Jerry Qicheng Cai | 2026 I.S. Symposium

Name: Jerry Qicheng Cai
Title: Constructing a “Chinese All-Weather”Strategy: Risk Parity and Momentum Overlays in Continuous Futures Markets
Majors: Statistical & Data Sciences ; Economics
Advisors: Huiting Tian & Changzhi Ma

This study explores whether the All-Weather asset allocation framework can be applied effectively to China’s continuous futures market. Drawing on equity index, government bond, and commodity futures, it constructs a dynamic Equal Risk Contribution (ERC) portfolio and further enhances it with short-term time-series momentum and dynamic rebalancing. The strategy is backtested over the 2021–2023 period against a traditional 60/40 portfolio. The results indicate that the proposed strategy achieves better risk-adjusted returns and lower drawdowns over the sample period. Specifically, the 60/40 benchmark records a annualized return of -6.16%, a Sharpe ratio of -1.142 and a maximum drawdown of 22.12%, whereas the enhanced All-Weather strategy delivers an annualized return of 10.85%, a Sharpe ratio of 0.617, and a maximum drawdown of 9.36%. Overall, the findings suggest that a risk-parity approach combined with trend-sensitive adjustments may improve downside protection in China’s futures market, though the conclusions should be interpreted with caution given the short back test window.

Posted in Symposium 2026 on May 1, 2026.