Snowball Carnival Roundtable: Impact Analysis of Asset Allocation Strategies on Return Stability Amid Bull-Bear Transitions

This Snowball Carnival roundtable discussion focused on core asset allocation strategies during the bull-bear transition phase, emphasizing the critical impact of offensive-defensive balance and rebalancing on long-term return stability. The viewpoints indicate that the outcome of the bull-bear transition phase is determined by asset allocation ratios (balance between offensive/defensive assets) rather than pure directional judgment [1][2][3][4]. Empirical research (Sina Finance’s 2014-2025 Chinese market data) verified this: three strategies (Asset Risk Parity, Macro Factor Risk Parity, All-Weather Strategy) all optimized return stability through rule-based rebalancing mechanisms, with the All-Weather Strategy having a maximum drawdown of only -3.98%, significantly outperforming the traditional 20/80 stock-bond portfolio [5].

The discussion also clarified that the real risk in a bull market is investors breaking through the margin of safety due to emotional expansion [1][2][3][4]. The essence of diversified allocation is to control volatility by diversifying low-correlation assets (stocks, bonds, gold, etc.) rather than pursuing the highest short-term returns [2][3][4]. Jisilu’s domestic backtest results of Harry Browne’s “Permanent Portfolio” support this view—diversified allocation reduces volatility and improves return stability through rebalancing mechanisms [6].

1. Allocation Logic During Bull-Bear Transitions
   : The effectiveness of the offensive-defensive balance strategy lies in avoiding the dilemma of “missing market opportunities by only defending without attacking, or suffering huge losses by only attacking without defending”. Empirical data shows that this strategy can perform stably under different macro scenarios [5].
2. Core Value of Rebalancing
   : Rule-based rebalancing (e.g., regular, valuation-driven) is an effective way to counter subjective emotions. BigQuant research shows that monthly rebalancing performs best after adjusting for returns and risks—it can reduce losses in downward trends and control risk exposure in upward trends [7].
3. Boundaries of Diversified Allocation
   : Diversification can reduce the probability of loss of control, but it cannot completely eliminate risks. It needs to be dynamically adjusted based on investors’ risk tolerance [2][3][4].

• Strategy effectiveness is affected by investors’ risk tolerance and asset pool selection; no single strategy is suitable for all investors [5][6][7].
• Empirical results from historical data do not represent future performance; changes in market environment may affect strategy effectiveness [5][6][7].
• The specific valuation systems of some rebalancing strategies (e.g., temperature-based rebalancing) are not publicly available, requiring investors to verify through practice [1][2][3][4].

• Rule-based rebalancing provides investors with tools to counter emotions, which can improve the stability of long-term investments [5][7].
• The low drawdown characteristics of diversified allocation strategies during bull-bear transitions provide a reference framework for investors pursuing stable returns [5][6].

This analysis integrates viewpoints from the Snowball Carnival roundtable discussion and empirical research data, clarifying that return stability during the bull-bear transition phase is closely related to asset allocation strategies. The core of offensive-defensive balance is the reasonable allocation of offensive/defensive asset ratios, and rebalancing strategies need to reduce subjective mistakes through rule-based mechanisms. Investors should choose strategies based on their own risk tolerance and pay attention to the applicable scope of the strategy and the impact of changes in the market environment.