PHASE 2 / ETF ALLOCATION AND PORTFOLIO STABILIZER
ETF is not here to look heroic. It is here to make the portfolio more holdable.
ETF 不是来当主角的。它的作用，是让整个组合更可持有。
If you only have half a minute, start here: this ETF module is a portfolio stabilizer. It does not compete with Crypto or convertible bonds for the main alpha story. Its value is allocation discipline: using broad equity, Treasury bonds and Gold to reduce drawdown, lower correlation, and make the convertible-bond core easier to hold.
如果只花半分钟看这一页，可以先看这里： ETF 模块是组合稳定器。它不和 Crypto、可转债争主收益叙事。它的价值在于资产配置纪律：用宽基权益、国债和黄金降低回撤、降低相关性，让可转债主策略更容易被长期持有。
| Card | What it tells you | 中文说明 |
|---|---|---|
| Role | 30% stabilizer sleeve beside the convertible-bond core. | 可转债核心旁边的 30% 稳定器。 |
| Design | CSI300, S&P 500, Treasury and Gold; monthly low-frequency rules. | 沪深300、标普500、国债和黄金；月度低频规则。 |
| Evidence | Standalone ETF is restrained; CB + ETF improves drawdown and Calmar. | ETF 单体表现克制；可转债 + ETF 后改善回撤和 Calmar。 |
| Boundary | Top3 momentum, right-side ETF sleeve and short-financing variants stay as archive or observation. | Top3 动量、ETF 右侧袖套和短融变体保留为归档或观察。 |
| Step | Question | Page |
|---|---|---|
| 01 | Why is ETF a stabilizer, not an alpha engine? | 01 / Role Boundary & Research Path |
| 02 | What is ETF Stabilizer, and why is the rule intentionally simple? | 02 / ETF Stabilizer |
| 03 | What evidence supports the stabilizer role, and which variants were archived? | 03 / Evidence & Archived Variants |
01 / Role Boundary & Research Path
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Role first. This page explains why ETF should be judged by portfolio utility rather than standalone alpha. The research begins by defining failure gates and avoiding broad thematic parameter search.
先讲角色。 这一页解释为什么 ETF 要按组合效用评价，而不是按单体 alpha 评价。研究从失败线开始，避免一上来做行业主题和参数大扫荡。