基金经理研究系列报告之八十九：宏利基金李宇璐：遵循绝对收益理念，平稳穿越复杂的牛熊市场

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - The report focuses on Li Yulu, a fund manager at Manulife Fund, who adheres to the principle of absolute return and aims to navigate complex bull - bear markets smoothly. Li Yulu has formed a comprehensive investment framework and achieved good results in the management of representative products such as Manulife Jili and Manulife Juli [3]. 3. Summary According to the Table of Contents 3.1 Macro - view of Manulife Fund Manager Li Yulu - Personal Background: Li Yulu holds a master's degree in International Banking and Monetary Studies from the University of Birmingham, UK. She has worked in credit rating, insurance, and pension companies before joining Manulife Fund in April 2021. Currently, she manages mainly fixed - income plus and pure - bond funds, with representative products including Manulife Jili and Manulife Juli [3][9]. - Investment Framework - Systematic Asset Allocation: The company's fixed - income investment committee sets the annual strategic position, and adjusts the quarterly and monthly tactical positions dynamically. The fund manager and researchers determine specific allocations and select individual stocks and bonds. A multi - department team manages investment concentration, risk, and monitors product net value daily [12]. - Pure - bond Investment: Adopt a "core + satellite" strategy. The core position focuses on high - coupon, low - credit - risk financial - like bonds, and the satellite position targets trading opportunities in local government bonds. Avoid credit downgrades and continuously track bond credit changes [13]. - Stock Investment: Based on the absolute return target, use dividend - paying stocks as the base position, moderately allocate AI and new - tech stocks, and reserve some positions for excess returns through sector rotation. Adjust stock positions dynamically according to market trends, economic data, and policies [13]. - Convertible Bond Investment: In first - tier bond funds, convertible bonds are used to enhance pure - bond returns; in second - tier bond funds, they provide certain returns. The convertible bond portfolio has a "stable base + enhanced flexibility" structure, with a focus on in - depth research and bottom - up stock selection [13][14]. 3.2 Second - tier Bond Fund Representative: Manulife Jili - Risk - return Characteristics - Annual Positive Returns: Since Li Yulu took office, Manulife Jili has achieved positive returns in every full year, outperforming second - tier bond funds in various risk - return indicators [15]. - Outperformance Against Peers: Compared with other medium - position second - tier bond funds, it leads in cumulative returns, maximum drawdown control, Sharpe ratio, and Calmar ratio [18]. - Asset Allocation Strategy - Dynamic Position Adjustment: The "plus" assets are mainly stocks, with a relatively small convertible bond investment ratio. The fund manager adjusts positions based on the accumulation of safety margins and significantly reduces positions during extreme market conditions [20]. - Stock Position Timing: The fund manager is a moderate timer, making large - scale position adjustments only in extreme market conditions and small - scale adjustments in normal times [22]. - Pure - bond Investment Style - High - grade Credit Bonds: The bond investment uses a coupon - based strategy with some interest - rate bond trading. It prefers high - grade medium - term notes, corporate bonds, and policy - bank bonds [27]. - Diversified Portfolio: The bond portfolio is relatively diversified, with the top five heavy - position bonds accounting for no more than 20% of bond assets. The duration center is 3 - 4 years, showing significant duration timing characteristics [30][34]. - Convertible Bond Investment Style: The convertible bond portfolio is concise, with a small number of bonds (no more than 20 during the reporting periods). It mainly consists of large - cap bank convertible bonds, with a low equity - like position, focusing on stable returns [36]. - Stock Investment Style - Sector Rotation: The fund manager mainly allocates to dividend and technology sectors, adjusting the allocation ratio according to market conditions. Since 2024, the weight of the technology sector has increased [44]. - Style and Concentration: The fund manager follows market trends in terms of market - value and fundamental styles. The stock portfolio was relatively diversified before 2024 and has become more concentrated since then. The turnover rate is 2 - 3 times, and some technology stocks are held for the long term [48][50]. 3.3 First - tier Bond Fund Representative: Manulife Juli - Risk - return Characteristics - Stable Positive Returns: Since the strategy reform in 2023/11/20, Manulife Juli has maintained a relatively low position and continuously provided stable positive returns for investors [60]. - High Quarterly Win - rate: Since 2024, it has achieved positive returns in 7 consecutive quarters, with a quarterly win - rate of 100% and 85.71% of quarters achieving excess returns over the first - tier bond fund index [60]. - Time - enhanced Earnings Effect: The holding - period returns show a "time - enhanced" characteristic, with the average return, median return, and probability of positive returns increasing with the holding time [63]. - Higher Sharpe Ratio: Compared with first - tier bond funds with the same position, it has a better Sharpe ratio, indicating a higher risk - return ratio [67]. - Asset Allocation Strategy - Low - risk Convertible Bond Allocation: The average convertible bond allocation ratio in the recent four periods is about 14.63%, with a low risk exposure, which is in line with the goal of low - volatility and absolute return [68]. - Contrarian Position Adjustment: The convertible bond position changes significantly, following a "buy - low, sell - high" strategy and implementing a temporary empty - position strategy in extreme market conditions [68]. - Pure - bond Investment Strategy - Financial Bonds and Local Government Bonds: Since the end of 2023, the fund has focused on financial bonds as the core position and local government bonds for trading. The position management of local government bonds is flexible, based on the spread between local government bonds and treasury bonds [73]. - Flexible Duration Strategy: The duration strategy is flexible, increasing duration when interest rates are expected to fall and reducing it when necessary. The bond portfolio is becoming more diversified, with the top five heavy - position bonds accounting for no more than 30% of bond assets [76]. - Convertible Bond Investment Strategy - Concise Portfolio: Similar to Manulife Jili, the convertible bond portfolio is concise, with the number of bonds usually between 10 - 40. - Stronger Return - enhancement: Compared with Manulife Jili, it has a lower proportion of bank convertible bonds, a higher equity - like position, a lower bond - like position, and more small - and medium - cap convertible bonds, showing a stronger return - enhancement property [82][85].