Report Investment Rating - No specific investment rating for the industry is provided in the report Core Viewpoints - Last week (2026.01.26 - 2026.01.30), the A - share market was volatile and differentiated, with high trading volume, extreme differentiation, and rapid rotation. The market's driving logic shifted from macro - cycle trading to micro - performance verification, and it's advisable to focus on mid - stream industries with profitability repair and ROE improvement [2][3][11][12][13] - The bond market was volatile last week, and the current environment is favorable for the bond market. The 10 - year Treasury yield is expected to gradually decline towards 1.80%. In the context of increased volatility in the equity market, the relative value of bond coupon allocation has increased [4][14] - The China Securities Regulatory Commission released a draft for public comments on amending the information disclosure rules for public funds, aiming to guide the industry to focus on the concepts of "long - term investment and value investment" [5][17] Weekly Market Observation 1.1 Equity Market Review and Observation - Last week, the Shanghai - Shenzhen 300 rose 0.1%, the CSI 500 fell 2.6%, and the ChiNext fell 0.1%. The market was characterized by extreme differentiation and rapid rotation under high trading volume, with more stocks falling than rising [2][11] - Market funds were in a fierce game between inflation trading and the technology growth theme. "Price trends" were the guiding principle in the first half of the week, and later, policies and performance became the main drivers of style switching. The annual performance forecast disclosure was a key factor for individual stock trends [3][12] - The market's driving logic shifted from macro - cycle trading to micro - performance verification. Funds tended to seek more balanced and performance - supported allocations, and it's recommended to focus on mid - stream industries [13] 1.2 Pan - Fixed - Income Market Review and Observation - Last week, the bond market was volatile. The 1 - year Treasury yield rose 1.80BP to 1.30%, the 10 - year yield declined 1.86BP to 1.81%, and the 30 - year yield rose 0.19BP to 2.29%. The 10 - year yield is expected to gradually decline towards 1.80% [4][14] - The current environment is favorable for the bond market. The central bank maintains stable liquidity, and the cautious economic growth targets in many places ease the market's expectations of strong fiscal stimulus. The bond market sentiment is gradually improving [4][14] - Last week, the U.S. Treasury yield curve steepened. The 1 - year yield declined 5BP to 3.48%, the 2 - year yield declined 8BP to 3.52%, and the 10 - year yield rose 2BP to 4.26%. The appointment of Kevin Warsh as the Fed Chairman affected the U.S. Treasury yield curve [15] - The CSI REITs Total Return Index rose 0.47% last week, with municipal environmental protection and highways leading the gains. Ten new public REITs made progress in the primary market [15] 1.3 Public Fund Market Dynamics - On January 30, 2026, the China Securities Regulatory Commission released a draft for public comments on amending the information disclosure rules for public funds. The new rules require adding the medium - to - long - term performance of the past 7 and 10 years, no longer disclosing the past 1 - month performance, and adding disclosure requirements such as fair trading, employee fund - holding, and trading unit leasing [5][17] Fund Index Performance Tracking 2.1 Equity Strategy Theme - Based Index - **Active Stock Fund Selection**: The index selects 15 funds each period, with equal - weight allocation. The core positions select active equity funds based on performance competitiveness and style stability, and balance the style according to the CSI Equity - Oriented Fund Index. The performance benchmark is the CSI Equity - Oriented Fund Index [21][22] 2.2 Investment Style - Based Index - **Value Stock Fund Selection**: It selects 10 funds of deep - value, quality - value, and balanced - value styles. The performance benchmark is the CSI 800 Value Index [25] - **Balanced Stock Fund Selection**: It selects 10 relatively balanced and value - growth style funds. The performance benchmark is the CSI 800 [25][26] - **Growth Stock Fund Selection**: It selects 10 funds of active - growth, quality - growth, and balanced - growth styles. The performance benchmark is the 800 Growth Index [29] 2.3 Industry Theme - Based Index - **Pharmaceutical Stock Fund Selection**: It selects 15 funds with an average purity of no less than 60% in the pharmaceutical industry. The performance benchmark is the pharmaceutical theme fund index [32][33] - **Consumer Stock Fund Selection**: It selects 10 funds with an average purity of no less than 50% in the consumer industry. The performance benchmark is the consumer theme fund index [33][34] - **Technology Stock Fund Selection**: It selects 10 funds with an average purity of no less than 60% in the technology industry. The performance benchmark is the technology theme fund index [37] - **High - End Manufacturing Stock Fund Selection**: It selects 10 funds with an average purity of no less than 50% in the high - end manufacturing industry. The performance benchmark is the high - end manufacturing theme fund index [42][43] - **Cyclical Stock Fund Selection**: It selects 5 funds with an average purity of no less than 50% in the cyclical industry. The performance benchmark is the cyclical theme fund index [45][46] 2.4 Money - Market Enhancement Index - **Money - Market Enhancement Strategy**: The index aims for liquidity management, pursues a curve that exceeds money - market funds and is smoothly upward. It mainly allocates money - market funds and inter - bank certificate of deposit index funds. The performance benchmark is the CSI Money - Market Fund Index [48] 2.5 Pure Bond Index - **Short - Term Bond Fund Selection**: It selects 5 funds with stable long - term returns, strict drawdown control, and significant absolute - return ability. The performance benchmark is 50% * Short - Term Pure Bond Fund Index + 50% * Ordinary Money - Market Fund Index [52] - **Medium - and Long - Term Bond Fund Selection**: It selects 5 medium - and long - term pure bond funds with both return and drawdown control, and adjusts the duration and the ratio of credit bond and interest - rate bond funds according to the market [54] 2.6 Fixed - Income + Index - **Low - Volatility Fixed - Income + Selection**: The equity center is 10%. It selects 10 funds with an equity center of less than 15%. The performance benchmark is 10% CSI 800 Index+90% ChinaBond New Composite Full - Price Index [57] - **Medium - Volatility Fixed - Income + Selection**: The equity center is 20%. It selects 5 funds with an equity center between 15% - 25%. The performance benchmark is 20% CSI 800 Index+80% ChinaBond New Composite Full - Price Index [60] - **High - Volatility Fixed - Income + Selection**: The equity center is 30%. It selects 5 funds with an equity center between 25% - 35%. The performance benchmark is 30% CSI 800 Index+70% ChinaBond New Composite Full - Price Index [63] 2.7 Other Pan - Fixed - Income Index - **Convertible Bond Fund Selection**: It selects 5 convertible bond funds based on an evaluation system from multiple dimensions. The sample space requires a high proportion of convertible bond investment [66] - **QDII Bond Fund Selection**: It selects 6 QDII bond funds with stable returns and good risk control based on credit and duration [69] - **REITs Fund Selection**: It selects 10 REITs funds with stable operation, reasonable valuation, and certain elasticity based on the underlying asset type [70]

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints - The report presents several ETF strategy indices constructed by Huabao Research and tracks their performance and positions on a weekly basis, aiming to help investors convert quantitative models or subjective views into practical investment strategies [11] 3. Summary by Relevant Catalog 3.1 ETF Strategy Index Tracking - **Overall Performance**: The table shows the performance of various ETF strategy indices last week. The Huabao Research Quantitative Windmill ETF Strategy Index had the highest weekly excess return of 2.56%, while the Huabao Research SmartBeta Enhanced ETF Strategy Index had the lowest weekly excess return of -2.76% [12] 3.1.1 Huabao Research Size Rotation ETF Strategy Index - **Strategy**: It uses multi - dimensional technical indicator factors and a machine - learning model to predict the return difference between the Shenwan Large - Cap Index and the Shenwan Small - Cap Index. It outputs weekly signals to predict the strength of the indices in the next week and determines positions accordingly to obtain excess returns [13] - **Performance**: As of 2026/1/30, the excess return since 2024 was 29.34%, the excess return in the past month was 5.89%, and the excess return in the past week was - 1.86%. The index's positions include 50% in the CSI 500ETF and 50% in the CSI 1000ETF [13][17] 3.1.2 Huabao Research SmartBeta Enhanced ETF Strategy Index - **Strategy**: It uses price - volume indicators to time self - built Barra factors and maps timing signals to ETFs based on their exposure to 9 major Barra factors to achieve market - outperforming returns. The selected ETFs cover mainstream broad - based index ETFs and some style and strategy ETFs [17] - **Performance**: As of 2026/1/30, the excess return since 2024 was 20.15%, the excess return in the past month was - 2.11%, and the excess return in the past week was - 2.76%. The index's positions are mainly in several science - innovation and growth - style ETFs [17] 3.1.3 Huabao Research Quantitative Windmill ETF Strategy Index - **Strategy**: It starts from a multi - factor perspective, including the grasp of medium - to - long - term fundamentals, tracking of short - term market trends, and analysis of the behavior of various market participants. It uses valuation and crowding signals to indicate industry risks and multi - dimensionally digs out potential sectors to obtain excess returns [20] - **Performance**: As of 2026/1/30, the excess return since 2024 was 51.39%, the excess return in the past month was 6.51%, and the excess return in the past week was 2.56%. The index's positions are mainly in commodity - related and financial - related ETFs [20][25] 3.1.4 Huabao Research Quantitative Balance ETF Strategy Index - **Strategy**: It adopts a multi - factor system, including economic fundamentals, liquidity, technical analysis, and investor behavior factors, to construct a quantitative timing system for trend analysis of the equity market. It also builds a prediction model for market large - and small - cap styles to adjust the equity market position distribution and obtain excess returns through comprehensive timing and rotation [24] - **Performance**: As of 2026/1/30, the excess return since 2024 was - 10.24%, the excess return in the past month was 0.48%, and the excess return in the past week was - 0.36%. The index's positions include bonds and equity - based ETFs [24][27] 3.1.5 Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy**: It uses strategies such as market sentiment analysis, tracking of major industry events, investor sentiment and professional opinions, policy and regulatory changes, and historical analysis to track and dig out hot - spot index target products in a timely manner, constructing an ETF portfolio that can capture market hot spots and providing short - term market trend references for investors [27] - **Performance**: As of 2026/1/30, the excess return in the past month was 6.21%, and the excess return in the past week was 3.21%. The index's positions are mainly in commodity, Hong - Kong - stock, and short - term financing ETFs [27][30] 3.1.6 Huabao Research Bond ETF Duration Strategy Index - **Strategy**: It uses bond market liquidity and price - volume indicators to screen effective timing factors and predicts bond yields through machine - learning methods. When the expected yield is below a certain threshold, it reduces the long - duration positions in the bond investment portfolio to improve long - term returns and drawdown control [30] - **Performance**: As of 2026/1/30, the excess return in the past month was 0.40%, and the excess return in the past week was 0.14%. The index's positions are mainly in bond - related ETFs [30][33]

Group 1 - The report indicates that market volatility has significantly increased, suggesting a return to a more stable investment approach as the market approaches the holiday season [4][14] - The bond market is showing signs of support, with the central bank's clear stance on maintaining liquidity, which is expected to help stabilize the market during the holiday period [3][13] - The report highlights that the 10-year government bond yield is anticipated to gradually decline to around 1.80%, emphasizing the importance of high-yield bond allocations [3][13] Group 2 - The equity market is experiencing increased volatility, with a shift towards more defensive sectors such as liquor and real estate, indicating a potential end to the current market rotation [4][14] - The report notes that the A-share market has shown a mixed performance, with the Shanghai Composite Index declining by 0.44% and the Wind All A Index down by 1.59% [11] - The report suggests that investors should consider reducing exposure to sectors lacking earnings support and increase holdings in high-dividend stocks to mitigate portfolio volatility [4][14] Group 3 - The report provides a review of significant events, including the announcement of the Federal Reserve's decision to maintain the federal funds rate between 3.50% and 3.75%, reflecting a cautious approach to economic conditions [10] - It also mentions that the profit of large-scale industrial enterprises in China increased by 0.6% year-on-year, indicating a stable economic environment [10] - The report emphasizes the importance of monitoring upcoming economic indicators, such as the European Central Bank's interest rate decision and U.S. non-farm payroll data [27]

银行理财周度跟踪（2026.1.19-2026.1.25） 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：周佳卉 分析师登记编码：S0890525040001 电话：021-20321070 邮箱：zhoujiahui@cnhbstock.com 2026 年 01 月 28 日 证券研究报告|银行理财周报 2025 年报：规模高增，结构优化，增配基金和存款 021-20515355 期 新 品 亮 相 — 银 行 理 财 周 度 跟 踪 （2026.1.12-2026.1.18）》2026-01-21 2、《公募销售新规正式落地，理财子深化 推进新直联系统上线—银行理财周度跟 踪（2025.12.29-2026.1.4）》2026-01-07 3、《信披统一框架正式落地，苏银理财深 耕持有型不动产 ABS 实践—银行理财周 度 跟 踪 （ 2025.12.22-2025.12.28 ）》 2025-12-31 4、《理财共议高质量发展新路径，首单科 创债 ETF 质押式回购交易落地—银行理 财周 ...

Investment Rating - The report does not explicitly provide an investment rating for the banking wealth management industry Core Insights - The banking wealth management market reached a total scale of 33.29 trillion yuan by the end of 2025, reflecting an 11.15% growth from the beginning of the year, with an annual increment of 3.34 trillion yuan [2][9] - The product structure shows a clear trend of "cash management contraction, fixed income dominance, and mixed asset expansion" [10] - The report highlights a significant increase in allocations to public funds and bank deposits, while reducing allocations to credit bonds and interbank certificates of deposit [11][12] Regulatory and Industry Dynamics - The banking wealth management market demonstrated resilience with multiple growth drivers, including the "deposit migration" narrative, proactive market layout by wealth management companies, and strong net value management capabilities [9] - The product structure optimization indicates a shift towards fixed income products, which contributed significantly to the growth, while cash management products saw a decline in both scale and attractiveness [10] - By the end of 2025, public fund investments reached 1.82 trillion yuan, marking a historical high, while cash and bank deposits also increased to 10.06 trillion yuan [11] Yield Performance - The average yield of wealth management products fell below 2% for the first time, recorded at 1.98%, down from 2.12% in the first half of 2025 and 2.65% in 2024 [13] - Recent weekly data shows cash management products had a 7-day annualized yield of 1.27%, a decrease of 1 basis point [14][18] Net Value Tracking - The net value ratio of banking wealth management products was 0.55%, a decrease of 0.25 percentage points from the previous week, with credit spreads also narrowing [25][26]

Group 1 - The report outlines the grid trading strategy as a method of profiting from price fluctuations without predicting market trends, making it suitable for volatile markets [4][12] - Characteristics of suitable grid trading targets include being exchange-traded, having stable long-term trends, low transaction costs, good liquidity, and high volatility, with equity ETFs being identified as appropriate candidates [4][12] - The report highlights two key ETFs for grid trading: the Financial Technology ETF (159851.SZ) and the Medical ETF (512170.SH), emphasizing their potential benefits from market trends and innovations [4][13][16] Group 2 - The Financial Technology ETF is positioned to benefit from capital market reforms and the digital transformation of finance, with advancements in AI and blockchain driving efficiency and innovation in the sector [4][13] - The Medical ETF is catalyzed by the recent Nipah virus outbreak in India, which serves as a short-term driver, while the long-term growth is supported by the acceleration of innovative drug exports from China, showcasing the country's significant presence in the global pharmaceutical market [5][16] - The report suggests that investors can enhance returns by diversifying their grid trading strategies across different ETFs, combining various types and investment scopes to optimize risk management and capital utilization [16][19]

1. Report Industry Investment Rating There is no information provided regarding the report's industry investment rating in the given content. 2. Core Viewpoints of the Report - In the equity market last week (2026.01.19 - 2026.01.23), under the environment of continuous regulatory policy suppression and abundant liquidity, the market structure was highly differentiated. Weight - stocks in consumption, medicine, and finance declined significantly due to large - scale ETF redemptions by policy funds, while the growth direction was active, and the commercial space sector regained strength after adjustment. As the earnings period begins, the market may rotate towards profit recovery and valuation repair. With the in - depth implementation of anti - involution policies, the investment growth rates of various industries have turned negative, implying future supply contraction, while demand stabilizes under the background of fiscal stimulus and economic recovery. This shift in the supply - demand contradiction consolidates the performance inflection points of leading companies in cyclical sectors such as non - ferrous metals and chemicals, and also drives the rise of sectors with price - increase logic like photovoltaics, lithium batteries, and coal [2][10][12]. - In the fixed - income market last week, short - term bond yields rose, and long - term yields fell. The 1 - year Treasury yield rose 3.95BP to 1.28%, the 10 - year Treasury yield fell 1.26BP to 1.83%, and the 30 - year Treasury yield fell 1.65BP to 2.29%, narrowing the term spread. Some funds entered the bond market for safety as the stock market cooled. The central bank governor's statement about potential reserve requirement ratio and interest rate cuts, along with positive news from the Ministry of Finance and good 7 - year Treasury bond issuance results, contributed to the narrowing of the term spread and the decline of long - term interest rates. There is support for the bond market sentiment, and there are opportunities to capture band trading in ultra - long - term interest - rate bonds [3][13]. 3. Summary by Relevant Catalogs 3.1 Weekly Market Observation 3.1.1 Equity Market Review and Observation - Index performance: Last week, the Shanghai Composite Index rose 0.84%, the CSI 300 fell 0.62%, and the ChiNext Index fell 0.34%. The average daily trading volume of the entire A - share market was 27,972 billion yuan, a decrease from the previous week [10]. - ETF funds: Overall, ETF funds showed a net outflow trend last week. The CSI 300ETF had the most significant share reduction, with 49.603 billion shares less in the past week. The CSI 1000, SSE 50, SSE STAR 50, and CSI A500 also had share reductions of 23.3 billion, 11.5 billion, 9.6 billion, and 7.9 billion respectively. Since January 15, patient funds have continuously redeemed a basket of ETFs, and during this period, some individual stocks with high weight in the index and actively priced by funds performed better. The market trading volume has shrunk from around 4 trillion to around 2.5 trillion, indicating that policy goals have achieved some results. Future market - overheating adjustment methods may focus on cracking down on hot money, relaxing IPOs, and executive share - sales, and the impact of ETF redemptions on the market may weaken marginally [11]. - External factors: The latest US economic data remains resilient, and the November PCE inflation data is in line with market expectations, with no obvious signs of inflation rebound. This week, the Federal Reserve will hold an interest - rate meeting, and the market will focus on the meeting and the earnings reports of large technology companies, especially on performance guidance and the sustainability of profit realization under high valuations. Overseas geopolitical conflicts are also an important short - term uncertainty factor, and market risk - aversion sentiment will remain before the situation in Iran is resolved [11]. 3.1.2 Pan - Fixed - Income Market Review and Observation - Domestic bond market: Last week, short - term bond yields in the domestic bond market rose, and long - term yields fell, narrowing the term spread. The 1 - year Treasury yield rose 3.95BP to 1.28%, the 10 - year Treasury yield fell 1.26BP to 1.83%, and the 30 - year Treasury yield fell 1.65BP to 2.29%. Some funds entered the bond market for safety as the stock market cooled. Positive factors such as the central bank governor's statement on potential reserve requirement ratio and interest rate cuts, the Ministry of Finance's press conference, and good 7 - year Treasury bond issuance results contributed to the narrowing of the term spread and the decline of long - term interest rates. There is support for the bond market sentiment, and there are opportunities to capture band trading in ultra - long - term interest - rate bonds [3][13]. - US Treasury yields: Last week, US Treasury yields fluctuated. The 1 - year US Treasury yield fell 2BP to 3.53%, the 2 - year yield rose 1BP to 3.60%, and the 10 - year yield remained flat at 4.24%. Trump's remarks about Greenland led to European selling of US Treasuries and a rise in yields, but his subsequent attitude reversed the trend. US Treasuries will likely continue to fluctuate in the future, with increased unpredictability [14]. - REITs: Last week, the CSI REITs Total Return Index rose 2.17% to 1047.51 points, and all types of REITs closed higher, with data centers, consumption, and warehousing leading the gains. In the primary market, 5 public REITs withdrew or terminated, including 4 initial projects and 1 expansion project [14][15]. 3.1.3 Public Fund Market Dynamics On January 23, 2026, the China Securities Regulatory Commission issued the "Guidelines for the Performance Comparison Benchmark of Publicly Offered Securities Investment Funds," and the Asset Management Association of China issued the "Operation Rules for the Performance Comparison Benchmark of Publicly Offered Securities Investment Funds." The official versions are generally consistent with the draft versions, with some adjustments including clarifying restrictions on benchmark changes, exempting money - market funds from disclosing performance - benchmark comparisons, and modifying the requirements for long - term performance evaluation by fund evaluation institutions [16]. 3.2 Fund Index Performance Tracking 3.2.1 Equity Strategy Theme - Based Index - Active Stock Fund Selection Index: The index selects 15 funds each period, with equal - weight allocation. It selects active equity funds based on performance competitiveness and style stability within value, balanced, and growth styles, and allocates them according to the style distribution of the CSI Equity - Oriented Fund Index (930950.CSI). The performance benchmark is the CSI Equity - Oriented Fund Index (930950.CSI) [20][21]. 3.2.2 Investment Style - Based Index - Value Stock Fund Selection Index: It includes both deep - value and quality - value styles. It selects 10 funds of deep - value, quality - value, and balanced - value styles based on multi - period style classification. The performance benchmark is the CSI 800 Value Index (H30356.CSI) [24]. - Balanced Stock Fund Selection Index: It selects 10 funds of relatively balanced and value - growth styles based on multi - period style classification. The performance benchmark is the CSI 800 (000906.SH) [24]. - Growth Stock Fund Selection Index: It aims to capture the performance and valuation double - click opportunities of high - growth companies and select "dark - horse" stocks. It selects 10 funds of active - growth, quality - growth, and balanced - growth styles based on multi - period style classification. The performance benchmark is the 800 Growth (H30355.CSI) [27]. 3.2.3 Industry Theme - Based Index - Pharmaceutical Stock Fund Selection Index: It classifies funds according to the intersection market value of fund equity holdings and the constituent stocks of the CITIC Pharmaceutical Index (with an average purity of not less than 60% in the past 3 years or since inception). It constructs an evaluation system in the eligible sample, considering factors such as relative benchmark index win - rate, product drawdown, style stability, and overall performance competitiveness, and selects 15 funds to form the index. The performance benchmark is the pharmaceutical theme fund index (fitted by Huabao Securities' fund research and investment platform) [30][31]. - Consumption Stock Fund Selection Index: It classifies funds according to the intersection market value of fund equity holdings and the constituent stocks of relevant CITIC consumption - related indices (with an average purity of not less than 50% in the past 3 years or since inception). It constructs an evaluation system in the eligible sample and selects 10 funds to form the index. The performance benchmark is the consumption theme fund index (fitted by Huabao Securities' fund research and investment platform) [31][32]. - Technology Stock Fund Selection Index: It classifies funds according to the intersection market value of fund equity holdings and the constituent stocks of relevant CITIC technology - related indices (with an average purity of not less than 60% in the past 3 years or since inception). It constructs an evaluation system in the eligible sample and selects 10 funds to form the index. The performance benchmark is the technology theme fund index (fitted by Huabao Securities' fund research and investment platform) [35]. - High - End Manufacturing Stock Fund Selection Index: It classifies funds according to the intersection market value of fund equity holdings and the constituent stocks of relevant CITIC high - end manufacturing - related indices (with an average purity of not less than 50% in the past 3 years or since inception). It constructs an evaluation system in the eligible sample and selects 10 funds to form the index. The performance benchmark is the high - end manufacturing theme fund index (fitted by Huabao Securities' fund research and investment platform) [40][41]. - Cyclical Stock Fund Selection Index: It classifies funds according to the intersection market value of fund equity holdings and the constituent stocks of relevant CITIC cyclical - related indices (with an average purity of not less than 50% in the past 3 years or since inception). It constructs an evaluation system in the eligible sample and selects 5 funds to form the index. The performance benchmark is the cyclical theme fund index (fitted by Huabao Securities' fund research and investment platform) [43][44]. 3.2.4 Money - Market Enhancement Index - Money - Market Enhancement Strategy Index: It aims at liquidity management, pursuing a curve that exceeds money - market funds and is smooth and upward. It mainly allocates money - market funds with relatively good performance and passive index - bond funds (inter - bank certificate of deposit index funds). The performance benchmark is the CSI Money - Market Fund Index (H11025.CSI) [47]. 3.2.5 Pure - Bond Index - Short - Term Bond Fund Selection Index: It aims at liquidity management, pursuing a smooth and upward curve while controlling drawdown. It mainly allocates 5 funds with stable long - term returns, strict drawdown control, and significant absolute - return ability. The performance benchmark is 50% * Short - Term Pure - Bond Fund Index + 50% * Ordinary Money - Market Fund Index [50]. - Medium - and Long - Term Bond Fund Selection Index: It invests in medium - and long - term pure - bond funds, aiming for stable returns while controlling drawdown. It selects 5 funds with both return and drawdown control, and adjusts the duration and the ratio of credit - bond funds and interest - rate bond funds according to market conditions. The performance benchmark is not clearly stated in a simple formula in the text [52]. 3.2.6 Fixed - Income + Index - Low - Volatility Fixed - Income + Selection Index: The equity center is set at 10%. It selects 10 fixed - income + funds with an equity center (considering convertible bond and stock positions) of less than 15% in the past three years and recently. It focuses on the risk - return ratio and holding experience. The performance benchmark is 10% CSI 800 Index + 90% ChinaBond New Composite Full - Price Index (CBA00303.CS) [55]. - Medium - Volatility Fixed - Income + Selection Index: The equity center is set at 20%. It selects 5 fixed - income + funds with an equity center between 15% and 25% in the past three years and recently, emphasizing the risk - return ratio and performance elasticity. The performance benchmark is 20% CSI 800 Index + 80% ChinaBond New Composite Full - Price Index (CBA00303.CS) [58]. - High - Volatility Fixed - Income + Selection Index: The equity center is set at 30%. It selects 5 fixed - income + funds with an equity center between 25% and 35% in the past three years and recently, emphasizing the risk - return ratio and performance elasticity. It selects funds with stable bond - end returns, no credit - downgrading, and strong stock - selection ability on the equity end. The performance benchmark is 30% CSI 800 Index + 70% ChinaBond New Composite Full - Price Index (CBA00303.CS) [61]. 3.2.7 Other Pan - Fixed - Income Index - Convertible Bond Fund Selection Index: It selects bond funds with an average convertible - bond investment proportion of not less than 60% in the latest period and not less than 80% in the past four quarters as the sample space. It constructs an evaluation system from the fund product, fund manager, and fund company dimensions, considering factors such as long - and short - term returns, drawdown, risk - adjusted returns, and the manager's timing and bond - selection abilities, and selects 5 funds to form the index [64]. - QDII Bond Fund Selection Index: It selects 6 QDII bond funds with stable returns and good risk control based on credit and duration conditions. The underlying assets of QDII bond funds are overseas bonds, covering regions such as the world, Asia, and emerging markets, and investment targets include Chinese - funded US dollar bonds and US dollar bonds [67]. - REITs Fund Selection Index: It selects 10 REITs funds with stable operation, reasonable valuation, and certain elasticity based on the underlying asset type. The underlying assets of REITs are mainly mature, high - quality, and stable - operating infrastructure projects, with relatively clear cash - flow expectations and limited unit - net - value volatility [68].

hjn 2026 年 01 月 26 日 证券研究报告 | 公募基金周报 ETF 策略指数跟踪周报 2026/1/26 分析师：卫以诺 分析师登记编码：S0890518120001 电话：021-20321014 邮箱：weiyinuo@cnhbstock.com 分析师登记编码：S0890522110001 电话：021-20321297 邮箱：chengbingzhe@cnhbstock.com 邮箱：zhangjunrui@cnhbstock.com 021-20515355 1、《把控节奏，方向不改—公募基金量化 遴选类策略指数跟踪周报（2026.01.18）》 2026-01-20 基 金 指 数 跟 踪 周 报 （2026.01.12-2026.01.16）》2026-01-19 3、《ETF策略指数跟踪周报—2026/1/19》 2026-01-19 4、《权益市场"开门红"，把握节奏布局 机会 —公募基金量化遴选类策略指数跟 踪周报（2026.01.11）》2026-01-13 5、《权益市场交投活跃，顺势而为避免追 （2026.01.05-2026.01.09）》2026-01-12 投资要 ...

Group 1 - The report indicates that the bond market remains buoyant with ample liquidity, supported by a recent 900 billion yuan MLF operation by the central bank, signaling a commitment to maintain liquidity levels [11][15][16] - The 10-year government bond yield is stabilizing in the range of 1.8%-1.9%, suggesting a decrease in the attractiveness of chasing higher yields as rates approach the lower end of this range [15][16] - The stock market is expected to maintain a steady and healthy slow bull pattern, with structural opportunities remaining abundant despite potential pressure from mid-to-long-term fund position adjustments [3][11][16] Group 2 - The report highlights that the A-share market is experiencing a shift towards high-dividend, low-volatility sectors, such as banks and state-owned enterprises, as investors adjust their strategies ahead of the Spring Festival [3][16] - The report notes that the overall market sentiment remains high, with significant capital inflows into mid-cap stocks, particularly the CSI 500 and CSI 1000 indices, which have outperformed during the week [11][16] - The report emphasizes the importance of monitoring macroeconomic indicators and corporate earnings as key drivers for market performance in the upcoming weeks [11][16]

Investment Rating - The report indicates a positive investment outlook for high-growth sectors, suggesting that they possess investment value in the medium to long term [3][9]. Core Insights - The A-share market has experienced a pullback, influenced by policy guidance, leading to a rational market return. Short-term themes have adjusted, but the market is expected to benefit from a slow bull trend after consolidation [3][9]. - The report emphasizes the importance of selecting industries with upward momentum, particularly as selling pressure diminishes [3][9]. Summary by Sections Stock Market Factor Tracking - The market style remains biased towards small-cap stocks, with a continued preference for growth over value styles. Both small-cap and growth style volatilities have reached near one-year highs, indicating increased fluctuations in returns between styles [10][11]. - The report notes a rebound in the dispersion of excess returns across industries, while the speed of industry rotation continues to decline. The proportion of rising stocks in the 300 and 500 indices has significantly decreased [10][11]. - Market activity shows a decline in volatility for most indices, except for the 1000 index, while turnover rates are on the rise [10][11]. Commodity Market Factor Tracking - The energy and precious metals sectors have seen an increase in trend strength, while other sectors have experienced a decline. The basis momentum for precious metals and agricultural products has risen, contrasting with declines in other sectors [23][28]. - Volatility remains high for precious metals and non-ferrous metals, while black and energy sectors have seen slight decreases in volatility. Liquidity has decreased in precious metals and energy sectors, with other sectors experiencing increases [23][28]. Options Market Factor Tracking - Implied volatility for the Shanghai 50 and CSI 1000 indices has begun to decline from recent highs. The skew in volatility indicates a decrease in bullish sentiment and an increase in bearish sentiment, suggesting that market participants perceive a lower risk of significant declines in small-cap stocks in the short term [31][32]. Convertible Bond Market Factor Tracking - The convertible bond market has experienced wide fluctuations. The premium rate for bonds convertible at 100 yuan has stabilized, showing a slight adjustment, while the proportion of low-premium convertible bonds has increased. However, market transaction volumes remain high [33][34].