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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|---|---|---|---|---|---|---|---|
| 2025-08-11 | 银华日利(511880.SH) | 89.140411286797 | 6663 | 2917 | 100.774 | 671457.16 | 77514.6/13.051% |
| 2025-08-11 | 国债ETF(511010.SH) | 117.40123048741 | 4734 | 2917 | 141.341 | 669108.29 | 113330.87/20.391% |
| 2025-08-11 | 黄金ETF(518880.SH) | 4.1316256401291 | 38300 | 2917 | 7.429 | 284530.7 | 126289.44/79.808% |
| 2025-08-11 | 300ETF(510300.SH) | 3.6424891605736 | 74800 | 2917 | 4.202 | 314309.6 | 41851.41/15.361% |
| 2025-08-08 | 银华日利(511880.SH) | 89.140411286797 | 6663 | 2916 | 100.78 | 671497.14 | 77554.58/13.058% |
| 2025-08-08 | 国债ETF(511010.SH) | 117.40123048741 | 4734 | 2916 | 141.508 | 669898.87 | 114121.45/20.534% |
| 2025-08-08 | 黄金ETF(518880.SH) | 4.1316256401291 | 38300 | 2916 | 7.508 | 287556.4 | 129315.14/81.72% |
| 2025-08-08 | 300ETF(510300.SH) | 3.6424891605736 | 74800 | 2916 | 4.183 | 312888.4 | 40430.21/14.839% |
| 2025-08-07 | 银华日利(511880.SH) | 89.140411286797 | 6663 | 2915 | 100.776 | 671470.49 | 77527.93/13.053% |
| 2025-08-07 | 国债ETF(511010.SH) | 117.40123048741 | 4734 | 2915 | 141.451 | 669629.03 | 113851.61/20.485% |
| 2025-06-20 | 300ETF(510300.SH) | 买 | 24500 | 3.872 | 94864 | ¥2.85 | 0 |
| 2025-06-18 | 300ETF(510300.SH) | 买 | 1109 | 3.901 | -2.6 | ¥0 | 0 |
| 2025-05-08 | 黄金ETF(518880.SH) | 卖 | -21300 | 7.679 | -163562.7 | ¥4.91 | 75559.07 |
| 2025-05-08 | 国债ETF(511010.SH) | 买 | 200 | 141.272 | 28254.4 | ¥0.85 | 0 |
| 2025-05-08 | 银华日利(511880.SH) | 买 | 400 | 100.492 | 40196.8 | ¥1.21 | 0 |
| 2025-03-21 | 300ETF(510300.SH) | 卖 | -4000 | 4.063 | -16252 | ¥0.49 | 1811.04 |
| 2025-03-21 | 黄金ETF(518880.SH) | 买 | 2400 | 6.808 | 16339.2 | ¥0.49 | 0 |
| 2025-02-07 | 黄金ETF(518880.SH) | 买 | 700 | 6.43 | 4501 | ¥0.14 | 0 |
| 2024-12-31 | 银华日利(511880.SH) | 买 | 95 | 100.061 | -66.94 | ¥0 | 0 |
| 2024-12-18 | 300ETF(510300.SH) | 卖 | -4400 | 4.02 | -17688 | ¥0.53 | 1802.94 |
