2026 年 01 月 22 日 证券研究报告 | 金融工程周报 市场降温整固，成长优势延续 市场环境因子跟踪周报（2026.01.16） 分析师：李亭函 分析师登记编码：S0890519080001 电话：021-20321017 邮箱：litinghan@cnhbstock.com 分析师登记编码：S0890524080001 电话：021-20321077 zhangshuai564576@cnhbstock.com 邮箱：zhangjunrui@cnhbstock.com 021-20515355 1、《A 股行情延续，成长风格占优—市场 环 境 因 子 跟 踪 周 报 （ 2026.01.09 ）》 2026-01-14 2、《贵金属行情火热，权益等待春季行情 —市场环境因子跟踪周报（2025.12.19）》 2025-12-24 3、《A 股调整稳固，商品趋势度提升—市 场环境因子跟踪周报（2025.12.12）》 2025-12-18 4、《市场维持震荡，风格轮动提速—市场 环 境 因 子 跟 踪 周 报 （ 2025.11.13 ）》 2025-11-13 5、《市场情绪仍偏高，警惕高位股调整 ...

2026 年 01 月 22 日 证券研究报告 | 金融工程周报 市场降温整固，成长优势延续 市场环境因子跟踪周报（2026.01.16） 021-20515355 1、《A 股行情延续，成长风格占优—市场 环 境 因 子 跟 踪 周 报 （ 2026.01.09 ）》 2026-01-14 2、《贵金属行情火热，权益等待春季行情 —市场环境因子跟踪周报（2025.12.19）》 2025-12-24 分析师：李亭函 分析师登记编码：S0890519080001 电话：021-20321017 邮箱：litinghan@cnhbstock.com 分析师登记编码：S0890524080001 电话：021-20321077 zhangshuai564576@cnhbstock.com 邮箱：zhangjunrui@cnhbstock.com 3、《A 股调整稳固，商品趋势度提升—市 场环境因子跟踪周报（2025.12.12）》 2025-12-18 4、《市场维持震荡，风格轮动提速—市场 环 境 因 子 跟 踪 周 报 （ 2025.11.13 ）》 2025-11-13 5、《市场情绪仍偏高，警惕高位股调整 ...

银行理财再掀"降费潮" ，周开持有期新品亮相 银行理财周度跟踪（2026.1.12-2026.1.18） 2026 年 01 月 21 日 证券研究报告|银行理财周报 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 021-20515355 1、《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 2、《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 3、《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 财周度跟踪（2025.12.15-2025.12.21）》 2025-12-24 4、《利率风险管理迎重要突破，理财打新 再 添 硕 ...

2026 年 01 月 21 日 证券研究报告|银行理财周报 3、《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 财周度跟踪（2025.12.15-2025.12.21）》 2025-12-24 银行理财再掀"降费潮" ，周开持有期新品亮相 银行理财周度跟踪（2026.1.12-2026.1.18） 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 021-20515355 1、《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 2、《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、《利率风险管理迎重要突破，理财打新 再 添 硕 ...

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Report Industry Investment Rating No information provided in the content. Core Viewpoints of the Report The report presents several ETF strategy indices constructed with the help of ETFs, and tracks the performance and positions of these indices on a weekly basis. Each index has its own unique strategy and has achieved different levels of excess returns over different time periods [12]. Summary by Relevant Catalogs 1. ETF Strategy Index Tracking - **Overall Performance Last Week**: The table shows the performance of various ETF strategy indices last week, including their returns, comparison benchmarks, benchmark returns, and excess returns. For example, the Huabao Research Large - Small Cap Rotation ETF Strategy Index had a last - week return of 1.73%, with a benchmark (CSI 800) return of 0.20% and an excess return of 1.52% [13]. 1.1. Huabao Research Large - Small Cap Rotation ETF Strategy Index - **Strategy**: Utilizes 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. The model outputs signals weekly to predict the strength of the indices in the next week and determines positions accordingly to obtain excess returns relative to the market. - **Performance**: As of 2026/1/16, the excess return since 2024 was 27.85%, the excess return in the recent month was 4.13%, and the excess return in the recent week was 1.52%. The index's recent - week return was 1.73%, recent - month return was 10.63%, and return since 2024 was 69.44%, compared with the CSI 800's 0.20%, 6.50%, and 41.59% respectively. - **Positions**: As of 2026/1/16, it held 50% in the CSI 500ETF (fund code: 159922.SZ) and 50% in the CSI 1000ETF (fund code: 512100.SH) [14][15][18]. 1.2. Huabao Research SmartBeta Enhanced ETF Strategy Index - **Strategy**: Uses price - volume indicators to time self - built Barra factors, and then maps the timing signals to ETFs based on the ETFs' exposure to 9 major Barra factors to obtain returns exceeding the market. The selected ETFs cover mainstream broad - based index ETFs and some style and strategy ETFs. - **Performance**: As of 2026/1/16, the excess return since 2024 was 16.89%, the excess return in the recent month was - 4.53%, and the excess return in the recent week was - 1.19%. - **Positions**: As of 2026/1/16, it held 25.23% in the Free Cash Flow ETF800 (fund code: 563580.SH), 25.11% in the Shenzhen Dividend ETF (fund code: 159905.SZ), 24.87% in the Dividend Low - Volatility 100ETF (fund code: 515100.SH), and 24.79% in the High - Dividend ETF (fund code: 563180.SH) [18][19][21]. 1.3. Huabao Research Quantitative Fire - Wheel ETF Strategy Index - **Strategy**: Starts from a multi - factor perspective, including the grasp of medium - to - long - term fundamental dimensions, the tracking of short - term market trends, and the analysis of the behavior of various market participants. It uses valuation and crowding signals to prompt industry risks and multi - dimensionally digs out potential sectors to obtain excess returns relative to the market. - **Performance**: As of 2026/1/16, the excess return since 2024 was 39.33%, the excess return in the recent month was 1.80%, and the excess return in the recent week was - 0.03%. - **Positions**: As of 2026/1/16, it held 21.64% in the Non - Ferrous Metals ETF (fund code: 512400.SH), 19.99% in the Chemical ETF (fund code: 159870.SZ), 19.79% in the Penghua Petroleum ETF (fund code: 159697.SZ), 19.43% in the Steel ETF (fund code: 515210.SH), and 19.16% in the E Fund Securities and Insurance ETF (fund code: 512070.SH) [21][23][26]. 1.4. Huabao Research Quantitative Balance Art ETF Strategy Index - **Strategy**: Adopts a multi - factor system including economic fundamentals, liquidity, technical aspects, and investor behavior factors to build a quantitative timing system for trend analysis of the equity market. It also establishes a prediction model for the market's large - and small - cap styles to adjust the equity market position distribution and comprehensively obtains excess returns relative to the market through timing and rotation. - **Performance**: As of 2026/1/16, the excess return since 2024 was - 11.23%, the excess return in the recent month was - 0.53%, and the excess return in the recent week was 0.77%. - **Positions**: As of 2026/1/16, it held 9.05% in the 10 - Year Treasury Bond ETF (fund code: 511260.SH), 6.50% in the Enhanced 500ETF (fund code: 159610.SZ), 6.38% in the CSI 1000ETF (fund code: 512100.SH), 33.10% in the Enhanced 300 ETF (fund code: 561300.SH), 22.48% in the Short - Term Financing ETF (fund code: 511360.SH), and 22.48% in the Policy Financial Bond ETF (fund code: 511520.SH) [25][26][28]. 1.5. Huabao Research Hot - Spot Tracking ETF Strategy Index - **Strategy**: Based on strategies such as market sentiment analysis, industry major event tracking, investor sentiment and professional opinions, policy and regulatory changes, and historical deduction, it timely tracks and digs out hot - spot index target products to construct an ETF portfolio that can timely capture market hot - spots, providing investors with references for short - term market trends and helping them make more informed investment decisions. - **Performance**: As of 2026/1/16, the excess return in the recent month was 2.67% and the excess return in the recent week was 1.48%. - **Positions**: As of 2026/1/16, it held 41.45% in the Non - Ferrous 50ETF (fund code: 159652.SZ), 21.71% in the Bosera Hong Kong Stock Dividend ETF (fund code: 513690.SH), 19.81% in the E Fund Hong Kong Stock Connect Pharmaceutical ETF (fund code: 513200.SH), and 17.03% in the Short - Term Financing ETF (fund code: 511360.SH) [28][30][31]. 1.6. Huabao Research Bond ETF Duration Strategy Index - **Strategy**: Uses bond market liquidity indicators 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 the portfolio's long - term returns and drawdown control ability. - **Performance**: As of 2026/1/16, the excess return in the recent month was 0.30% and the excess return in the recent week was 0.20%. - **Positions**: As of 2026/1/16, it held 50.02% in the 10 - Year Treasury Bond ETF (fund code: 511260.SH), 24.99% in the Policy Financial Bond ETF (fund code: 511520.SH), and 24.99% in the 5 - to 10 - Year Treasury Bond ETF (fund code: 511020.SH) [31][32][34].

Group 1 - The report emphasizes a rational cooling in the market, suggesting that the economic climate remains a safe haven for investors [1][3] - The bond market sentiment has improved due to recent central bank operations that injected liquidity, leading to a quick recovery in the 10-year government bond yield, which is expected to fluctuate around 1.85% [2][12] - The report highlights the importance of high coupon bond allocations, especially if government bond supply pressures ease in late January, presenting a potential mid-term buying opportunity [12][13] Group 2 - The stock market is experiencing a shift back to rationality, with regulatory measures aimed at preventing overheating risks, leading to adjustments in major indices like the CSI 300 [3][10] - The report suggests that after the market returns to rationality, it will benefit a slow bull market and attract funds back to high-growth sectors such as AI hardware, robotics, semiconductors, new energy, non-ferrous metals, and chemicals [3][13] - Short-term market indices may still be in a cooling phase, and it is recommended to wait for reduced selling pressure before making new investments [12][13] Group 3 - The report notes that the overseas markets are likely to continue a strong but volatile trend, although geopolitical risks in the Middle East have increased uncertainty [13] - Recent adjustments in financing margin ratios by the China Securities Regulatory Commission aim to lower leverage levels and protect investor rights, which may contribute to long-term market stability [9][10] - The report indicates that the A-share market has seen a significant increase in trading volume, with daily average turnover rising to 34,651 billion, marking a historical high [20]

Investment Rating - The report indicates a positive outlook for the banking wealth management industry, highlighting the explosive growth of index-based wealth management products in 2025 [4]. Core Insights - The banking wealth management market is experiencing a significant transformation, with a focus on index-based products and enhanced risk management capabilities through independent participation in interest rate derivatives [4][15]. - The report emphasizes the importance of diversified asset allocation and multi-strategy approaches as mainstream directions for the industry [4][15]. - Regulatory developments, such as the implementation of the Asset Management Product Information Disclosure Management Measures, are establishing a unified regulatory framework for information disclosure [15][19]. Summary by Sections Market Overview - As of December, the total market size of wealth management products was 31.66 trillion yuan, showing a slight decrease of 0.16% month-on-month but an increase of 6.69% year-on-year [6][11]. - The annualized yield for cash management products increased to 1.34%, up 5.57 basis points from the previous month [6][11]. New Product Launches - The issuance of new wealth management products increased in December, with a focus on fixed income plus products, closed-end products, and 1-3 year term products dominating the market [7][9]. - The performance benchmarks for newly issued fixed income plus wealth management products mostly continued to decline, reflecting a consensus on long-term low interest rates [7][9]. Regulatory Developments - The banking wealth management industry is moving towards a "net value 3.0" era, emphasizing the need for a comprehensive management system that integrates investment decision-making and risk management [15][19]. - The new disclosure regulations aim to standardize the information disclosure process across different asset management products, enhancing transparency and accountability [19]. Industry Innovations - Wealth management companies are actively participating in IPOs in both A-shares and Hong Kong markets, with notable investments in companies focused on green transformation and technology [5][20]. - The report highlights the trend of wealth management firms developing their own indices to enhance competitive differentiation and meet client demands for customized investment strategies [4][13].

Group 1 - The report indicates that the equity market showed positive performance in December 2025, with major indices rising, particularly in the cyclical and growth sectors, while value sectors lagged behind [3][11] - Specific industries such as defense, non-ferrous metals, and communications saw significant gains of 21.24%, 13.03%, and 12.82% respectively, while real estate, food and beverage, and pharmaceuticals experienced declines of -4.47%, -4.34%, and -4.09% [11][12] - The report highlights a shift in market sentiment from defensive to offensive, driven by favorable liquidity conditions and positive policy signals from the Central Economic Work Conference [4][17] Group 2 - The report emphasizes the importance of focusing on sectors with strong performance indicators, particularly the AI industry chain and commercial aerospace, while also monitoring external factors such as U.S. Federal Reserve interest rate expectations [4][19] - It suggests a strategic resource re-evaluation, particularly in metals and energy resources, as geopolitical dynamics shift towards a focus on national strength and stability [19] - The report outlines a multi-strategy approach for fixed income funds, recommending a balanced allocation between flexible bond strategies and equities with strong risk control and long-term return potential [5][30] Group 3 - The report provides insights into the performance of various fund indices, with the active equity fund index showing a cumulative net value of 1.4934 since its inception, outperforming the benchmark by 20.21% [21][22] - The short-term bond fund index has also shown positive performance, with a cumulative net value of 1.4637, exceeding its benchmark by 0.5434% since its construction [28][29] - The report details the selection criteria for fund indices, focusing on performance stability, risk management, and the ability to adapt to market conditions [24][30]