On December 1, under the guidance of the Asset Management Association of China, DFH Asset Management continued its "One Firm, One Province, One University" investor education program at the School of Management, Fudan University. The fourth session of the sixth "DFH Fixed Income Practical Course" was successfully conducted.

The lecture was delivered by Yu Jianfeng, Fund Manager of the Absolute Return Investment Department at DFH Asset Management. As a highly regarded instructor who has participated in teaching for three consecutive years, he systematically analyzed how to construct resilient investment portfolios through meticulous risk management, under the theme "Risk Management and Quantitative Asset Allocation."

At the outset, Yu highlighted a core challenge in investment practice: accurately predicting future asset returns is extremely difficult, whereas forecasting risks is more feasible. By analyzing historical data charts of major asset classes such as stocks, bonds, and commodities, he pointed out that short-term volatility exhibits a clear "clustering" effect, where current volatility serves as an indicator for future trends. He emphasized that successful investing stems not from blindly chasing returns but from a profound understanding of risks and effective volatility management.

Yu further integrated theoretical frameworks with practical applications, reviewing the evolution of asset pricing models from Markowitz's portfolio theory to the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT). He stressed that asset pricing models provide the foundation for understanding asset value, while the essence of asset allocation lies in comparing the risk-return characteristics of different assets. In practice, mature frameworks for large institutional investors typically include two levels: Strategic Asset Allocation (SAA) and Tactical Asset Allocation (TAA). SAA focuses on long-term economic equilibrium and liability objectives, while TAA involves active deviations from this benchmark based on judgments about the business cycle, aiming to achieve excess returns by taking controlled risks.

Yu noted that real-time forecasting of macroeconomic indicators is one of the most critical aspects of macro research. The Nowcast model, based on dynamic factor models, is often used to monitor and predict macroeconomic indicators. This model synthesizes relatively high-frequency real-time data (e.g., monthly indicators) to forecast important but low-frequency or lagging economic variables (e.g., GDP growth, inflation), providing data support for tactical adjustments. In asset allocation, target risk optimization can be applied to adjust equity and bond allocations, while managing risk premiums across sectors can generate excess returns beyond traditional beta.

In closing, Yu reiterated the importance of "risk diversification" in asset allocation. He explained that whether in macroeconomic analysis or style portfolio selection, the core objective of a top-down asset allocation system is to achieve superior risk dispersion and management. During discussions with students, he encouraged them to apply rigorous academic thinking to investment practice, continuously learning and iterating to build their own risk management frameworks in an uncertain market.

Moving forward, DFH Asset Management remains committed to its investor education mission, deepening university-enterprise collaboration and enriching the content and format of the "One Firm, One Province, One University" program to advance the development of inclusive finance.

Risk Disclosure: Investments involve risks. Investors should exercise caution.