A Complete Framework for Building a Robust Asset Allocation Portfolio

Based on current market data and classic asset allocation theories, I will systematically explain how to build a portfolio that remains robust in different market environments from three dimensions:

.

The key to building a robust portfolio is to clarify the

of each type of asset in the portfolio, rather than requiring each type of asset to perform well at every stage [1].

• Role
  : Responsible for the long-term value appreciation of the portfolio
• Performance Characteristics
  : Performs best during economic booms [2]
• Risk Characteristics
  : Highest volatility, but highest long-term returns
• Current Market
  : In Q4 2025, the S&P 500 index rose by 2.78%, Nasdaq by 2.60%, and Dow Jones by 4.17% [0]

• Role
  : Reduce portfolio volatility and provide defensive protection
• Performance Characteristics
  : Performs best during economic recessions and deflationary periods [2]
• Risk Characteristics
  : Relatively low volatility and low correlation with stocks
• Current Market
  : In Q4 2025, the long-term Treasury ETF (TLT) slightly fell by 1.95%, but its volatility was only 0.55% [0]

• Role
  : Fight inflation and hedge against extreme risks
• Performance Characteristics
  : Performs best during inflationary periods [2]
• Risk Characteristics
  : High volatility, but has safe-haven properties in specific periods
• Current Market
  : In Q4 2025, the Gold ETF (GLD) rose sharply by 11.54%, showing strong performance [0]

• Role
  : Provide liquidity and capture investment opportunities
• Performance Characteristics
  : Cash is king during market tightening periods
• Risk Characteristics
  : Low yield, but highest safety
• Allocation Value
  : Provide funds for bottom-fishing when the market falls

: 25% each of stocks, bonds, gold, and cash

: Do not predict the future; respond to all economic environments through balanced allocation [1][2]

: Investors with low risk tolerance and a pursuit of stability

: According to backtest data (August 2017 to present), this portfolio:

• Cumulative return rate: 56.9%
• Annualized return rate: ~6.01%
• Maximum drawdown: only 7.18%
• Annualized volatility:5.75% [1]

:

• Simple structure, easy to understand
• Low maintenance cost, only needs rebalancing once a year
• Low psychological pressure, easy to stick to long-term

:

• Stocks
  : CSI 300 ETF (20%) + STAR 50 ETF (5%) [1]
• Bonds
  : 10-Year Treasury Bond ETF (25%) [1]
• Gold
  : Gold ETF (25%) [1]
• Cash
  : Money Market Fund ETF (25%) [1]

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: Risk parity, making the of each asset to the portfolio balanced, rather than the capital weight balanced [1]

:

• Allocate assets according to different economic environments (growth up/down, inflation up/down)
• Reduce overall portfolio volatility through low correlation between assets

:

• Theoretically better able to navigate macro cycles
• Better risk-adjusted returns

:

• The A-share market in 2025 faces the problem of “widespread failure of stock-bond rebalancing mechanisms” [1]
• Severe differentiation among industry sectors, significant volatility in Treasury bond prices
• Requires professional management capabilities and dynamic adjustments

:

• Add other low-correlation assets (e.g., REITs, commodity ETFs)
• Reduce leverage usage
• Increase rebalancing frequency to cope with high-volatility markets

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:60% stocks +40% bonds

: Balance growth and stability, adjust dynamically based on market valuations [1]

:

• Conservative Type
  : Increase the weight of fixed-income bonds (e.g.,40/60)
• Aggressive Type
  : Increase the weight of equity assets (e.g.,80/20)
• Valuation Adjustment
  : Increase equity allocation when the average P/E ratio of the Shanghai Composite Index is below15, reduce when above30 [1]

:

• Medium risk tolerance
• Hope to participate in long-term stock market growth but want to control drawdowns

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According to Q4 2025 data [0]:

1. Stock Market
   : The three major U.S. indices all achieved positive growth, but volatility was relatively high (Nasdaq:1.17%)
2. Bond Market
   : Long-term Treasury bonds performed stably but slightly fell, with yields at low levels
3. Commodities
   : Gold performed strongly, with an increase of over11%
4. Sector Differentiation
   : The energy sector performed best (+0.47%), while the healthcare sector performed worst (-0.55%) [0]

According to professional institutions’ views [1]:

1. Bond Allocation
   : Focus on U.S. sovereign bonds and Asian investment-grade bonds
2. Stock Allocation
   : Emphasize regional and sector diversification, focus on domestic demand-oriented enterprises
3. Commodity Allocation
   : Gold and Japanese yen help reduce portfolio risk
4. Cash Allocation
   : Maintain sufficient liquidity to cope with market uncertainty

:

• Essentially a disciplined operation of “selling high and buying low” [1]
• Avoid excessive deviation of an asset’s proportion from the target due to price fluctuations

:

• Time Trigger
  : Check the portfolio once a year [1]
• Threshold Trigger
  : Adjust when the proportion of a single asset exceeds 35% or drops to15% [1]

:

• Sell assets with large gains
• Buy assets with large losses
• Restore to the target allocation ratio

• These strategies are designed for
  long-term (more than 5 years)
  [1]
• Short-term market fluctuations are inevitable; avoid frequent position adjustments due to emotions
• Historical data shows that long-term holding can achieve stable returns

[1]:

• The lower the product management fee rate, the better
• Minimize transaction frequency
• Avoid operations when an asset’s proportion exceeds 25% but is less than35% to save taxes and transaction fees

: All enter cash assets; trigger rebalancing when the cash proportion exceeds 35% [1]

: First allocate cash to25%, then add the remaining funds to the worst-performing asset in the portfolio until its proportion reaches 25% [1]

[1]:

• Only applicable to mature and stable market environments
• Cannot cope with the Great Depression or war eras
• May lag behind pure stock strategies in bull markets
• Gold does not generate dividends or interest, and its value fluctuates greatly

[1]:

• Faces the challenge of rising stock-bond correlation in the A-share market
• The allocation of gold assets has a significant impact on performance
• Requires continuous professional management and dynamic adjustments

:

• Require every asset to perform well at all stages
• Overly focus on short-term performance and ignore long-term goals
• Frequently adjust allocation during market fluctuations

:

• Understand the specific role of each asset in the portfolio
• Accept that “there is always one type of asset performing poorly” is a normal phenomenon
• Focus on the overall portfolio performance rather than a single asset

:

• Age Factor
  : Young investors can appropriately increase the proportion of stocks
• Risk Tolerance
  : High-risk preference investors can increase equity allocation
• Investment Term
  : Short-term funds should increase the proportion of cash and bonds
• Income Stability
  : Investors with unstable income should maintain higher liquidity

: Do not try to predict the future; instead, build a portfolio that can应对各种可能性.

:

1. Asset Diversification
   : Hold low-correlation assets to reduce overall portfolio risk
2. Discipline
   : Strictly implement rebalancing rules and avoid emotional decisions
3. Long-Term Perspective
   : Accept short-term fluctuations and focus on long-term goals
4. Cost Awareness
   : Reduce transaction costs and management fees
5. Personalization
   : Adjust allocation ratios according to one’s own situation

: Build a portfolio that can participate in long-term growth, control drawdowns, and allow you to remain composed amid market fluctuations.

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[0] Jinling API Data - Market indices, Gold ETF, Long-term Treasury Bond ETF data
[1] Online search results:

• “Classic Asset Allocation Strategies”, Caifuhao, December 25, 2025
• “Are All-Weather Strategy Products Still Attractive? Localization Transformation is the Key to Breaking the Deadlock”, Securities Times
• “From 0 to 1: How to Build a ‘Permanent Portfolio’?”, Xueqiu Finance
• “In-Depth Understanding of Harry Browne’s Permanent Portfolio”, re: Tang
• “2025 Q2 Asset Allocation Strategy”, Hang Seng Bank
• “Wealth Management Market Outlook: Steady Growth in Scale, Asset Allocation Meets Adjustments”, Economic Information Daily