银华基金冯帆：多资产组合的慢思考与快迭代

Core Viewpoint - The article emphasizes the rising popularity of "fixed income plus" (固收+) investment strategies, highlighting the need for a robust asset allocation framework and stock selection system to achieve stable returns amidst market volatility [3][4]. Group 1: Investment Strategy - The investment philosophy of the fund manager, Feng Fan, is centered around "portfolio management + quantitative methods," focusing on a comprehensive view and independence in decision-making [3][4]. - Feng advocates for a global perspective in managing fixed income plus investments, emphasizing the importance of overall portfolio returns rather than isolated asset performance [4][11]. - The strategy involves adjusting allocations between convertible bonds and stocks based on market conditions, with a focus on taking on high-cost performance risks during extreme market pessimism [4][12]. Group 2: Quantitative Methods - Feng employs a systematic and rule-based approach to investment, utilizing quantitative models for stock selection, convertible bond investments, and pure bond choices [5][21]. - The quantitative strategy aims to achieve stable excess returns, particularly for fixed income plus products, aligning with investor needs for steady income [5][20]. - The multi-factor stock selection strategy is designed to be adaptive and resilient across market cycles, with a significant portion of excess returns derived from alpha generation [21][22]. Group 3: Tactical Asset Allocation - The tactical asset allocation (TAA) framework is guided by three principles: matching asset allocation with the macro environment, leveraging the multi-asset and multi-strategy features of fixed income plus, and implementing contrarian strategies during market downturns [11][12][30]. - A scoring system based on win rates and odds is used to evaluate macroeconomic conditions and asset pricing, providing a comprehensive view that mitigates short-term emotional influences [14][15]. Group 4: Risk Management - Risk management is segmented into pre-event, during-event, and post-event phases, with specific targets for maximum drawdown based on expected annual returns [19][30]. - The approach to managing drawdowns includes dynamic adjustments based on the scoring system and maintaining low correlations among factors in stock selection [19][30]. Group 5: Market Outlook - The convergence of Sharpe ratios between equity and bond assets is identified as a core driver of capital flow, influencing market dynamics [31][34]. - The article suggests that the current market environment presents opportunities for equity assets, with a focus on identifying value in extreme pricing conditions [34].