多元资产配置系列之二：低利率时代的FOF多元配置趋势与应用实践

1. Report Industry Investment Rating - The industry investment rating is "Stronger than the market" (It is expected that the industry index will outperform the market by more than 5% in the next 6 months) [109] 2. Core Viewpoints of the Report - In the low - interest - rate era, the demand for asset - allocation products is rising, and FOF is gradually moving towards multi - asset allocation strategies. The multi - asset allocation of FOF has shown different performance in different risk - level portfolios and has certain advantages compared with some traditional funds [3] - Different types of FOF managers have their own unique multi - asset allocation management styles, which can achieve relatively stable returns and risk control [3] 3. Summary According to the Directory 3.1 Background: Low - interest - rate Era FOF Multi - asset Allocation Breakthrough - Macro Background: The continuous decline in interest rates has increased the demand for asset - allocation products. In 2025, the scale of partial - debt hybrid FOF increased by 176%. Newly issued products strengthen the multi - asset allocation attribute through the explicit "multi - asset" label [3][6] - Configuration Pattern: More and more FOFs include gold, commodities, Hong Kong stock indexes, and global stock indexes in their benchmarks. As of the end of 2025, there were 160 FOF products with Hong Kong stock indexes, 19 with overseas stock indexes, and 73 with commodity (including gold) indexes in their performance comparison benchmarks. From the perspective of actual positions, FOFs cover nine major categories of assets outside of A - shares and domestic bonds [12][18] - Configuration Process: The industry's participation in multi - asset allocation has significantly increased, and multi - asset allocation has gradually become the consensus of FOF managers. As of the 2025 semi - annual report, the proportion of multi - asset allocation considering Hong Kong stocks reached 13.55%, and that without considering Hong Kong stocks reached 9.13% [19] - Configuration Status: Currently, FOF multi - asset allocation mainly participates with low positions, and it will take time to progress from "tactical trial" to "strategic standard" [23] 3.2 Assets: From Traditional Stocks and Bonds to All - type Investment Products - Hong Kong Stock Funds: Hong Kong stock assets are the preferred choice for FOF multi - asset allocation. Managers' positions are concentrated in Hong Kong stock technology index and dividend - type index strategies. ETFs have become the mainstream vehicle for FOF to allocate Hong Kong stocks [30] - QDII Stock Funds: The high - concentration holding of US stock broad - based ETFs shows that FOF funds aim to obtain the long - term beta of mature markets. There are also signs of diversification in regional allocation [35] - QDII Hybrid Funds: The configuration logic of active - management QDII funds is to capture the comparative advantages in the global industrial chain [36] - QDII Bond Funds: Asian US dollar bonds are the main objects of FOF overseas fixed - income allocation [41] - Commodity Funds: The allocation of gold assets shows high strategic consistency, and gold is the primary choice for FOF to diversify underlying asset types. Other commodity funds are also widely included [49] - Market Neutral Funds: Market neutral funds have low volatility and better drawdown control ability, which are important tools for smoothing the portfolio net value curve [50] - Mutual Recognition Funds: Hong Kong mutual recognition funds effectively fill the configuration gap when QDII quotas are scarce and are an important supplement for FOF to allocate overseas fixed - income assets [54] - REITs: REITs are gradually being included in the "fixed - income +" configuration category by FOF due to their mandatory dividend characteristics and physical attributes of underlying assets [60] 3.3 Performance: Incremental Contribution of Multi - asset Allocation - Comparison with Traditional Stock - Bond FOF: - Robust FOF: Since 2024, robust multi - asset FOF has shown higher cumulative returns and better risk - adjusted performance, with overall investment efficiency superior to traditional stock - bond FOF [65][68] - Balanced FOF: Since 2024, there has been no significant difference between balanced multi - asset FOF and traditional stock - bond FOF in terms of return performance and risk - adjusted indicators [71] - Aggressive FOF: Since 2024, aggressive multi - asset FOF has shown high synchronization with traditional stock - bond FOF, and multi - asset allocation has not formed a stable risk - return advantage at this risk level [74] - Comparison with Other Funds: - Compared with Hybrid Secondary Bond Funds: Robust multi - asset FOF has a higher return level per unit of risk than hybrid secondary bond funds, showing better risk - return efficiency [78] - Compared with Flexible Allocation Funds: Balanced and aggressive multi - asset FOF still shows certain risk - return efficiency advantages, but the advantage is relatively limited [82] 3.4 Case: Practical Atlas of High - performing Managers - Tang Jun: He adheres to the multi - asset allocation framework for a long time and clearly incorporates the timing of major asset classes. His robust products can control drawdowns and continuously accumulate excess returns [85][88] - Cao Jianwen: He gradually transitions from traditional stock - bond allocation to a multi - asset framework, expands the source of portfolio returns by introducing commodities and overseas assets, and strengthens the timing of risk assets. The performance of his products has improved marginally after the transformation [90][92] - Li Xiaoyi: His multi - asset framework focuses on steady - state diversification and long - term structural optimization. He switches from active to passive in traditional stocks and bonds and enriches the defensive layer configuration through low - volatility assets such as QDII bond funds, mutual recognition funds, and REITs [95][97] - Lin Guohuai: He constructs the portfolio with a multi - asset index as the core benchmark, practices global multi - asset allocation in the strategic level, and balances high - equity offensiveness and cross - market diversification [100][103]