策略解读 这是一个基于桥水全天候策略理念的**风险平价(Risk Parity)**策略： 核心逻辑 1. **资产类别配置**：股票ETF、商品ETF、债券ETF、货币基金 2. **风险度量**：使用ES(Expected Shortfall)预期损失衡量各资产风险 3. **权重分配**：各资产承担相同风险贡献，而非相同资金权重 4. **调仓条件**：30天周期调仓或资产价格变化超过15%时触发 算法步骤 - 计算各资产120天历史收益率ES值(95%置信度) - 按最大ES/各资产ES比例分配资金权重 - 实现风险均等化的资产配置
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当日收盘价 | 当日市值 | 浮动收益/浮动收益率
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|---|---|---|---|---|---|---|---|
| 2026-03-31 | 银华日利(511880.SH) | 89.10646511428 | 7341 | 3069 | 100.312 | 736390.39 | 82259.83/12.575% |
| 2026-03-31 | 国债ETF(511010.SH) | 117.1265049995 | 5226 | 3069 | 140.504 | 734273.9 | 122170.79/19.959% |
| 2026-03-31 | 黄金ETF(518880.SH) | 4.1312318926026 | 16000 | 3069 | 9.699 | 155184 | 89084.29/134.773% |
| 2026-03-31 | 300ETF(510300.SH) | 3.7856157359307 | 96533 | 3069 | 4.463 | 430826.78 | 65389.94/17.894% |
| 2026-03-30 | 银华日利(511880.SH) | 89.10646511428 | 7341 | 3068 | 100.296 | 736272.94 | 82142.38/12.557% |
| 2026-03-30 | 国债ETF(511010.SH) | 117.1265049995 | 5226 | 3068 | 140.464 | 734064.86 | 121961.75/19.925% |
| 2026-03-30 | 黄金ETF(518880.SH) | 4.1312318926026 | 16000 | 3068 | 9.656 | 154496 | 88396.29/133.732% |
| 2026-03-30 | 300ETF(510300.SH) | 3.7856157359307 | 96533 | 3068 | 4.5 | 434398.5 | 68961.66/18.871% |
| 2026-03-27 | 银华日利(511880.SH) | 89.10646511428 | 7341 | 3067 | 100.296 | 736272.94 | 82142.38/12.557% |
| 2026-03-27 | 国债ETF(511010.SH) | 117.1265049995 | 5226 | 3067 | 140.376 | 733604.98 | 121501.86/19.85% |
| 2026-03-25 | 国债ETF(511010.SH) | 买 | 21 | 140.193 | -28 | ¥0 | 0 |
| 2026-03-19 | 300ETF(510300.SH) | 买 | 8900 | 4.621 | 41126.9 | ¥1.23 | 0 |
| 2026-03-19 | 黄金ETF(518880.SH) | 卖 | -11400 | 10.283 | -117226.2 | ¥3.52 | 70130.16 |
| 2026-03-19 | 国债ETF(511010.SH) | 买 | 400 | 140.81 | 56324 | ¥1.69 | 0 |
| 2026-03-19 | 银华日利(511880.SH) | 买 | 500 | 100.274 | 50137 | ¥1.5 | 0 |
| 2026-01-28 | 黄金ETF(518880.SH) | 卖 | -3700 | 11.11 | -41107 | ¥1.23 | 25821.44 |
| 2026-01-19 | 300ETF(510300.SH) | 买 | 2218 | 4.736 | -1.6 | ¥0 | 0 |
| 2025-12-31 | 银华日利(511880.SH) | 买 | 78 | 100.037 | -8.38 | ¥0 | 0 |
| 2025-12-26 | 国债ETF(511010.SH) | 买 | 22 | 140.193 | -43.84 | ¥0 | 0 |
| 2025-12-15 | 300ETF(510300.SH) | 买 | 9400 | 4.674 | 43935.6 | ¥1.32 | 0 |
