Quantitative Models and Construction Methods 1. Model Name: A-Share Technical Scoring Model - **Model Construction Idea**: The model aims to fully explore technical information to depict market conditions, breaking down the abstract concept of "market state" into five dimensions: price, volume, volatility, trend, and crowding. It generates a comprehensive score ranging from -1 to +1 based on equal-weighted voting of signals from 10 selected indicators across these dimensions[9][14] - **Model Construction Process**: 1. Select 10 effective market observation indicators across the five dimensions[14] 2. Generate long/short timing signals for each indicator individually 3. Aggregate the signals through equal-weighted voting to form a comprehensive score between -1 and +1[9] - **Model Evaluation**: The model provides a straightforward and timely way for investors to observe and understand the market[9] 2. Model Name: Style Timing Model (Small-Cap Crowding) - **Model Construction Idea**: The model uses a crowding-based trend approach to time large-cap and small-cap styles. Crowding is measured by the difference in momentum and trading volume ratios between small-cap and large-cap indices[3][20] - **Model Construction Process**: 1. Calculate the momentum difference between the Wind Micro-Cap Index and the CSI 300 Index across 10/20/30/40/50/60-day windows 2. Compute the trading volume ratio between the two indices over the same windows 3. Derive crowding scores for small-cap and large-cap styles by averaging the highest and lowest quantiles of the above metrics, respectively 4. Combine the momentum and volume scores to obtain the final crowding score. A score above 90% indicates high small-cap crowding, while below 10% indicates high large-cap crowding[25] - **Model Evaluation**: The model effectively captures the dynamics of style crowding and provides actionable insights for timing decisions[20][25] 3. Model Name: Industry Rotation Model (Genetic Programming) - **Model Construction Idea**: The model applies genetic programming to directly extract factors from industry indices' price, volume, and valuation data, without relying on predefined scoring rules. It uses a dual-objective approach to optimize factor monotonicity and top-group performance[28][32][33] - **Model Construction Process**: 1. Use NSGA-II algorithm to optimize two objectives: |IC| (information coefficient) and NDCG@5 (normalized discounted cumulative gain for top 5 groups) 2. Combine weakly collinear factors using a greedy strategy and variance inflation factor to form industry scores 3. Select the top 5 industries with the highest multi-factor scores for equal-weight allocation, rebalancing weekly[32][34] - **Model Evaluation**: The dual-objective genetic programming approach enhances factor diversity and reduces overfitting risks, making it a robust tool for industry rotation[32][34] 4. Model Name: China Domestic All-Weather Enhanced Portfolio - **Model Construction Idea**: The model adopts a macro-factor risk parity framework, emphasizing risk diversification across underlying macro risk sources rather than asset classes. It actively overweights favorable quadrants based on macro momentum[39][42] - **Model Construction Process**: 1. Divide macro risks into four quadrants based on growth and inflation expectations: growth above/below expectations and inflation above/below expectations 2. Construct sub-portfolios within each quadrant using equal-weighted assets, focusing on downside risk 3. Adjust quadrant risk budgets monthly based on macro momentum indicators, which combine buy-side momentum from asset prices and sell-side momentum from economic forecast surprises[42] - **Model Evaluation**: The strategy effectively integrates macroeconomic insights into portfolio construction, achieving enhanced performance through active allocation adjustments[39][42] --- Model Backtesting Results 1. A-Share Technical Scoring Model - Annualized Return: 20.78% - Annualized Volatility: 17.32% - Maximum Drawdown: -23.74% - Sharpe Ratio: 1.20 - Calmar Ratio: 0.88[15] 2. Style Timing Model (Small-Cap Crowding) - Annualized Return: 28.46% - Maximum Drawdown: -32.05% - Sharpe Ratio: 1.19 - Calmar Ratio: 0.89 - YTD Return: 11.85% - Weekly Return: 5.25%[26] 3. Industry Rotation Model (Genetic Programming) - Annualized Return: 32.92% - Annualized Volatility: 17.43% - Maximum Drawdown: -19.63% - Sharpe Ratio: 1.89 - Calmar Ratio: 1.68 - YTD Return: 6.80% - Weekly Return: 3.37%[31] 4. China Domestic All-Weather Enhanced Portfolio - Annualized Return: 11.93% - Annualized Volatility: 6.20% - Maximum Drawdown: -6.30% - Sharpe Ratio: 1.92 - Calmar Ratio: 1.89 - YTD Return: 3.59% - Weekly Return: 1.54%[43] --- Quantitative Factors and Construction Methods 1. Factor Name: Small-Cap Crowding Factor - **Factor Construction Idea**: Measures the crowding level of small-cap style based on momentum and trading volume differences between small-cap and large-cap indices[20][25] - **Factor Construction Process**: 1. Calculate momentum differences and trading volume ratios for multiple time windows 2. Derive crowding scores by averaging the highest and lowest quantiles of these metrics 3. Combine momentum and volume scores to obtain the final crowding score[25] 2. Factor Name: Industry Rotation Factor (Genetic Programming) - **Factor Construction Idea**: Extracts factors from industry indices using genetic programming, optimizing for monotonicity and top-group performance[32][34] - **Factor Construction Process**: 1. Perform cross-sectional regression of standardized daily trading volume against daily price gaps to obtain residuals (Variable A) 2. Identify the trading day with the highest standardized volume in the past 9 days (Variable B) 3. Conduct time-series regression of Variables A and B over the past 50 days to obtain intercepts (Variable C) 4. Compute the covariance of Variable C and standardized monthly opening prices over the past 45 days[38] --- Factor Backtesting Results 1. Small-Cap Crowding Factor - YTD Return: 11.85% - Weekly Return: 5.25%[26] 2. Industry Rotation Factor (Genetic Programming) - Training Set IC: 0.340 - Factor Weight: 18.7% - YTD Return: 6.80% - Weekly Return: 3.37%[31][38]

Investment Rating - The report maintains a positive outlook on the brokerage sector, indicating it is currently undervalued compared to the market, with a recommendation to focus on the sector's beta attributes and potential catalysts such as upcoming earnings reports [2][3]. Core Insights - The brokerage sector has seen a significant increase in allocation from active equity funds, with the proportion of non-bank sector holdings rising to 2.96%, up 102 basis points quarter-over-quarter, surpassing the three-year average of 1.63% [2]. - The report highlights that the earnings forecasts for 2025 are showing strong growth, with companies like Everbright Securities expecting a net profit of 3.73 billion yuan, a year-on-year increase of 22% [2]. - The insurance sector is experiencing a decline, with the insurance index dropping 4.62%, underperforming the market [2]. Summary by Sections Market Review - The Shanghai Composite Index closed at 4,702.50, with a decline of 0.62% over the week, while the non-bank index fell by 1.45% [5]. Non-Bank Sector Insights - The report notes that the brokerage sector is currently experiencing a mismatch between fundamentals and valuations, suggesting a potential for recovery as market conditions improve [2]. - Key brokerage firms such as Huatai Securities and CITIC Securities are highlighted for their strong performance and growth potential [2]. Individual Company Announcements - China Pacific Insurance reported a cumulative premium income growth of 8.1% for 2025, indicating resilience in its business model [10]. - Guotai Junan Securities anticipates a significant increase in net profit for 2025, projecting a growth of approximately 406% [13]. - Northeast Securities expects a net profit increase of 69.06% for 2025, driven by enhanced market conditions [14]. Investment Recommendations - The report recommends focusing on leading brokerage firms with strong competitive positions, such as Guotai Junan, GF Securities, and CITIC Securities, as well as firms with high earnings elasticity like Huatai Securities and Dongfang Securities [2]. - In the insurance sector, companies like China Life, New China Life, and Ping An are recommended for their potential value re-evaluation opportunities [2].

根据公告，该公司代董事长、总经理江晓阳任董事长；总经理一职由原副总经理朱前接任。同时，该公 司合规总监、督察长、董事会秘书刘博文兼任首席风险官，原首席风险官覃洁因工作变动不再担任上述 职务。 华泰证券资管的前身为1999年成立的华泰证券受托资产管理部，2014年正式注册成立，并于2016年取得 公募牌照。根据华泰证券财报，华泰证券资管在2025年上半年实现营业收入12.10亿元，净利润7.13亿 元，管理规模则达到了6270.32亿元，同比增长23.92%，均位居行业前列。 简历显示，江晓阳是硕士研究生，2001年进入华泰证券，曾在华泰证券广州体育东路证券营业部、北京 月坛南街证券营业部、金融创新部、证券投资部等部门任职。2024年1月进入华泰证券资管，现任董事 长（代）、董事、总经理。 时间倒回2024年1月，华泰证券资管原总经理聂挺进因个人原因离职，时任董事长崔春暂时代任总经理 职务。随后在2024年2月29日，刚从母公司调任而来的江晓阳被聘任为总经理。 近日，伴随母公司的董事会和管理层换届，华泰证券（上海）资产管理有限公司（简 称"华泰证券资管"）亦同步完成了核心高管的调整。 一年半后，华泰证券资管于2 ...

Investment Rating - The report indicates a positive outlook for the brokerage sector, suggesting that it is currently in a phase of fundamental and valuation mismatch, with expectations for improvement in the first half of the year [2][6]. Core Insights - The brokerage sector has seen a significant increase in allocation by active equity funds, with a quarter-over-quarter increase of 102 basis points, surpassing the three-year average [2]. - The report highlights strong earnings forecasts for 2025, with notable increases in net profits for several brokerages, including a projected 405.3% increase for Guolian Minsheng [2][16]. - The insurance sector is expected to stabilize, with a forecasted recovery in the predetermined interest rate for life insurance products, anticipated to rise to 1.96% in Q1 2026 [2][28]. Summary by Sections Market Review - The Shanghai Composite Index closed at 4,702.50 with a decline of 0.62%, while the non-bank index fell by 1.45% [6]. - The brokerage, insurance, and diversified financial indices reported changes of -0.61%, -4.02%, and +3.10%, respectively [6]. Non-Banking Sector Insights - The report notes that the China Securities Regulatory Commission has introduced new guidelines for performance benchmarks for publicly offered securities investment funds, aiming to enhance transparency and accountability [8][10]. - Key announcements from individual companies include China Pacific Insurance reporting an 8.1% increase in premium income for 2025, and Guolian Minsheng forecasting a significant profit increase due to business integration [12][16]. Investment Analysis Recommendations - For brokerages, the report recommends focusing on firms with strong competitive positions, such as Guotai Junan and Citic Securities, as well as those with high earnings elasticity like Huatai Securities [2]. - In the insurance sector, the report maintains a positive medium-term outlook, recommending companies like China Life and Ping An Insurance [2]. Key Data Tracking - As of January 23, 2026, the average daily trading volume was reported at 30,388.36 billion [32]. - The margin trading balance stood at 27,249.13 billion [38].

Macro and Financial - China's GDP is projected to grow by 5% in 2025, reaching 140.19 trillion yuan, with a 4.5% growth in Q4 [5] - The Ministry of Finance has launched a package of policies to promote domestic demand, focusing on expanding private investment and boosting consumer spending [6][7] - The People's Bank of China indicates there is still room for interest rate cuts and reserve requirement ratio reductions in 2026 [7] - The first Loan Prime Rate (LPR) of 2026 remains unchanged at 3.0% for one year and 3.5% for five years, with potential for future reductions [7] Capital Market - The China Securities Regulatory Commission (CSRC) has issued new guidelines for public fund performance benchmarks, effective March 1, 2026, aiming to shift the industry focus from scale to investor returns [14] - The CSRC has also imposed a fine of 5.11 billion yuan on an individual for manipulating stock prices, alongside a three-year market ban [15] - Shanghai has introduced 18 measures to enhance the trading capacity of non-ferrous metal commodities, aiming to improve global resource allocation and pricing influence [16] Precious Metals Market - The global metals market is experiencing a significant surge, with gold and silver reaching their highest weekly gains since 2020, and silver prices surpassing 100 dollars per ounce for the first time [17][20] - The weakening of the US dollar has led to increased demand for safe-haven assets, contributing to the rise in precious metal prices [20] Business and Industry - Beijing has issued measures to encourage capable enterprises to engage in mergers and acquisitions within the satellite data industry, aiming to create globally competitive companies [21] - The first A-share IPO of 2026 has been accepted, with Shanghai Suiruan Technology aiming to raise 6 billion yuan for AI chip development [22] - The commercial aerospace company Zhongke Aerospace has completed its IPO counseling, marking a significant step in its market entry [23]

Group 1: Management Changes - Huatai Securities Asset Management Co., Ltd. (Huatai Securities AM) has undergone a significant management reshuffle, with Jiang Xiaoyang appointed as chairman and Zhu Qian as the new general manager [1][4] - Liu Bowen, the compliance director and board secretary, has taken on the role of chief risk officer, replacing the former chief risk officer, Qin Jie, due to work changes [1][4] - Jiang Xiaoyang has a long history with Huatai Securities, having joined in 2001 and transitioned to Huatai Securities AM in January 2024 [1][4] Group 2: Company Performance - In the first half of 2025, Huatai Securities AM reported revenues of 1.21 billion yuan and a net profit of 713 million yuan, with a management scale reaching 627.03 billion yuan, reflecting a year-on-year growth of 23.92% [1][4] - The company has evolved from a single business model to a dual-license operation, focusing on both asset management and public fund businesses, with notable achievements in asset securitization [3][6] Group 3: Historical Context - Huatai Securities AM was established in 2014, evolving from the asset management department founded in 1999, and obtained its public fund license in 2016 [1][4] - The former chairman, Cui Chun, who joined at the inception of Huatai Securities AM in 2015, stepped down due to work changes, allowing Jiang Xiaoyang to take over leadership [2][5] Group 4: Industry Position - Huatai Securities AM is one of the few brokerages with a public fund license and has made significant strides in the asset securitization sector, with its ABS issuance exceeding 1 trillion yuan by the end of 2025 [3][6]

Core Viewpoint - The ongoing trend of "savings migration" is a hot topic in 2026, with significant interest from banks, brokers, insurance companies, and investment funds in this "incremental liquidity" [1] Group 1: Savings Migration Scale and Sources - The scale of one-year and above resident fixed deposits maturing in 2026 is expected to reach 50 trillion yuan, an increase of 10 trillion yuan from 2025 [3] - The potential allocation of these funds to public funds is estimated to be over 800 billion yuan, as most of the matured deposits are likely to remain in banks, with a retention rate of over 90% [2][3] - The increase in preventive savings by residents in recent years has contributed to this large volume of maturing deposits, with annual increments exceeding 10 trillion yuan since 2020 [3] Group 2: Investment Preferences and Strategies - The incremental funds are expected to favor stable investments, likely flowing into index funds and diversified allocation strategies, including ETFs and "fixed income plus" products [1][4] - The anticipated incremental capital for A-shares in 2026 is around 3 trillion yuan, with public funds potentially seeing an increase of approximately 877.27 billion yuan [4] - The average equity allocation ratio for newly issued mixed funds is expected to be relatively low, around 20% [4] Group 3: Fund Types and Market Trends - Multi-asset allocation funds, such as FOF and "fixed income plus," are expected to be significant vehicles for the migrating funds, with FOFs reaching a historical high of over 240 billion yuan [6] - The total scale of "fixed income plus" funds has surpassed 2.4 trillion yuan, with new products launched since 2025 exceeding 100 billion yuan [6] - The trend of active equity funds has stabilized since September 2025, with a slight recovery in their share, indicating renewed investor confidence in equity funds [7] Group 4: Market Dynamics and Future Outlook - The current fund sales channels have not yet directly observed the migration of deposits to public funds, but there is evidence of increased activity in the e-commerce channel for fund subscriptions and redemptions [8] - The allocation strategy for migrating savings is influenced by market conditions, with a gradual increase in risk appetite expected as the market evolves [8] - The public fund asset allocation framework is shifting towards a "structural trend" approach, focusing on long-term core assets in technology innovation, advanced manufacturing, and digital economy [9]

近日 ，伴随母公司的董事会和管理层换届，华泰证券（上海）资产管理有限公司（简称"华泰证券资管"） 亦同步完成了核心高管的调整。 根据公告，该公司代董事长、总经理江晓阳任董事长；总经理一职由原副总经理朱前接任。同时，该公司合规 总监、督察长、董事会秘书刘博文兼任首席风险官，原首席风险官覃洁因工作变动不再担任上述职务。 华泰证券资管的前身为1999年成立的华泰证券受托资产管理部，2014年正式注册成立，并于2016年取得公募牌 照。根据华泰证券财报，华泰证券资管在2025年上半年实现营业收入12.10亿元，净利润7.13亿元，管理规模则 达到了6270.32亿元，同比增长23.92%，均位居行业前列。 简历显示，江晓阳是硕士研究生，2001年进入华泰证券，曾在华泰证券广州体育东路证券营业部、北京月坛南 街证券营业部、金融创新部、证券投资部等部门任职。2024年1月进入华泰证券资管，现任董事长（代）、董 事、总经理。 时间倒回2024年1月，华泰证券资管原总经理聂挺进因个人原因离职，时任董事长崔春暂时代任总经理职务。 随后在2024年2月29日，刚从母公司调任而来的江晓阳被聘任为总经理。 一年半后，华泰证券资管于2 ...

Group 1 - Huatai Securities has completed a new round of management team restructuring, with Wang Huqing appointed as the new chairman for a three-year term, succeeding Zhang Wei who has retired [3][12] - Zhou Yi continues as the CEO and Executive Committee Director, leading the company's daily operations and digital transformation strategies [8][15] - The new management team faces challenges such as consolidating its leading position amid industry differentiation, integrating AI technology with financial services, and achieving differentiated competition in international markets [4][12] Group 2 - Huatai Securities announced a capital increase of up to 9 billion HKD for its wholly-owned subsidiary Huatai International to support overseas business development [5][12] - The asset management division also underwent personnel changes, with Jiang Xiaoyang appointed as chairman and Zhu Qian as general manager, ensuring stability in the core management team [9][16] - As of the end of 2025, Huatai Securities' asset management scale is projected to reach 627.032 billion, with ABS issuance exceeding 1 trillion [9][16] Group 3 - Wang Huqing has a strong background in finance and public management, having held various positions in state-owned enterprises and financial institutions before joining Huatai Securities [7][14] - The new Executive Committee includes members with extensive experience in Huatai, with a focus on enhancing digital management capabilities [8][15] - The restructuring is seen as a significant step in Huatai Securities' strategic transformation, aiming to address challenges posed by industry changes [8][15]

公司公告汇总 华泰证券股份有限公司公告，其境外全资子公司华泰国际金融控股有限公司的附属公司华泰国际财务有 限公司在2020年设立的30亿美元中期票据计划下，于2026年1月19日发行人民币2.50亿元中期票据，由 华泰国际提供担保。本次担保金额为人民币2.50亿元，实际担保余额为21.18亿美元。被担保人华泰国际 财务为特殊目的公司，公司通过华泰国际间接持有其100%股权。截至公告日，公司及控股子公司对外 担保总额为人民币487.52亿元，占最近一期经审计净资产的25.43%，均为对子公司的担保，无逾期担 保。 截至2026年1月23日收盘，华泰证券（601688）报收于22.74元，较上周的23.06元下跌1.39%。本周，华 泰证券1月20日盘中最高价报23.4元。1月23日盘中最低价报22.6元。华泰证券当前最新总市值2052.71亿 元，在证券板块市值排名4/50，在两市A股市值排名75/5182。 本周关注点 北京市金杜律师事务所出具法律意见书，确认华泰证券股份有限公司2026年第一次临时股东会的召集、 召开程序，出席人员资格、召集人资格及表决程序、表决结果均符合相关法律法规及公司章程规定。会 议审 ...