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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|---|---|---|---|---|---|---|---|
| 2026-05-15 | 银华日利(511880.SH) | 89.10646511428 | 7341 | 3098 | 100.455 | 737440.16 | 83309.59/12.736% |
| 2026-05-15 | 国债ETF(511010.SH) | 117.1265049995 | 5226 | 3098 | 141.074 | 737252.72 | 125149.61/20.446% |
| 2026-05-15 | 黄金ETF(518880.SH) | 4.1312318926026 | 15000 | 3098 | 9.554 | 143310 | 81341.52/131.263% |
| 2026-05-15 | 300ETF(510300.SH) | 3.7856157359307 | 96533 | 3098 | 4.878 | 470887.97 | 105451.13/28.856% |
| 2026-05-14 | 银华日利(511880.SH) | 89.10646511428 | 7341 | 3097 | 100.437 | 737308.02 | 83177.46/12.716% |
| 2026-05-14 | 国债ETF(511010.SH) | 117.1265049995 | 5226 | 3097 | 141.011 | 736923.49 | 124820.37/20.392% |
| 2026-05-14 | 黄金ETF(518880.SH) | 4.1312318926026 | 15000 | 3097 | 9.795 | 146925 | 84956.52/137.096% |
| 2026-05-14 | 300ETF(510300.SH) | 3.7856157359307 | 96533 | 3097 | 4.941 | 476969.55 | 111532.71/30.52% |
| 2026-05-13 | 银华日利(511880.SH) | 89.10646511428 | 7341 | 3096 | 100.431 | 737263.97 | 83133.41/12.709% |
| 2026-05-13 | 国债ETF(511010.SH) | 117.1265049995 | 5226 | 3096 | 140.999 | 736860.77 | 124757.66/20.382% |
| 2026-05-06 | 黄金ETF(518880.SH) | 卖 | -1000 | 9.698 | -9698 | ¥0.29 | 5566.77 |
| 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 |
