Group 1 - The bond market in January was characterized by a correction of pessimistic expectations rather than a reinforcement of easing expectations, with banks and insurance companies increasing their allocation while brokers and funds sold off [9][10] - The bond market may enter a phase of compressed spreads, with various types of spreads being targeted for excess returns, as the market approaches critical points without clear negative signals [10][11] - The core factors driving the configuration-led market include the ability of funding costs and deposit rates to decrease further, and whether the 10-year government bond can break through key levels [10][11] Group 2 - The primary contradictions in the bond market include asset allocation rebalancing, capital outflow from the stock market, and expectations of rising prices, with the first two being the most critical [11][12] - The relationship between stocks and bonds in 2026 continues to reflect a rebalancing of asset allocation, with the stock market showing signs of strength but still needing to monitor capital flows into equities [14][15] - The insurance sector is shifting its liabilities towards dividend insurance, which may affect its preference for long-term bonds, while fixed-income funds are facing challenges in attracting new liabilities [14][17] Group 3 - The continuous decline in the scale of credit bond ETFs since the beginning of the year, with a drop of 101 billion to 514.2 billion, indicates a potential stabilization as selling pressure eases and valuation improves [21][22] - The strong performance of perpetual bonds in early January can be attributed to several factors, including easing valuation pressures and increased demand from insurance companies [24] - The current credit strategy suggests extending duration to 3-5 years for high-grade bonds, while focusing on specific sectors and grades that offer value [25] Group 4 - The core theme in the convertible bond market is pricing elasticity, with demand remaining high despite supply constraints due to maturing bonds and strong redemption expectations [26][29] - The strategy for convertible bonds emphasizes the importance of maintaining adequate positions to achieve relative returns, as low positions may hinder performance [27] - Excess returns in the convertible bond market are expected to come from elastic varieties, particularly those with low premium rates and smaller market caps [29]

2026 年 02 月 11 日 如何通过期权在高波动市场中捕捉 非对称收益？ ——白话期权系列之二 跨式策略（Straddle）： 同时买入平值认购和认沽期权，收益曲线呈"V 型"，对波动最敏感，但成本较高； 宽跨式策略（Strangle）: 同时买入虚值认购和认沽期权，收益曲线呈"U 型"，构建成本较低，但需要标的资产发 生更剧烈的波动才能触及盈利区间。。 相关研究 - 证券分析师 沈思逸 A0230521070001 shensy@swsresearch.com 邓虎 A0230520070003 denghu@swsresearch.com 联系人 沈思逸 A0230521070001 shensy@swsresearch.com 请务必仔细阅读正文之后的各项信息披露与声明 本研究报告仅通过邮件提供给 博时基金 博时基金管理有限公司(researchreport@bosera.com) 使用。1 衍 生 品 研 究 期 权 权 证 证 券 研 究 报 告 ⚫ 波动率收益的来源：与传统资产必须精准预判"方向"不同，期权工具允许投资者构建 "Delta 中性"组合，使收益与方向脱钩，仅与价格变动的"幅度" ...

1. Report's Industry Investment Rating No information regarding the industry investment rating is provided in the report. 2. Core Viewpoints of the Report - The US ETF market has witnessed continuous and rapid growth in scale, with an increasing proportion of alternative products. Newly issued products show characteristics such as a focus on single - stock products, a higher number of active products than passive ones, and a significant increase in strategy complexity and comprehensiveness. - The US ETF market presents trend - like features, including intense competition among core broad - based products, significant differences in fees based on strategy complexity and scarcity, large differences in institutional ownership among different product types, and managers' forward - looking layout of potential market concerns. - For the domestic ETF business, it is necessary to focus on management details for highly crowded broad - based products, make forward - looking layouts for industry - themed products, and strengthen the "timely promotion" of different products [2]. 3. Summary According to the Directory 3.1 US ETF Scale Continues to Break Through Rapidly, and the Proportion of Alternative Products Increases - In 2025, the total scale of US ETFs reached $13.45 trillion, with a scale increase of 30%. The number of newly issued ETFs reached 1,078, and the total number of all US ETFs reached 4,814, a net increase of 950 compared to the end of 2024. The proportion of alternative products in the newly issued products increased significantly, driving the proportion of alternative products in the entire market to reach 30%. Newly issued bond and money - market funds also had good scales [2][8][10]. - **Single - stock products become the focus of issuance**: Single - stock products were first issued in 2022, and the number of newly issued products in 2025 was the highest. Leveraged products had the largest scale and number, followed by option products. These products are more and more widely distributed, covering different sectors, and the market capitalization of the underlying stocks is also decreasing. The issuance is related to market attention. The single - stock Covered Call products are mainly for high - volatility stocks, aiming to achieve more certain returns through stable high - option premium dividends [18][19]. - **The number of active products exceeds that of passive products**: As of the end of 2025, the number of active ETF products in the US reached 2,682, exceeding the 2,132 passive products, with a total scale of $1.5 trillion. Alternative products are the category with the highest proportion in terms of both quantity and scale. The scale of option - strategy products exceeds $200 billion, making it the most important type of active ETF. The scale of active ETFs has grown rapidly in the past two years, with a compound annual growth rate of 57% from 2019 to 2025 [24][29]. - **The complexity and comprehensiveness of strategies are significantly improved**: As of the end of 2025, there were 697 option - strategy products in the US, with a scale of $224.727 billion, and 221 new products were issued in 2025. Option strategies are increasingly used as an "add - on" to traditional strategies to increase returns. Other types of products also have more complex strategies, and the standardization of ETF strategies is decreasing [34][38][40]. 3.2 Trendy Features of US ETFs - **Intense competition among core broad - based products, and returns have a certain impact on scale**: In 2025, the scale ranking of S&P 500 ETFs changed significantly. The long - time leader, SPY, was continuously surpassed by VOO and IVV, and the gap widened rapidly. Over the past 10 years, VOO has been the best - performing product in 7 years. In 2025, the total inflow of US ETFs was $1.4753 trillion, with significant inflows into broad - based stock and bond ETFs, and the inflow proportion of alternative products mainly based on option strategies significantly exceeded their scale proportion [43][49]. - **Fees vary greatly based on strategy complexity and scarcity**: As of 2025, the scale - weighted average fee of US ETFs was about 0.17%, with the lowest fee as low as 0.01% and the highest exceeding 5%. Most types of active products have an average fee more than 20 basis points higher than passive products, and alternative products have the same average fee. Different asset types also have different fee levels, with broad - based stock and bond products having the lowest fees, and more focused industry - themed products and alternative option - strategy products having higher fees [53]. - **Large differences in institutional ownership among different product types**: Active products generally have a higher institutional ownership than passive products. Different types of products target different customer groups. For example, leveraged products in alternative products are mainly for individual customers with high - risk preferences, while more complex option - strategy products are mainly for institutional customers [56][59]. - **Managers' forward - looking layout of potential market concerns**: US managers continue to actively layout, and the layout direction is often closely related to market concerns and future possible events. For example, in response to the possible concentration risk of the S&P 500, some managers have launched improved S&P 500 ETFs, which have received recognition from institutional customers [60][61]. 3.3 Thoughts on the Domestic ETF Business - **Focus on management details for highly crowded broad - based products**: As of December 2025, domestic non - monetary ETFs had a total scale of 5.8 trillion yuan and 1,369 products. Broad - based products account for 44% of the total scale, but the homogenization competition is fierce. In the competition of domestic broad - based products, after the fee reduction, the competition has entered a stage of "competing on tracking error" and "competing on excess returns". Lower tracking error and higher excess returns are more likely to attract capital inflows [64][71][72]. - **Continue to make forward - looking layouts for industry - themed products**: Although the number of products tracking the same target is relatively small compared to broad - based products, domestic industry - themed products are numerous, widely distributed, and highly segmented, with fierce competition. Some products that were initially unpopular may attract large - scale capital inflows when the market conditions arrive. Therefore, it is still valuable to make early layouts in long - term promising niche segments, but in - depth fundamental research is required before layout [75][80]. - **Strengthen the "timely promotion" of different products**: In addition to early layout, it is also crucial to promote products reasonably at appropriate times. Overseas institutions' Model Portfolio marketing model has had an important impact on ETFs. Domestic managers are also beginning to try ETF portfolio strategies and investment research services to improve investors' investment experience, and this area still has great development potential [81][82][84].

Investment Rating - The report maintains a "Buy" rating for Nanjing Bank, indicating a positive outlook for the stock based on expected performance and valuation recovery [6]. Core Insights - The approval for the major shareholder, Jiangsu Transportation Holding, to increase its stake in Nanjing Bank to over 15% opens up potential for additional capital inflow, estimated at approximately 8.1 billion [6]. - Nanjing Bank is expected to demonstrate a "U-shaped improvement" in revenue for 2025, with a projected revenue growth of 10.5% and a stable net profit growth of around 8.1% [6]. - The bank's strong fundamentals, including a high dividend yield of nearly 5% for 2026 and a price-to-book ratio of approximately 0.71x, suggest it is undervalued compared to peers [6][8]. Financial Data and Earnings Forecast - Total operating revenue is projected to grow from 45,159.51 million in 2023 to 60,101.87 million in 2026, reflecting a compound annual growth rate (CAGR) of approximately 8.21% [5]. - Net profit attributable to shareholders is expected to increase from 18,502.08 million in 2023 to 23,616.22 million in 2026, with a growth rate of 8.30% [5]. - The bank's non-performing loan (NPL) ratio is projected to remain stable at 0.83% from 2025 to 2027, indicating effective risk management [5]. Market Data - As of February 10, 2026, Nanjing Bank's closing price was 11.33 yuan, with a market capitalization of 140,079 million [1]. - The bank's price-to-earnings (P/E) ratio for 2026 is estimated at 6.22, which is competitive compared to other listed banks [8]. - The bank's dividend yield stands at 4.9% for 2026, making it an attractive option for income-focused investors [8].

2026 年 02 月 11 日 南京银行 (601009) ——大股东增持天花板打开，优质城商行属性再凸显 报告原因：有信息公布需要点评 买入（维持） | 市场数据： | 2026 年 02 月 10 日 | | --- | --- | | 收盘价（元） | 11.33 | | 一年内最高/最低（元） | 12.20/9.91 | | 市净率 | 0.8 | | 股息率%（分红/股价） | 4.46 | | 流通 A 股市值（百万元） | 140,079 | | 上证指数/深证成指 | 4,128.37/14,210.63 | | 注："股息率"以最近一年已公布分红计算 | | | 基础数据: | 2025 年 09 月 30 日 | | --- | --- | | 每股净资产（元） | 14.73 | | 资产负债率% | 92.73 | | 总股本/流通 A 股(百万) | 12,364/12,364 | | 流通 B 股/H 股（百万） | -/- | 一年内股价与大盘对比走势： -20% 0% 20% 40% 02-10 03-10 04-10 05-10 06-10 07-10 08-10 09- ...

2026 年 02 月 11 日 申万金工成长组合 2.0: 非线性倾斜 加权提升组合收益弹性 申万金工因子观察第 3 期 20260210 相关研究 证券分析师 邓虎 A0230520070003 denghu@swsresearch.com 联系人 邓虎 A0230520070003 denghu@swsresearch.com 请务必仔细阅读正文之后的各项信息披露与声明 申万金工成长组合是依托于对上市公司未来高业绩增速的预测来实现的:通过分析师的一 ○ 致预期数据，首先，对全市场有分析师覆盖的股票里，取当前一年盈利预测增速前一半的 股票作为股票池;第二,在股票池内,10 月底时剔除前三季度累计盈利增速为负的样本; 第三，在股票池里使用分析师一致预期变化因子最终筛选出 50 只股票。 考虑到投资者对成长组合的需求往往是希望在成长风格来临的时候有更强的收益弹性。本 文考虑结合行业轮动模型对成长组合进行一次升级。以申万金工行业轮动模型的框架为 例,其主要的使用因子包括了基本面、资金面和技术面,其中技术面都偏价格动量,基本 面和资金面偏向业绩动量,在因子分域的思路下, 申万金工行业轮动模型还根据动量占优 和不占 ...

2026 年 02 月 11 日 申万金工成长组合 2.0：非线性倾斜 加权提升组合收益弹性 申万金工因子观察第 3 期 20260210 证 券 研 究 相关研究 证券分析师 邓虎 A0230520070003 denghu@swsresearch.com 联系人 邓虎 A0230520070003 denghu@swsresearch.com 请务必仔细阅读正文之后的各项信息披露与声明 本研究报告仅通过邮件提供给 中庚基金 使用。1 权 益 量 化 研 究 股 票 基 金 报 告 - 股票基金 ⚫ 申万金工成长组合是依托于对上市公司未来高业绩增速的预测来实现的：通过分析师的一 致预期数据，首先，对全市场有分析师覆盖的股票里，取当前一年盈利预测增速前一半的 股票作为股票池；第二，在股票池内，10 月底时剔除前三季度累计盈利增速为负的样本； 第三，在股票池里使用分析师一致预期变化因子最终筛选出 50 只股票。 ⚫ 考虑到投资者对成长组合的需求往往是希望在成长风格来临的时候有更强的收益弹性。本 文考虑结合行业轮动模型对成长组合进行一次升级。以申万金工行业轮动模型的框架为 例，其主要的使用因子包括了基本面、资金面 ...

Investment Rating - The industry investment rating is "Overweight" indicating a positive outlook for the sector [3]. Core Insights - The 2026 Spring Festival will feature a "9-day no work adjustment" policy, leading to a high public satisfaction rate of 92.9%. This extended holiday is expected to significantly boost travel and consumption during the Spring Festival period [7][8]. - The aviation sector anticipates a record passenger volume of 95 million during the 40-day Spring Festival travel period, representing a year-on-year increase of 5.3%. The number of flights planned by domestic airlines is expected to reach 657,000, also up by 5% [8]. - The domestic tourism market is experiencing diverse growth, with family travel becoming increasingly popular. The proportion of family travelers is expected to reach 39%, while the elderly demographic (aged 60 and above) will account for 19% of travelers [18][20]. - There is a notable increase in outbound travel demand, with booking volumes rising nearly 40% year-on-year. Southeast Asia is dominating international travel routes, capturing nearly 50% of outbound flights, while flights to Japan have decreased significantly [31][40]. Summary by Sections 1. Expansion of Aviation and Railway Capacity - The Spring Festival travel period will see a significant increase in passenger flow, with the aviation sector expecting 95 million passengers, and the railway sector projecting 539 million passengers, both reflecting a 5% increase year-on-year [8][16]. 2. Emergence of Diverse Customer Groups - Family travel is on the rise, with a notable increase in the average booking price for family accommodations, which is 9% higher than other types. The demand for larger, more private accommodations is also increasing, with a 77% year-on-year growth in bookings for standalone villas during the winter holiday [18][20]. 3. Restructuring of Destination Patterns - Outbound travel is seeing a shift, with Thailand regaining its position as the top destination. The demand for long-haul and differentiated travel experiences is becoming mainstream, with a significant increase in interest for destinations like Turkey and New Zealand [31][42]. 4. Investment Analysis Recommendations - The report suggests focusing on companies that can leverage the benefits of the extended holiday and the growth in inbound and long-haul outbound travel. Recommended sectors include tourism attractions, exhibition and sports events, human resources, hotels, and duty-free retail [43].

Core Insights - The report highlights the phenomenon of "AI-driven price spillover," indicating that demand for AI hardware is leading to price increases in various industries, with traditional capacities being squeezed and driving supply-demand turning points earlier than expected [1][6][7] - The report summarizes the basic rules of the "high prosperity spillover" market since September 2025, emphasizing that while the fundamental elasticity may not be as strong as the high prosperity itself, there can still be elasticities in spillover markets [1][22] - It identifies specific sectors in the A-share market that are experiencing AI price spillover, recommending attention to fiberglass and optical fiber due to their favorable valuations and visible price increases [1][26][31] Summary by Sections AI Price Spillover - AI hardware demand is experiencing high prosperity, leading to traditional industries facing supply constraints and price increases [1][6] - The spillover market can yield returns from two sources: performance improvements from supply being squeezed and valuation recovery from previously low historical levels [1][22] - The report notes that the success rate of such markets is not very high, suggesting the need for additional alpha logic, such as companies with strong pricing power or potential entry into high prosperity sectors [1][25] Industry Analysis - **Fiberglass**: Driven by AI computing demand, special fabrics are experiencing high prosperity, with traditional fiberglass showing a confirmed bottom in asset turnover and manageable downside risks [1][26][28] - **Optical Fiber**: The industry has confirmed a bottom in the operating cycle, with traditional capacity being squeezed and a clear upward option due to high-profit products entering the market [1][31][32] - **Niche Storage**: Benefiting from AI price spillover, with supply shortages driving price increases, although mid-term performance may be limited [1][11][37] - **Wafer Foundry**: The exit of overseas leaders from 8-inch plants is expected to benefit domestic foundries, with short-term price increases anticipated [1][37] - **Power Semiconductors**: AI-driven demand is strong, but the uncertainty in fundamental recovery may limit the potential for similar market performance as seen in lithium batteries [1][40] - **CPU**: The supply of CPUs is tight due to AI chip demand, but the corresponding A-share market shows limited fundamental realization [1][43]

宏 观 研 究 政策月报 2026 年 02 月 11 日 积极因素正在累积 —— 1 月政策跟踪观察 开年以来，地产、消费、投资均有积极变化。部委间财政金融政策如何协同发力扩内需、撑民 企？地方政府如何抢抓"最长春节"红利？本文结合部委及地方政策动态深入分析，可供参考。 一、地产最艰难的时段或已过去，供需拖累均有所放缓 地产部分供需数据已呈现边际修复态势，最艰难的时段或已逐步过去。从成交与土地市场数据 来看，供需端同步显现改善迹象，核心指标降幅小幅收窄。节前 3-4 周，全国代表城市二手房 成交面积同比降幅收窄超 5 个百分点至-14.7%。供给端，2025 年 12 月政府性基金收入降幅收 窄至-11.7%；土地出让收入同比-22.9%，较 11 月收窄 3.9 个百分点。 政策层面，多维度支持政策持续发力、协同发力，着力稳定房地产市场运行。房企监管重点更 聚焦于风险处置与民生保障，形成差异化、精准化的监管导向。媒体报道指出，目前多家房企 已不再被监管部门要求每月上报"三道红线"相关指标；部分出险房企需向总部所在城市专项 工作组定期汇报资产负债率等核心财务指标，同时还需上报经营恢复进展、债务化解情况等。 ...