金融工程定期：资产配置月报（2026年2月）

Investment Rating - The report maintains a bullish outlook on short-term bonds, balanced undervalued convertible bonds, and cautiously bullish on gold assets [1][2][3] Core Insights - The report emphasizes a multi-asset allocation strategy focusing on short-term bonds, undervalued convertible bonds, and gold assets, with a specific recommendation to hold 1-year short-duration bonds due to predicted increases in level factors and steepening of the yield curve [1][10] - The convertible bond market is currently viewed as having low relative value compared to underlying stocks, with a "100-yuan conversion premium rate" of 45.02% indicating a low cost-effectiveness for overall allocation [2][15] - The expected return for gold over the next year is projected at 30.8%, suggesting a cautious bullish stance on gold assets following significant price declines [2][22] Summary by Sections Multi-Asset Allocation Viewpoints - Bond Duration Timing: The model predicts an increase in level factors and a steepening yield curve, recommending the holding of 1-year short-duration bonds [10][11] - Convertible Bond Allocation: The "100-yuan conversion premium rate" is at 45.02%, indicating low cost-effectiveness for convertible bonds compared to underlying stocks. The median of the "adjusted YTM - credit bond YTM" is -5.36%, suggesting low relative value for debt-type convertible bonds [15][16] - Gold Allocation: The expected return for gold is projected at 30.8%, with a cautious bullish outlook due to recent price declines [22][23] Stock and Bond Allocation - The report is bullish on equity assets, with the latest equity position at 25%. The stock-bond rotation strategy has yielded a return of 1.23% in January, with the latest equity position at 24.66% [25][32] Industry Rotation - The report is bullish on sectors including steel, building materials, media, chemicals, telecommunications, and textiles. It recommends a growth style over value style, with a focus on cyclical and technology sectors [4][41] - The latest industry rotation signals indicate a preference for cyclical and technology sectors, with a strong recommendation for growth style investments [41][42] ETF Rotation Portfolio - The ETF rotation portfolio includes holdings in chemical, gaming, building materials, and steel ETFs, with a recent performance showing an excess return of 3.2% compared to the average industry return [49][52]