Group 1 - The Federal Reserve maintained the federal funds rate target range at 4.25% to 4.5% and will continue with its balance sheet reduction, aligning with market expectations [2][7] - The European Central Bank lowered key interest rates by 25 basis points, marking the fifth rate cut since June 2024, due to ongoing economic weakness in the Eurozone [8] - The U.S. announced a 10% tariff on Chinese goods, prompting retaliatory measures from China, which will impose tariffs on U.S. imports including coal and LNG [3][10] Group 2 - Hong Kong stocks led global gains while U.S. tech stocks experienced significant pullbacks, influenced by the rapid rise of the DeepSeek model from a Chinese company [11] - During the Spring Festival, domestic travel surged with 501 million trips taken, a 5.9% increase year-on-year, and total spending reached 677 billion yuan, up 7% [4][12] - The Spring Festival box office reached 9.712 billion yuan, setting a new record and increasing by 21% compared to 2024 [4][12] Group 3 - The manufacturing PMI for January fell to 49.1%, indicating a slowdown in production activity, with various sub-indices showing declines [16][17] - Despite exceeding expectations for Q4 GDP, market sentiment remains low, with investors showing reduced enthusiasm for fundamental pricing [18] - The report suggests that investors should consider participating in the "spring rally" focusing on sectors like technology growth and new consumption [20]

Investment Rating - The report does not explicitly provide an investment rating for the banking wealth management industry Core Insights - The banking wealth management market has shown steady growth, with the total scale reaching 29.95 trillion yuan by the end of 2024, an increase of 11.75% from the beginning of the year [10][3] - The average yield of wealth management products is stable at 2.65%, generating a total return of 709.9 billion yuan for investors, which is a 1.69% increase year-on-year [10][3] - The issuance of non-principal guaranteed wealth management products increased by 1% year-on-year and 13.6% month-on-month in December 2024, with a total of 2,933 products issued [18][4] - Target return wealth management products have seen significant growth, with 248 products issued in 2024, a year-on-year increase of 170%, and a total scale of approximately 40 billion yuan, up 253% [6][4] Summary by Sections Regulatory Policies and Asset Management Market News - By the end of 2024, there were 218 banking institutions and 31 wealth management companies with active products, totaling 40,300 products [10][3] - The asset allocation of wealth management products reached 32.13 trillion yuan, a year-on-year increase of 10.56% [10][3] - The leverage ratio of wealth management products is 107.14%, a decrease of 1.17 percentage points from the previous year [10][3] Wealth Management Market Monthly Overview - In December 2024, the issuance of non-principal guaranteed products included 2,756 fixed income products, 46 mixed products, 17 equity products, and 2 commodity and financial derivative products [19][4] - The average performance benchmark for fixed income products decreased by 72 basis points year-on-year, while mixed products saw a decline of 127 basis points [22][4] Wealth Management Subsidiary Products - In December 2024, wealth management subsidiaries issued 1,946 products, with 1,883 being fixed income, 44 mixed, 17 equity, and 2 commodity and derivative products [23][4] - The performance benchmarks for fixed income products varied by duration, with 3 months or less at 2.19%, and over 3 years at 3.22% [25][4] Product Tracking - Target Return Products - The number of target return products has significantly increased, with 238 products remaining active by the end of December 2024, maintaining an average scale of around 150 million yuan per product [6][4]

Investment Rating - The report does not explicitly provide an investment rating for the banking wealth management industry Core Insights - The banking wealth management market showed steady growth, with the total scale reaching 29.95 trillion yuan by the end of 2024, an increase of 11.75% from the beginning of the year [10] - The average yield of wealth management products was 2.65%, generating a total return of 709.9 billion yuan for investors, which is a 1.69% increase year-on-year [10] - The number of non-principal guaranteed wealth management products issued in December 2024 was 2,933, reflecting a year-on-year increase of 1% and a month-on-month increase of 13.6% [18] - Target return wealth management products saw significant growth, with 248 products issued in 2024, a 170% increase year-on-year, and a total scale of approximately 40 billion yuan, up 253% [6] Summary by Sections Regulatory Policies and Asset Management Market News - By the end of 2024, there were 218 banking institutions and 31 wealth management companies with active products, totaling 40,300 products [10] - Financial regulatory authorities issued a notice on December 10, 2024, requiring wealth management subsidiaries to refrain from manipulating product net value fluctuations [12] Wealth Management Market Monthly Overview - The total scale of wealth management products reached 29.95 trillion yuan, with a 10.56% year-on-year growth in investment assets [10] - The proportion of open-ended wealth management products was 80.8%, while closed-end products accounted for 19.2% [11] Non-Principal Guaranteed Wealth Management Products - In December 2024, the issuance of non-principal guaranteed products included 2,756 fixed-income products, 46 mixed products, 17 equity products, and 2 commodity and financial derivatives products [19] - The average performance benchmark for fixed-income products was 2.78%, while mixed products averaged 2.79% [22] Wealth Management Subsidiary Products - In December 2024, wealth management subsidiaries issued 1,946 products, with 1,883 being fixed-income products [23] - The performance benchmark for fixed-income products with absolute values was 2.19% for products under 3 months and 3.22% for those over 3 years [25] Product Tracking - Target Return Products - The number of target return products increased significantly, with 238 products remaining active by the end of December 2024, maintaining an average scale of around 150 million yuan per product [6]

2025 年 01 月 23 日 证券研究报告 | 市场点评报告 中长期资金从哪来、有多少、到哪去？ 资本市场政策点评 分析师：蔡梦苑 分析师登记编码：S0890521120001 电话：021-20321004 邮箱：caimengyuan@cnhbstock.com 分析师登记编码：S0890524080002 电话：021-20321080 邮箱：haoyifan@cnhbstock.com 分析师：王骅 分析师登记编码：S0890522090001 电话：021-20321067 邮箱：wanghua@cnhbstock.com 分析师：宋逸菲 分析师：郝一凡 此次证监会主席吴清进一步明确了新的中长期资金投资 A 股的规模、比例要 求，乐观情形下有望推动公募基金、保险资金为 A 股带来每年万亿规模的中长 期增量资金：1、公募基金 2025 年新增资金规模有望达到 5860 亿元；2、保险 资金的长期股票投资试点，规模不低于 1000 亿元；3、大型国有保险公司新增 保费资金入市或可达 5000 亿元以上。 从中长期资金的来源看，或更偏向于投资高股息属性以及偏大盘指数，利于 A 股指数的稳定。此外，近万 ...

Investment Rating - The report does not explicitly provide an investment rating for the industry [2] Core Insights - The cash management products' annualized yield for the past 7 days is 1.64%, an increase of 8 basis points from the previous week [3][7] - The annualized yield for money market funds over the same period is 1.53%, up 14 basis points, with the yield gap between cash management products and money market funds narrowing to 11 basis points, a reduction of 6 basis points from the previous week [3][7] - The annualized yield for non-cash fixed income products over the past month is 2.44%, down 20 basis points from the previous week [11] - The annualized yield for closed-end fixed income products over 6-12 months is 3.28%, a decrease of 7 basis points [11] - The annualized yield for closed-end fixed income products over 1-3 years is 3.85%, down 2 basis points [11] - The total scale of maturing products from January 13 to January 19, 2025, is 283.074 billion, with an average compliance rate of 62%, a decline of 14 basis points from the previous week [12] - Closed-end products show a better compliance rate, averaging 90%, which is higher than the overall compliance rate [12] Summary by Sections Cash Management Products - The 7-day annualized yield for cash management products is 1.64%, increasing by 8 basis points [3][7] - The yield gap between cash management products and money market funds is 11 basis points, reduced by 6 basis points [3][7] Performance Review of Wealth Management Products - The annualized yield for non-cash fixed income products is 2.44%, down 20 basis points [11] - The annualized yield for closed-end fixed income products over 6 months is 3.28%, decreasing by 7 basis points [11] - The annualized yield for closed-end fixed income products over 1 year is 3.85%, down 2 basis points [11] Maturity and Compliance Status - The total scale of maturing products is 283.074 billion, with a compliance rate of 62%, down 14 basis points [12] - Closed-end products have a compliance rate of 90%, outperforming the overall compliance rate [12]

Group 1 - The report highlights the historical characteristics of the "Spring Rally" since 2010, noting that the market typically stabilizes and forms a temporary low in the week before the Spring Festival, initiating the "Spring Rally" around the holiday [7][10] - During the "Spring Rally," small-cap stocks tend to outperform in terms of odds and win rates, with strong performance often observed in the first five trading days after the Spring Festival [7][10] - The report suggests that the upcoming political environment, particularly with the inauguration of President Trump, may create favorable conditions for the A-share market, despite potential market volatility due to uncertainties in his initial policies [3][11] Group 2 - The report indicates that since mid-December, the market has experienced a round of adjustments, and as the Two Sessions approach, a new round of policy-driven market activity is expected, which could enhance liquidity in the equity market [10] - It emphasizes that the current economic recovery remains uncertain, with weak internal momentum, and suggests that sectors with performance elasticity and clear policy logic, such as technology growth and new consumption, may be favored in the short term [10][11] - The report recommends investors to participate in the "Spring Rally" window based on their risk appetite, focusing on sectors like technology growth (electronics, media, communication) and new consumption (dining, tourism, retail) [11]

- The report tracks the performance of public quantitative products, categorizing them into three types: Strict Constraint, SmartBeta, and Rotation. These categories are based on the deviation of industry and style configurations from benchmark indices, as well as the stability of these deviations[44][45][48] - For the CSI 300 Enhanced Index products, the monthly index return was 0.47%, with excess returns of 0.23% for Strict Constraint, 0.44% for SmartBeta, and 0.55% for Rotation strategies[45][47][48] - For the CSI 500 Enhanced Index products, the monthly index return was -2.16%, with excess returns of 3.71% for Strict Constraint, 3.95% for SmartBeta, and 3.67% for Rotation strategies[48][51][49] - For the CSI 1000 Enhanced Index products, the monthly index return was -3.74%, with excess returns of 6.00% for Strict Constraint, 6.83% for SmartBeta, and 6.22% for Rotation strategies[52][55][53] - The cumulative returns for CSI 300 Enhanced Index products were 22.23% for Strict Constraint, 15.09% for SmartBeta, and 19.63% for Rotation strategies. The annualized returns were 4.29%, 2.99%, and 3.83%, respectively[47][48][46] - The cumulative returns for CSI 500 Enhanced Index products were 17.61% for Strict Constraint, 25.10% for SmartBeta, and 16.49% for Rotation strategies. The annualized returns were 3.46%, 4.80%, and 3.25%, respectively[51][50][49] - The cumulative returns for CSI 1000 Enhanced Index products were 32.15% for Strict Constraint, 30.16% for SmartBeta, and 40.38% for Rotation strategies. The annualized returns were 6.25%, 5.90%, and 7.66%, respectively[55][54][53] - The report highlights that the current market environment is favorable for quantitative index enhancement products to achieve excess returns. Aggressive strategies like SmartBeta and Rotation are recommended for allocation during this period[56][44][45]

Investment Rating - The report does not explicitly provide an investment rating for the industry [1] Core Insights - The report indicates a decline in yields for various bank wealth management products, attributed to a cooling bond market and adjustments in liquidity management tools [3][9] - Cash management products have seen a 7-day annualized yield of 1.56%, down 7 basis points from the previous week, while money market funds yielded 1.39%, down 10 basis points, widening the yield gap to 17 basis points [3][8] - The report highlights that the annualized yield for non-cash fixed income products over the past month is 2.64%, down 31 basis points, and for closed 6-12 month fixed income products, it is 3.36%, down 5 basis points [4][12] - The average compliance rate for wealth management products maturing from January 6 to January 12, 2025, is 76%, a decrease of 3 basis points from the previous week, with closed-end products showing a higher compliance rate of 81% [5][14] Summary by Sections Cash Management Products - The 7-day annualized yield for cash management products is reported at 1.56%, a decrease of 7 basis points from the prior week, with a yield gap of 17 basis points compared to money market funds [3][8] Performance Review of Wealth Management Products - The report provides a weekly review of wealth management product performance, noting a general decline in yields across various product types due to market conditions [9][12] Maturity and Compliance Status - The total scale of maturing wealth management products from January 6 to January 12, 2025, is 714.39 billion, with an average compliance rate of 76%, indicating a slight decline [5][14]

Quantitative Models and Construction Methods 1. Model Name: Evergreen Low-Volatility Fund Portfolio - **Model Construction Idea**: The strategy aims to select actively managed equity funds with long-term stable return characteristics, focusing on funds that exhibit low volatility and small drawdowns, suitable for defensive investment needs in high-risk market environments[15][22] - **Model Construction Process**: - Historical net value drawdowns and volatility levels of funds are analyzed to reflect fund managers' investment styles and risk control capabilities - These characteristics are found to have significant continuity in the future - Additional constraints on fund valuation levels are applied - Funds are selected based on net value performance and holding characteristics to construct a low-volatility fund portfolio[15] - **Model Evaluation**: The model demonstrates strong defensive characteristics while maintaining decent returns, with low volatility and small drawdowns effectively verified in volatile market conditions[22][23] 2. Model Name: Equity Fund Enhanced Portfolio - **Model Construction Idea**: This strategy targets investors with higher risk preferences, aiming to construct a portfolio with higher volatility and offensive characteristics by identifying funds with strong alpha generation capabilities[16][25] - **Model Construction Process**: - Fund return indicators are analyzed to decompose returns into industry allocation returns (beta) and stock selection excess returns (alpha) - Funds with significant alpha continuity are selected - The portfolio is constructed by allocating to fund managers with strong stock selection capabilities, aiming to achieve excess performance during the holding period[16] - **Model Evaluation**: The strategy shows potential for higher elasticity in improved market conditions, maintaining performance close to the benchmark in weaker environments due to balanced styles and fund manager capabilities[25] 3. Model Name: Cash Increment Fund Portfolio - **Model Construction Idea**: This strategy focuses on selecting money market funds with better yield performance to optimize short-term idle capital management[18][27] - **Model Construction Process**: - Factors such as management fees, custody fees, sales service fees, fund duration, leverage levels, institutional holdings, and deviation risks are considered - A comprehensive scoring and risk exclusion system is applied to construct a money market fund selection framework - The goal is to achieve higher yield levels while reducing yield volatility risks[18] - **Model Evaluation**: The strategy consistently outperforms its benchmark, providing effective references for investors in cash management[27] 4. Model Name: Overseas Equity Allocation Fund Portfolio - **Model Construction Idea**: This strategy aims to select QDII funds for global asset allocation by screening equity indices of countries or regions based on momentum and reversal factors[19][28] - **Model Construction Process**: - Long-term momentum and short-term reversal factors are used to exclude overbought indices with excessive gains - Indices in an upward trend with strong momentum are selected as portfolio components - The portfolio provides a supplementary tool for globalized investment beyond A-share equity funds[19] - **Model Evaluation**: The strategy has accumulated significant excess returns since its inception, benefiting from global technology growth and the Federal Reserve's interest rate environment[28] --- Model Backtesting Results 1. Evergreen Low-Volatility Fund Portfolio - Weekly return: -0.911% - Monthly return: -2.595% - Year-to-date return: -3.306% - Since inception (2023.07.31): 4.244%[20][22][23] 2. Equity Fund Enhanced Portfolio - Weekly return: -1.005% - Monthly return: -4.722% - Year-to-date return: -3.946% - Since inception (2024.03.29): 3.295%[20][25][26] 3. Cash Increment Fund Portfolio - Weekly return: 0.031% - Monthly return: 0.153% - Year-to-date return: 0.045% - Since inception (2023.07.31): 2.921%[20][27][28] 4. Overseas Equity Allocation Fund Portfolio - Weekly return: 0.428% - Monthly return: -2.602% - Year-to-date return: -0.018% - Since inception (2023.07.31): 24.446%[20][28][30]

2025 年 01 月 12 日 证券研究报告 | 策略周报 情绪延续降温，静待市场企稳 策略周报 分析师：刘芳 分析师登记编码：S0890524100002 电话：021-20321091 邮箱：liufang@cnhbstock.com 分析师登记编码：S0890524080002 电话：021-20321080 邮箱：haoyifan@cnhbstock.com 021-20515355 1、《政策继续发力，市场活力进一步释 放—策略周报》2024-10-27 投资要点 分析师：郝一凡 基本面回顾与资产配置展望：12 月 CPI 数据符合预期为 0.1%，核心 CPI 数据超 出预期为 0.4%，PPI 同比符合市场预期为-2.3%。12 月核心 CPI 同比回升主要受到 "双十一"促销结束后价格修复的因素影响。海外方面，美国 12 月制造业 PMI 从 48.4 上升至 49.3，非制造业 PMI 从 52.1 上升至 54.1。强劲的经济数据推动市场 对于美国通胀压力的担忧增加，美债收益率本周进一步上涨，压制美股走势。 销售服务电话： 相关研究报告 A 股市场回顾与展望：本周（1 月 6 日-1 月 ...