，风险预算策略在风险分配上更加灵活。图：风险预算策略净值表：风险预算策略收益风险特征 = = = 0 0股1:债1股2:债1股3:债1股4:债1股5:债1年化收益率5.23%5.65%5.95%6.18%6.38%年化波动率2.42%2.88%3.26%3.58%3.86%最大回撤5.13%5.26%5.43%6.30%7.04%夏普比率2.161.961.821.731.65calmar比

18、率1.021.071.100.980.91换手率1.94%2.42%2.77%3.05%3.28%股6:债1股7:债1股8:债1股9:债1年化收益率6.55%6.70%6.83%6.95%年化波动率4.11%4.33%4.54%4.73%最大回撤7.68%8.25%8.76%9.23%夏普比率1.591.551.511.47calmar比率0.850.810.780.75换手率3.48%3.65%3.81%3.95% ; = =. . = = 0 02.22.01.81.61.41.21.0资料来源：Wind，海通证券研究所9请务必阅读正文之后的信息披露和法律声明2.62.42.8200601

19、0420060530200610122007030120070716200711282008041620080827200901142009060420091020201003052010072020101207201104262011090520120130201206132012102920130318201308052013122020140512201409192015020520150625201511112016032820160809201612262017051620170925201802082018070220181115201904032019081620200102 股

20、1:债1 股2:债1 股3:债1 股4:债1 股5:债1股6:债1股7:债1股8:债1股9:债110请务必阅读正文之后的信息披露和法律声明资料来源：AQR，海通证券研究所1.3 股债择时策略宏观动量模型参考AQR研究报告，从经济增长、通货膨胀、汇率、流动性、风险情绪五个维度对资产打分。在每一大类因子中，综合回归系数t值和单变量择时信息比率、胜率等，挑选2-3个小类因子，汇 总得到各类资产的择时指标库。每个维度的各个子变量的信号相加，得到该维度的总信号（1、0）；五个维度的信号相加得 最终信号，大于0买入，等于0空仓，小于0做空（空仓）。表：股票择时指标库大类因子小类因子影响方向经济增长官方制造

21、业PMI1财新制造业PMI1通货膨胀PPI 当月同比-1PPI 预期误差-1汇率CFETS人民币汇率指数1美元中间价-1利率中债企业债到期收益率(AA):1个月-1中债国开债到期收益率:10年1风险情绪wind全A前一个月收益率1wind全A 120日滚动波动率-1表：债券择时指标库大类因子小类因子影响方向经济增长官方制造业PMI-1官方制造业PMI预期误差-1工业增加值预期误差-1通货膨胀CRB指数-1CPI当月同比-1汇率CFETS人民币汇率指数1美元中间价-1利率中债国债到期收益率:2年-1中债国债到期收益率:5年-1中债国债到期收益率:10年-1风险情绪wind全A前一个月收益率-1w

22、ind全A 120日滚动波动率111请务必阅读正文之后的信息披露和法律声明资料来源：Wind，Bloomberg，海通证券研究所1.3 股债择时策略宏观动量模型表：中债国债总净价指数择时收益风险特征161412108642010090807060504030201002006120120070423200709062008012420080616200810312009032020090804200912212010051120100927201102182011070520111121201204122012082420130114201306062013102920140317201407

23、302014121620150507201509182016020420160627201611142017033120170816201801022018052420181011201902282019071620191202多空多头（右轴）基准（右轴）图：中债国债总净价指数择时策略净值1.71.61.51.41.31.21.11.00.90.820061201200704162007082320080103200805162008091920090206200906162009102620100305201007142010112520110408201108122011122220120

24、510201209122013012420130614201310252014030620140714201411212015040320150810201512212016050320160906201701182017060520171012201802142018070220181109201903222019073120191210多空多头基准多空多头基准收益率39.99%22.17%5.84%年化波动率24.46%19.15%27.55%最大回撤26.26%30.20%72.30%夏普比率1.631.160.21calmar比率1.520.730.08图：沪深300择时策略净值表：沪

25、深300择时收益风险特征多空多头基准收益率3.40%2.16%0.47%年化波动率2.19%1.79%2.30%最大回撤3.47%3.24%12.39%夏普比率1.551.210.20calmar比率0.980.670.041.4 加入择时的股债混合策略策略1：仅根据股票择时信号调整仓位，若看多（看空），则股票仓位上调（下调）10%，债券仓位下调（上调）10%。策略2： 同时根据股票和债券信号调整仓位，引入现金资产。2006年以来，策略1年化收益率9.62%，夏普比率和calmar比率分别为1.49和1.02；策 略2年化收益率8.60%，夏普比率和calmar比率分别为1.49和1.00。表

26、：策略2股债仓位调整方案图：加入择时的股债20/80再平衡策略表现信号方向股票债券现金股票正向，债券正向20%80%0%股票正向，债券中性25%75%0%股票正向，债券负向30%70%0%股票中性，债券正向15%85%0%股票中性，债券中性20%80%0%股票中性，债券负向20%70%10%股票负向，债券正向10%90%0%股票负向，债券中性10%80%10%股票负向，债券负向10%70%20%-10%资料来源：Wind，海通证券研究所12请务必阅读正文之后的信息披露和法律声明-8%-6%-4%-2%0%1.02.01.52.53.03.54.0200601042006060120061018

27、20070309200707262007121220080506200809172009021220090630200911172010040720100823201101132011060720111025201203142012080120121218201305162013100920140226201407142014120120150422201509072016012520160616201611042017032420170810201712272018052220181010201902282019071720191204策略1回撤（右轴）策略1策略23.02.82.62.42

28、.22.01.81.61.41.21.02006010420060530200610122007030120070716200711282008041620080827200901142009060420091020201003052010072020101207201104262011090520120130201206132012102920130318201308052013122020140512201409192015020520150625201511112016032820160809201612262017051620170925201802082018070220181115

29、2019040320190816202001021.01.52.02.53.04.05.01.4 加入择时的股债混合策略将择时观点融入风险平价策略，提高组合的收益风险比。初始股债风险预算为1:1， 定义风险预算调整系数，股票择时信号为正向，则股债风2222险预算为(1)1/ 1 (1)1/；股票择时信号为负向，则股债风险预算为(1) 1 (1)；股资料来源：Wind，海通证券研究所13请务必阅读正文之后的信息披露和法律声明票择时信号为中性，则股债风险预算维持1:1不变。图：不同下的风险平价+宏观择时策略表：风险平价+宏观择时策略收益风险特征 净值1.01.52.02.53.04.05.0年化收

30、益率5.23%5.78%6.18%6.49%6.74%7.16%7.50%年化波动率2.42%2.56%2.73%2.90%3.06%3.34%3.60%最大回撤5.13%5.10%5.08%5.08%5.10%5.15%5.19%夏普比率2.162.252.262.242.212.142.09calmar比率1.021.131.221.281.321.391.45换手率1.94%3.52%5.05%6.23%7.20%8.72%9.81%请务必阅读正文之后的信息披露和法律声明资料来源：海通证券研究所1.5 股债增强策略指数增强策略风格行为财务预期行业预期收益规模价值收益率换手率波动率盈利能力

31、盈利质量盈利增长14预期净利润行业轮动策略指数增强策略构建基本流程如下所示。收益预测模型：估计因子溢价，获得股票预期收益；风险管理模型：约束组合与业绩基准之间的偏离；组合权重优化：在既定约束下，最大化组合的预期收益。图：选股因子分类1.5 股债增强策略指数增强策略图：沪深300增强策略净值图：中证500增强策略净值4.54.03.53.02.52.01.51.00.54321065720100601201009132010123120110421201108022011111720120306201206202012092820130117201305102013082220131210201

32、403272014071020141027201502052015052620150907201512222016040820160721201611082017022320170609201709182018010320180423201808032018112020190308201906242019100920200117增强组合沪深300增强组合/沪深300（右轴）表：指数增强策略收益风险特征沪深300增强策略中证500增强策略超额收益率超额收益波动信息比率超额收益率超额收益波动信息比率201019.06%4.48%5.8717.10%4.42%5.02201110.63%3.61%3

33、.6011.63%3.60%4.44201217.06%3.95%3.6323.12%3.61%5.67201315.60%5.25%2.9729.30%4.11%5.5320149.89%4.99%1.2521.22%4.56%3.07201527.79%7.47%3.1978.38%9.69%4.80201613.02%4.19%3.3128.29%4.55%6.57201715.52%3.61%3.3018.87%4.45%3.86201810.44%4.65%2.8013.51%5.63%3.2520199.35%4.05%1.5815.49%5.14%2.142020.1-36.23

34、%5.30%5.410.02%5.69%0.15全区间15.79%4.78%2.9923.86%5.33%4.009.58.57.56.55.54.53.52.51.50.5864201012142010060120100907201012212011040120110711201110202012020120120511201208152012112320130308201306212013092620140107201404182014072520141105201502102015052520150827201512092016032120160628201610102017011220

35、17042620170802201711102018021420180531201809042018121420190328201907082019101720200121增强组合资料来源：Wind，海通证券研究所15请务必阅读正文之后的信息披露和法律声明中证500增强组合/中证500（右轴）1.5 股债增强策略企业债多因子策略企业债多因子策略构建基本流程如下所示。因子选择：动量、价值（估值收益率）和基本面（资产负债率、ROE同比增长率、 净利润同比增长率）。每个月选取复合因子排序前10%的债券构建组合。图：企业债多因子策略净值表：企业债多因子策略收益风险特征1.001.051.101.151

36、.201.21.01.41.81.62.02.220100129201005312010093020110131201105312.01E+0720120131201205312012092820130131201305312013093020140130201405302014093020150130201505292015093020160129201605312016093020170126201705312017092920180131201805312018092820190131201905312019093020200123相对强弱（右轴）企业债多因子组合中债企业债总财富指数资料

37、来源：Wind，海通证券研究所16请务必阅读正文之后的信息披露和法律声明超额收益率超额收益波动信息比率2010.2-122.60%1.89%1.422011-0.19%2.07%-0.1020124.63%1.23%3.4520133.09%0.98%3.0520141.42%1.00%1.272015-1.45%1.23%-1.0920162.95%1.47%1.9320172.73%1.43%1.8420180.63%1.10%0.5420191.38%1.06%1.222020.1-3-0.32%1.06%-1.18全区间1.73%1.41%1.151.5 加入增强策略的股债混合策略-3

38、.5%-4.0%0.0%-0.5%-1.0%-1.5%-2.0%-2.5%-3.0%2.01.91.81.71.61.51.41.31.21.11.0201102012011051620110817201111252012030720120614201209172012122520130410201307192013103020140207201405152014081820141126201503092015061120150916201512242016040520160711201610202017012320170505201708092017111620180226201806042

39、01809052018121420190327201907042019101420200115回撤（右轴）策略净值图：增强策略风险平价+宏观择时策略净值-3.5%-4.0%1.02.20.0%201102012011051620110817201111252012030720120614201209172012122520130410201307192013103020140207201405152014081820141126201503092015061120150916201512242016040520160711201610202017012320170505201708092017

40、111620180226201806042018090520181214201903272019070420191014202001152.0-0.5%-1.0%1.8-1.5%1.6-2.0%1.4-2.5%-3.0%1.2回撤（右轴）策略净值资料来源：Wind，海通证券研究所17请务必阅读正文之后的信息披露和法律声明收益率年化波动率最大回撤夏普比率calmar比率月均换手率20114.20%2.42%2.02%1.912.2917.87%20127.94%2.33%1.60%3.445.005.58%20131.62%2.35%2.94%0.700.564.06%201420.36%3.0

41、1%0.81%6.8025.438.32%201515.22%3.76%3.35%4.114.628.57%20163.15%1.86%3.22%1.720.994.99%20174.50%1.83%1.57%2.492.908.85%20187.67%2.10%1.61%3.704.825.46%20197.58%1.59%1.07%4.797.103.85%2020.1-33.14%1.90%1.11%7.1112.175.16%全区间8.10%2.45%3.35%3.312.427.35%收益率年化波动率最大回撤夏普比率calmar比率月均换手率20114.51%2.00%1.33%2.

42、483.749.95%20126.70%1.54%1.32%4.385.130.97%20130.48%1.87%3.48%0.260.141.14%201416.03%2.28%0.55%7.0829.520.86%201512.84%3.28%2.26%3.975.761.88%20163.20%1.80%3.25%1.801.000.57%20173.40%1.64%1.87%2.101.841.75%20187.20%1.79%1.36%4.085.361.58%20197.25%1.28%0.93%5.697.870.74%2020.1-32.91%1.95%1.32%6.409.4

43、61.01%全区间6.96%2.03%3.48%3.432.002.06%图：增强策略风险平价策略净值表：增强策略风险平价策略收益风险特征表：增强策略风险平价+宏观择时策略收益风险特征1.6 加入另类资产的股债混合策略在股债组合中加入低相关性的黄金可以提高收益风险比。表：股债黄金15/75/10策略收益风险特征（重抽样）股票资产债券资产年化收益率年化波动率VaRCVaR最大回撤夏普比率沪深300中债国债总财富7.24%5.42%-2.10%-2.85%8.31%1.34沪深300中债企业债总财富6.96%5.55%-2.10%-2.88%8.35%1.25沪深300中债总财富7.24%5.29

44、%-2.04%-2.80%8.04%1.37上证50中债国债总财富7.04%5.50%-2.09%-2.88%8.53%1.28上证50中债企业债总财富6.77%5.63%-2.09%-2.91%8.57%1.20上证50中债总财富7.04%5.38%-2.03%-2.83%8.26%1.31中证500中债国债总财富7.95%5.87%-2.25%-3.07%8.89%1.36中证500中债企业债总财富7.67%6.01%-2.25%-3.10%8.94%1.28中证500中债总财富7.95%5.75%-2.19%-3.03%8.65%1.38图：股债黄金15/75/10再平衡策略净值股票、债

45、券、黄金的比例分别为15%、75% 和10%，股票、债券、黄金资产分别为沪深 300指数、中债总财富指数和AU9999合约， 月初再平衡。2006年以来，策略年化收益率为6.09%，夏 普比率和calmar比率分别为1.31和0.53。-14%资料来源：Wind，海通证券研究所18请务必阅读正文之后的信息披露和法律声明-12%0%-2%-4%-6%-8%-10%1.21.02.62.42.22.01.81.61.42006010420060622200611292007051820071025200804072008091020090227200908052010011420100630201

46、012102011052520111103201204182012092120130312201308222014021020140717201412252015060920151119201604292016101320170323201708302018020720180724201901032019061920191127回撤（右轴）策略净值19请务必阅读正文之后的信息披露和法律声明资料来源：Wind，海通证券研究所相关报告：黄金市场概况及多维度择时策略1.6 加入另类资产的股债混合策略根据黄金市场概况及多维度择时策略中的月度模型对黄金择时，若黄金看多，则股、债、黄金初始风险预算为1:1

47、:1，股票择时信号为正向，则股、债、黄金风险预算为(1)1/ 1321: 121；股票择时信号为负向，则股、债、黄金风险预算为(1)1/ 1321 1 131: 1321 1 1313；股票择时信号为中性，则风险预算维持1:1:1不变。若黄金看平或看空，则不配黄金。股债初始风险预算为1:1，配置策略与仅包含股债时 一致。图：风险平价+宏观择时策略净值表：风险平价+宏观择时策略净值收益风险特征收益率年化波动率最大回撤夏普比率calmar比率月均换手率200614.8%3.9%2.9%3.85.221.9%20078.6%3.5%2.4%2.53.66.2%200811.1%4.1%3.1%2.7

48、3.56.8%200910.7%4.8%3.1%2.23.57.1%20102.1%2.2%3.2%1.00.76.4%20112.9%2.9%2.3%1.01.315.5%20123.8%2.6%2.1%1.51.88.1%2013-1.6%2.5%4.9%-0.6-0.38.8%201422.1%4.0%1.3%5.617.014.0%201511.0%4.3%3.7%2.63.014.1%20160.3%2.4%3.9%0.10.114.3%20171.8%2.4%2.0%0.80.917.2%20186.3%2.6%2.6%2.42.425.0%20198.7%2.4%1.4%3.76

49、.313.2%2020.1-33.3%3.4%2.1%4.26.86.6%全区间7.3%3.3%4.9%2.21.512.6%-6%-5%-4%-3%-2%-1%0%1.01.21.41.62.01.82.22.42.62006010420060525200609272007020920070628200711072008032020080729200812092009042320090831201001122010052620101013201102232011070420111114201203272012080720121217201305082013091320140128201406

50、13201410242015030920150715201511262016040820160816201612282017051520170919201801302018061520181029回撤（右轴）策略净值20请务必阅读正文之后的信息披露和法律声明资料来源：Wind，海通证券研究所1.7 加入增强策略和另类资产的股债混合策略表：股债增强+黄金平价风险+宏观择时策略 净值收益风险特征图：股债增强+黄金平价风险+宏观择时策略净值收益率年化波动率最大回撤夏普比率calmar比率月均换手率2011.2-125.26%2.68%1.57%2.173.6820.22%20127.81%2.51%

51、1.20%3.146.587.37%20132.07%2.42%2.63%0.860.8011.77%201420.94%2.98%0.71%7.0729.4812.83%201515.90%3.72%3.35%4.344.8212.44%20162.72%2.16%3.11%1.270.8814.85%20172.75%1.61%1.71%1.731.6310.90%20187.35%1.85%1.04%4.037.1412.26%20198.80%1.93%1.11%4.587.949.90%2020.1-33.68%3.39%1.81%4.718.816.77%全区间8.29%2.55%

52、3.35%3.252.4812.28%-4.0%-3.5%-2.5%-3.0%-2.0%-1.5%-0.5%-1.0%0.0%1.01.21.41.61.82.02.2201102012011051020110805201111092012021420120517201208142012111520130221201305272013082620131129201403052014060520140901201412042015031120150609201509082015121020160315201606152016090920161215201703212017062220170918

53、201712202018032620180627201809212018122620190402201907042019100820200103回撤（右轴）策略净值股票资产为70%沪深300增强策略+30%中证500增强策略。债券资产为70%中债国债总 财富指数+30%企业债多因子策略。仓位调整方案与前文一致。2011年2月以来，策略年化收益率为8.29%，夏普比率和calmar比率分别为3.25和2.48。内容要点：股债混合策略基于衍生品的绝对收益策略股债混合与衍生品复合策略21请务必阅读正文之后的信息披露和法律声明股债混合与衍生品运用22请务必阅读正文之后的信息披露和法律声明资料来源：海通

54、证券研究所2.1 市场中性策略Alpha对冲策略对冲策略回测参数设置如下：股票仓位固定为70%，股指期货空头合约面值与股票组合市值相等。月初调仓，并再平衡股票多头和股指期货空头仓位。股指期货交割日前一天以当日成交均价展期。分别使用当月和当季合约套保。股票组合交易成本为双边千分之三，股指期货当月和当季合约交易 成本分别为双边万分之六和千分之二。Alpha对冲策略是指通过量化的方法筛选出一篮子能大概率战胜市 场指数（具有Alpha）的股票，通过做空对应的股指期货剔除市场 系统性风险（Beta），从而获取稳定收益的一种投资方式。-5.0%-4.0%-3.0%-2.0%-1.0%0.0%1.41.21

55、.61.82.02.22.42010060120100907201012212011040120110711201110202012020120120511201208152012112320130308201306212013092620140107201404182014072520141105201502102015052520150827201512092016032120160628201610102017011220170426201708022017111020180214201805312018090420181214201903282019070820191017202001

56、21对冲当月合约回撤（右轴）对冲当月合约对冲当季合约1.0-6.0%2.1 市场中性策略Alpha对冲策略图：沪深300Alpha对冲组合净值2010060120100913201012312011042120110802201111172012030620120620201209282013011720130510201308222013121020140327201407102014102720150205201505262015090720151222201604082016072120161108201702232017060920170918201801032018042320180

57、80320181120201903082019062420191009202001172.2对冲当月合约2.0对冲当季合约1.81.61.41.21.0资料来源：Wind，海通证券研究所23请务必阅读正文之后的信息披露和法律声明图：沪深300Alpha对冲组合净值（剔除深度贴水时期）2010年6月以来，沪深300组合对冲当月合约的年化收益率为6.71%，夏普比率 和calmar比率分别为1.06和0.41；对冲季月合约的年化收益率为7.05%，夏普 比率和calmar比率分别为1.09和0.42。2015.7-2016.12股指期货深度贴水，Alpha对冲策略回撤较大，难以开展。2.1 市场中

58、性策略Alpha对冲策略资料来源：Wind，海通证券研究所24请务必阅读正文之后的信息披露和法律声明剔除深度贴水时期后，沪深300组合对冲当月合约的年化收益率为 8.58%，夏普比率为1.82；对冲季月合约的年化收益率为8.70%， 夏普比率为1.78。表：沪深300Alpha对冲策略收益风险特征（剔除深度贴水时期）对冲当月合约对冲季月合约收益率年化波动率最大回撤夏普比率calmar比率收益率年化波动率最大回撤夏普比率calmar比率2010.6-1214.73%5.88%1.19%4.5122.4013.32%6.28%1.40%3.8017.04201111.01%4.16%1.97%2.

59、685.6612.43%4.18%1.71%3.027.39201212.46%3.97%1.26%3.179.9812.10%3.92%1.26%3.119.6920138.09%4.82%3.65%1.702.249.60%5.08%3.88%1.912.5020145.05%6.45%4.20%0.791.215.21%6.65%4.61%0.791.14201517.75%6.09%1.75%2.9610.3117.85%6.23%2.14%2.918.4720162.61%0.12%0.00%21.15-2.61%0.12%0.00%21.15-20172.85%3.88%2.56%

60、0.741.132.18%4.07%3.03%0.540.7320184.88%4.83%3.99%1.021.245.20%5.16%4.36%1.021.2120191.66%4.20%3.04%0.400.551.76%4.23%3.10%0.420.572020.1-34.34%5.33%1.70%3.5811.204.32%5.44%1.71%3.4811.04全区间8.58%4.72%4.37%1.821.978.70%4.88%4.88%1.781.7825请务必阅读正文之后的信息披露和法律声明2.2 方向性策略CTA多因子策略图：CTA多因子策略构建流程相关报告：FICC系列研