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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|---|---|---|---|---|---|---|---|
| 2026-03-09 | 银华日利(511880.SH) | 88.290024909213 | 6841 | 3053 | 100.245 | 685776.05 | 81783.98/13.541% |
| 2026-03-09 | 国债ETF(511010.SH) | 115.66647765398 | 4805 | 3053 | 140.737 | 676241.29 | 120463.86/21.675% |
| 2026-03-09 | 黄金ETF(518880.SH) | 4.1312318926026 | 27400 | 3053 | 10.868 | 297783.2 | 184587.45/163.069% |
| 2026-03-09 | 300ETF(510300.SH) | 3.7007601455684 | 87633 | 3053 | 4.629 | 405653.16 | 81344.44/25.082% |
| 2026-03-06 | 银华日利(511880.SH) | 88.290024909213 | 6841 | 3052 | 100.243 | 685762.36 | 81770.3/13.538% |
| 2026-03-06 | 国债ETF(511010.SH) | 115.66647765398 | 4805 | 3052 | 140.906 | 677053.33 | 121275.9/21.821% |
| 2026-03-06 | 黄金ETF(518880.SH) | 4.1312318926026 | 27400 | 3052 | 10.873 | 297920.2 | 184724.45/163.19% |
| 2026-03-06 | 300ETF(510300.SH) | 3.7007601455684 | 87633 | 3052 | 4.667 | 408983.21 | 84674.5/26.109% |
| 2026-03-05 | 银华日利(511880.SH) | 88.290024909213 | 6841 | 3051 | 100.251 | 685817.09 | 81825.03/13.547% |
| 2026-03-05 | 国债ETF(511010.SH) | 115.66647765398 | 4805 | 3051 | 140.87 | 676880.35 | 121102.92/21.79% |
| 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 |
| 2025-11-03 | 300ETF(510300.SH) | 买 | 3600 | 4.752 | 17107.2 | ¥0.51 | 0 |
| 2025-11-03 | 黄金ETF(518880.SH) | 卖 | -5000 | 8.743 | -43715 | ¥1.31 | 23058.84 |
| 2025-09-23 | 国债ETF(511010.SH) | 买 | 49 | 140.047 | -2 | ¥0 | 0 |
| 2025-09-12 | 黄金ETF(518880.SH) | 卖 | -2200 | 7.932 | -17450.4 | ¥0.52 | 8361.69 |
| 2025-06-20 | 300ETF(510300.SH) | 买 | 22000 | 3.872 | 85184 | ¥2.56 | 0 |
