GUOTAI HAITONG SECURITIES·2026-03-05 10:08Group 1: Absolute Return Products and Strategies - The report highlights that as of February 27, 2026, the total market size of fixed income + funds reached 23,798.59 billion, with 1,172 products, and 179 products achieved historical net value highs last week [2][18] - The performance median of various fund types for the week of February 24-27, 2026, showed mixed results: mixed bond type I (0.00%), II (0.23%), and others, with conservative, stable, and aggressive fund median returns at 0.04%, 0.21%, and 0.37% respectively [12][2] - The absolute return strategy performance tracking indicates that the macro-timing driven stock-bond 20/80 rebalancing strategy yielded a return of 0.01% last week, while the stock-bond risk parity strategy returned -0.04% [4][21] Group 2: Major Asset Allocation and Industry ETF Rotation - The macro environment forecast for Q1 2026 indicates a "Slowdown," with the Shanghai Composite Index, national bond total wealth index, and gold contract returns of 0.09%, 0.17%, and -2.73% respectively as of February 27, 2026 [3][21] - The industry ETF rotation strategy suggests focusing on specific ETFs such as the Guotai CSI All-Share Securities Company ETF, Guotai CSI Coal ETF, and Guotai CSI Steel ETF, which achieved a weekly return of 6.13%, outperforming the Wind All A Index by 3.80% [3][22] - The report emphasizes the importance of multi-factor industry rotation strategies based on historical fundamentals, expected fundamentals, sentiment, and macroeconomic conditions [22][21] Group 3: Performance Tracking of Absolute Return Strategies - The report indicates that the small-cap value style within the stock-bond 20/80 combination has shown the most significant performance, with a year-to-date return of 3.78% [4][21] - The report also notes that the combination of macro momentum models with small-cap value strategies has yielded a cumulative return of 4.49% [4][21] - The performance of various fund types over the past year shows median returns for mixed bond type I, II, and others, with conservative, stable, and aggressive funds achieving 3.34%, 5.63%, and 7.18% respectively [15][14]