2026年宏观对冲策略年报：2026年宏观对冲策略年度行情展望

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - In the second half of 2025, the uncertainty of domestic and foreign policies improved. With the improvement of global liquidity and the stabilization of the domestic economy, the diversification effect among stocks, bonds, and commodities significantly recovered since mid - year, and the effectiveness of asset allocation increased. The overseas policy path became clearer, the Fed entered the interest - rate cut cycle, and major economies increased fiscal expansion, driving the global economy to show signs of mild recovery and supporting emerging market demand. In this context, market risk appetite recovered, and the resonance risk of assets decreased. The external environment for macro - hedging strategies improved significantly compared to the beginning of the year, and profits were achieved in the second half of the year [2]. - In 2026, the allocation cost - performance of macro - hedging strategies will increase. Risk - parity strategies have more bottom - position value in an environment where asset correlations decline, which can balance return acquisition and drawdown control. However, the market may still experience periodic fluctuations, so it is necessary to pay attention to whether the manager has a perfect tail - risk protection mechanism. In the pattern where asset differentiation reappears, moderately increasing the allocation of asset - rotation managers with single - asset alpha - capture ability can enhance the portfolio's return elasticity and optimize the risk - return structure [3]. Summary According to the Table of Contents 1. Review of the Performance of Macro - Hedging Strategies in 2025 1.1 Review of the Performance of Risk - Parity and Asset - Rotation Strategies - The "risk - parity" index of domestic macro - hedging managers had a net value of 1.172 as of November 28, 2025. The weekly average return was 0.36%, with an annualized value of 20.29%, and the weekly volatility was 1.41%, with an annualized volatility of 10.15%. The cumulative maximum drawdown was - 4.09%, reaching the bottom in the week after April 11 (Tomb - Sweeping Festival). The "asset - rotation" index had a net value of 1.101. The weekly average return was 0.21%, with an annualized value of 11.72%, and the weekly volatility was 0.93%, with an annualized volatility of 6.67%. The cumulative maximum drawdown was - 3.73%, reaching the bottom on May 23. Overall, the performance of risk - parity strategies was better than that of asset - rotation strategies in 2025, but the volatility was also greater [6][7]. - For risk - parity macro - hedging managers, the average weekly return was positive in 30 weeks and negative in 16 weeks from January 3 to November 28, 2025. The highest single - week return was 5.87%, occurring in the week of May 23, mainly due to the sharp increase in gold prices, and the maximum single - week drawdown was - 2.35%, occurring after the Tomb - Sweeping Festival on April 11. For asset - rotation macro - hedging managers, the weekly return was positive in 25 weeks and negative in 20 weeks. The highest single - week return was 2.57%, also occurring after the Spring Festival in February, and the maximum single - week drawdown was - 2.06%, occurring in the week of November 21, following the stock decline that week [8]. - The performance of macro - hedging strategies was differentiated in the first and second halves of the year, with the second - half performance being significantly better. In the first half, due to high macro - volatility and global macro - uncertainties, the drawdown and volatility of risk - parity managers were greater than those of asset - rotation managers. After the Tomb - Sweeping Festival, the net values of the two strategies diverged significantly. In the second half, the stock - bond bull market and the continuous strengthening of gold after the third quarter led to a significant increase in the returns of macro - hedging strategies. After September, the risk - parity strategies outperformed the asset - rotation strategies due to their passive holding of gold positions, but the overall volatility was also greater [9]. 1.2 Review of the Performance of Subjective and Quantitative Strategies - As of November 28, 2025, the cumulative net value of the quantitative macro - hedging index was 1.128, and that of the subjective macro - hedging index was 1.118. The average weekly return of the quantitative macro - index was 0.27%, with a weekly volatility of 0.98% (annualized volatility of 7.06%). The average weekly return of the subjective macro - index was 0.25%, with a weekly volatility of 1.03% (annualized volatility of 7.46%). The single - week maximum return of the quantitative macro - hedging index was 3.36% on May 23, and the maximum single - week drawdown was - 2.47% after the Tomb - Sweeping Festival on April 11. The maximum single - week return of the subjective macro - hedging index was 3.00% on February 7, and the maximum single - week drawdown was - 2.37% on November 21 [12]. - In terms of return and drawdown, the volatility of the two strategies was similar. In the market in 2025, the return differences between the two strategies were not significant, but the market conditions affecting the returns were slightly different [13]. 2. Review of Macro - Hedging Strategies and Market Conditions in 2025 2.1 Domestic Macro - Hedging Strategies 2.1.1 Analysis of the Correlation between Macro - Hedging Strategies and Major Asset Classes - In 2025, the negative correlation between bonds and equity indices weakened compared to the end of last year. Commodities were positively correlated with stock indices, negatively correlated with bonds, and positively correlated with gold. Gold was negatively correlated with equities and had a higher correlation with bonds compared to the end of last year, indicating its status as a primary safe - haven asset. Overall, asset correlations showed further differentiation in 2025 [18]. - The weekly return of the risk - parity index had the highest correlation with the return of the gold ETF, reaching 0.453, followed by the CSI Commodity Index and the SSE 50 Index, reaching 0.441 and 0.230 respectively. So, the returns of risk - parity strategies mainly relied on gold this year. In contrast, the asset - rotation index had the highest correlation with the CSI 1000 Index, reaching 0.641, and a much higher correlation with the SSE 50 Index than the risk - parity strategies, reaching 0.628. Therefore, the returns of asset - rotation managers were more dependent on their equity exposure. The exposure of both strategies to bonds decreased compared to the first half of the year [19]. 2.1.2 Review of Macro - Hedging Strategies and Equity Assets - In 2025, the asset - rotation strategy was more dependent on stocks for returns than the risk - parity strategy. The A - share market showed a trend of first falling and then rising. As of November 28, 2025, the CSI 1000 Index had a higher increase than the SSE 50 Index, with a net value of 1.304 after normalization at the beginning of the year, while the SSE 50 Index was 1.199. The weekly average return of the SSE 50 Index was 0.40%, with a volatility of 1.66% (annualized volatility of 11.96%), and the weekly average return and volatility increased compared to mid - year. The weekly average return of the CSI 1000 Index was 0.60%, with a volatility of 2.61% (annualized volatility of 18.8%), and the weekly average return increased while the volatility decreased compared to mid - year [21]. - In the first quarter, the stock market fluctuated and differentiated, with risk appetite recovering but volatility also increasing significantly. The market showed an overall upward - fluctuating trend, and the macro - hedging strategies diverged, with the risk - parity index being dragged down by bonds and commodities and performing weakly, while the asset - rotation index benefited from the growth market. In the second quarter, the market was affected by policy disturbances and trade risks, with significant fluctuations. The macro - hedging strategies also showed differentiation. In the third quarter, driven by the "anti - involution" policy, the stock market rose strongly, and the macro - hedging strategies generally benefited. In the fourth quarter, the market adjusted, and the macro - hedging strategies faced drawdowns [22][23][24][25]. 2.1.3 Review of Macro - Hedging Strategies and Treasury Bond Assets - The correlation between the risk - parity strategy and the 10 - year Treasury bond futures was 0.221, while that of the asset - rotation strategy was - 0.068. Many managers believed that the Treasury bond market had entered a bear market, so asset - rotation managers mostly reduced or shorted Treasury bonds, while risk - parity strategies still held bond positions [28]. - In the first quarter, the bond market adjusted at a high level. Most macro - managers actively reduced bond durations, with risk - parity strategies slightly reducing positions and asset - rotation strategies starting to reduce or short bond assets. In the second quarter, the bond market fluctuated at a high level. In May, the risk - parity managers who held Treasury bonds achieved positive returns, while the asset - rotation managers had drawdowns. In the third quarter, the bond market was under pressure, but the macro - hedging managers were not significantly affected. In the fourth quarter, the bond market showed a short - term recovery with limited space. The risk - parity managers obtained some returns from the bond market recovery in October, while the asset - rotation managers had slightly lower returns due to their low bond allocation [28][29][30][31]. 2.1.4 Review of Macro - Hedging Strategies and Commodity Assets - From January 3 to November 28, 2025, the normalized cumulative net value of the CSI Commodity Index was 1.087. The correlation between the risk - parity index and the CSI Commodity Index was 0.441, and that of the asset - rotation strategy was 0.506. Commodities had a greater impact on asset - rotation strategies, but the correlations decreased compared to mid - year [33]. - In the first half of 2025, the commodity index trended weakly with high volatility. The asset - rotation managers with short positions in industrial products performed better. In the third quarter, driven by the "anti - involution" policy, the commodity market rose and then partially corrected, and many macro - hedging strategies obtained some returns. In the fourth quarter, the commodity market consolidated, and the contribution of commodities to macro - hedging strategies was not significant, but there were some drawdowns in November [33][34][35]. 2.1.5 Review of Macro - Hedging Strategies and Gold ETF Assets - In 2025, gold reached new highs and was one of the strongest - performing assets. The cumulative net value of the gold ETF from January 3 to November 28, 2025, was 1.588. The correlation between the risk - parity strategy and the gold ETF was 0.453, while that of the asset - rotation strategy was 0.110. Gold had a much greater impact on risk - parity strategies, and the asset - rotation managers were more willing to participate in the equity market. Compared to mid - year, the correlations of both strategies with the gold ETF decreased, with the asset - rotation strategy showing a larger decrease [37]. - In the first quarter, gold fluctuated strongly. Although it contributed positively to the macro - hedging strategies, the contribution was limited due to low positions. In the second quarter, gold was supported by weak US economic data and geopolitical risks, bringing positive returns to the strategies but being partially offset by the drawdowns of equity and commodity assets. In May, gold entered an adjustment phase, and the risk - parity strategies faced relatively large drawdowns. In the third quarter, gold fluctuated and consolidated, and its contribution to the strategies was limited. In the fourth quarter, gold maintained a strong pattern. In October, the risk - parity strategies benefited significantly from the new high of gold, while the asset - rotation managers had a weaker increase in returns. In November, there were some drawdowns due to the gold price correction [38][39][40][41][42]. 2.2 Overseas Macro - Hedging Strategies 2.2.1 Review of Overseas Macro - Hedging Strategies - As of October 2025, the net value of the "unidentified" macro - hedging index was 1.088, with a monthly average return of 0.86% (annualized to 10.88%), a monthly volatility of 1.44% (annualized volatility of 4.97%), and a maximum monthly drawdown of - 1.10% in April. The net value of the "subjective" macro - hedging index was 1.129, with a monthly average return of 1.23% (annualized to 15.81%), a monthly volatility of 1.41% (annualized volatility of 4.90%), and a maximum drawdown of - 1.68% in March. The net value of the "quantitative" macro - hedging index was 1.159, with a monthly average return of 19.55%, a monthly volatility of 1.54% (annualized volatility of 5.35%), and a maximum drawdown of - 0.77% also in April. Overall, the quantitative macro - hedging strategy performed the best, followed by the subjective strategy, and the overall returns were similar to those in the domestic market [45][46]. 2.2.2 Analysis of the Correlation between Overseas Macro - Hedging Strategies and Major Asset Classes - In 2025, from January to October, the S&P 500 and the GSCI Commodity Index had a positive correlation, while they were negatively correlated with the US Treasury bond index and New York gold. The US Treasury bond index was negatively correlated with the commodity index. The return of gold had a low correlation with stocks, bonds, and commodities, and its correlation with the S&P 500 changed from positive to negative compared to mid - 2025 [49]. - The return of the unidentified macro - hedging index had a more balanced correlation with major asset classes, with a near - zero correlation with New York gold. The subjective macro - hedging index had a high correlation with the S&P 500 (0.792) and a negative correlation with New York gold, indicating that its returns were more dependent on the overall performance of the US stock market. The quantitative macro - hedging index also had a high correlation with the S&P 500 (0.627) and the GSCI (0.300), but a negative correlation with US Treasury bonds and gold, suggesting that its returns were also more related to the US stock market, and overseas macro - hedging managers' returns did not seem to rely much on the gold market this year [50]. 2.2.3 Review of Overseas Macro - Hedging Strategies and US Assets - The S&P 500 was the asset most correlated with the subjective and quantitative macro - hedging strategies. The overseas equity market performed well in 2025, and the S&P 500 index rose by about 16.7% during the year, bringing significant returns to overseas macro - hedging strategies [52][53]. - The US Treasury bond market was mainly traded around interest - rate cut expectations. The short - term interest rates declined, while the long - term interest rates remained relatively high, resulting in a bull market in US Treasury bonds and bringing returns to some overseas macro - hedging strategies [55]. - The GSCI index was more correlated with the unidentified and quantitative macro - hedging indices and negatively correlated with the subjective macro - hedging index. The GSCI index performed weakly and was volatile, and its decline in April affected the net values of some overseas macro - hedging managers [59]. - Only the unidentified macro - hedging strategy had a positive correlation with New York gold, while the subjective and quantitative macro - hedging strategies had negative correlations. The strong performance of gold this year seemed to have a weak correlation with the returns of overseas macro - hedging strategies. Although gold reached new highs in April and October, the increase in April did not offset the losses of overseas macro - hedging strategies [62]. 3. Conclusion and Investment Outlook 3.1 Judgment on Macro - Hedging Strategies in 2026 - Since the transition from mid - year to the fourth quarter, the correlation between assets has decreased significantly compared to mid - year, and the diversification effect among stocks, bonds, and commodities has gradually recovered. With the stabilization of the domestic economy and the improvement of the global liquidity environment, the three major asset classes have shown more differentiated performance, and the effectiveness of asset allocation has increased [64]. - In 2026, the overseas policy path will be clearer, with the Fed entering a continuous interest - rate cut cycle and major economies increasing fiscal expansion, driving the global economy to show signs of mild recovery. The domestic policy will focus on "anti - involution" and structural optimization. Under the improvement of the economy and liquidity, market risk appetite will recover, and the resonance risk between assets will decrease. The external environment for macro - hedging strategies will improve significantly compared to the beginning of the year [64][65]. 3.2 Investment Outlook - In 2026, the allocation value of macro - hedging strategies will increase, and the overall return cost - performance will rise. In the market environment where both gold and equities are at relatively high levels but still have continuous allocation value, macro - hedging strategies can balance return acquisition and drawdown control. Some investors are