02 / ETF STABILIZER
This page records the sealed ETF sleeve: simple enough to execute, defensive enough to stabilize, and modest enough not to be oversold.
这一页记录 ETF 封板模块：规则足够简单，可以执行；结构足够防守，可以稳定组合；表达也保持克制，不把它夸成主收益策略。
ETF Stabilizer is a monthly allocation sleeve. It keeps a simple base allocation across A-share equity, overseas equity, Treasury and Gold, then only switches the two equity sleeves when their medium-term trend becomes weak.
ETF 稳定器是一个月频配置模块。它保留 A 股权益、海外权益、国债和黄金的基础配置，只在两个权益仓位中期趋势转弱时降低权益暴露。
| Item | English | 中文说明 |
|---|---|---|
| Portfolio role | 30% stabilizer sleeve for the convertible-bond core. | 可转债核心旁边的 30% 稳定器。 |
| Normal ETF mix | CSI300 20%, S&P 500 20%, Treasury 40%, Gold 20%. | 沪深300 20%、标普500 20%、国债 40%、黄金 20%。 |
| Frequency | Monthly signal; execute on the next available trading day. | 月末检查信号，下一个可交易日执行。 |
| Equity switch | Hold an equity ETF only when 12M return is positive and price is above its 12M moving average. | 权益 ETF 只有在 12M 收益为正且价格高于 12M 均线时才持有。 |
| Fallback | A failed 20% equity sleeve moves to 80% Treasury and 20% Gold. | 失败的 20% 权益仓位转入 80% 国债和 20% 黄金。 |
| Premium filter | S&P 500 ETF must stay within a 5% absolute premium / discount band. | 标普500 ETF 需要通过 5% 绝对折溢价过滤。 |
| Cost assumption | 30bps execution-cost stress in portfolio validation. | 组合验证使用 30bps 成本压力口径。 |
| State | ETF sleeve weights | 中文说明 |
|---|---|---|
| Both equities pass | CSI300 20% + S&P 500 20% + Treasury 40% + Gold 20% | 两个权益仓位都通过，保持正常 20/20/40/20。 |
| One equity fails | Passing equity 20% + Treasury 56% + Gold 24% | 一个权益仓位失败，对应资金转入国债和黄金。 |
| Both equities fail | Treasury 72% + Gold 28% | 两个权益仓位都失败，组合进入更防守状态。 |
ETF Stabilizer is not designed to maximize standalone return. In the strict close-price, 30bps, premium-filtered view, it gives up some CAGR versus a 40% equity buy-and-hold baseline, but it materially reduces drawdown and improves Calmar.
ETF 稳定器不是为了最大化单体收益。在 close、30bps、折溢价过滤的严格口径下，它相对 40% 权益买入持有牺牲了一点 CAGR，但显著降低回撤，并提高 Calmar。
| Strategy | CAGR | MDD | Calmar | Interpretation |
|---|---|---|---|---|
| ETF Stabilizer | 6.91% | -10.59% | 0.65 | Current sealed sleeve; restrained and explainable. |
| Treasury fallback | 6.51% | -10.59% | 0.61 | Earlier defensive version; simpler but slightly weaker path. |
| BuyHold core equity 40 | 7.29% | -16.04% | 0.45 | Higher standalone return, but worse stabilizer profile. |