2026年量化和基金研究年度策略：公募新规下的ETF组合投资元年

Investment Strategy Overview - The report introduces a "systematic macro strategy" framework that addresses four key elements of strategy research: macro trend analysis, style selection, industry comparison, and risk control based on technical buy/sell points, essentially forming a multi-dimensional selection system focused on Beta [3][13][15] - The report emphasizes the importance of implementing investment strategies through portfolio investment methods, particularly focusing on ETF combinations rather than individual stock selection [3][13] Regulatory Changes and Market Dynamics - From 2023 to 2026, regulatory bodies like the CSRC and the Asset Management Association of China have introduced five significant new regulations aimed at enhancing the quality of public funds, shifting the focus from scale to returns and from products to clients [4][14] - The new regulations emphasize the need for transparent and accurate performance benchmarks, linking relative performance to management compensation, thus necessitating a shift in focus from Alpha to Beta [4][14] ETF Investment Landscape - The total volume of ETFs surpassed 60 trillion in 2025, and with the new regulations set to take effect, 2026 is anticipated to be the "year of ETF portfolio investment" [6][15] - The report argues that many believe the strategy types achievable with ETFs are limited, but it aims to provide more solutions for strategy and product implementation, showcasing the diverse strategic dimensions available under multi-asset and single-asset benchmarks [6][15] Multi-Asset and Single-Asset Strategies - The report discusses the importance of multi-asset allocation in a volatile global economic environment, highlighting that a well-constructed multi-asset portfolio can provide better investment value than single equities or bonds [19][21] - It presents findings on the correlation of various asset classes from 2006 to 2025, indicating that stocks and bonds have shown negative correlation, particularly post-2020, enhancing the case for multi-asset strategies [20][25] Performance Metrics and Risk Management - The report details the performance of various asset allocation models, noting that a traditional risk parity model has outperformed multiple asset classes since January 2018, achieving an annualized return of 5.13% with a volatility of 3.08% [29][41] - It emphasizes the necessity of using a systematic framework to ensure that underlying assets maintain a consistent Sharpe ratio, thereby maximizing the advantages of risk parity models [50][52] Strategy Implementation and Product Development - The report outlines the construction of a "core-satellite" strategy using ETFs, where core strategies focus on broad market indices while satellite strategies target high-growth sectors [71][74] - It suggests that the implementation of multi-asset and multi-strategy approaches can be translated into tradable ETF FOF products, designed to achieve specific risk and return objectives [58][61]