202[Table_ReportInfo] 6 年 02 月 25 日 证券研究报告•金融工程专题报告 资产配置研究系列三 基于 BLACK-LITTERMAN 模型 融合资产择时与风格轮动的资产配置研究 在全球经济周期缩短、地缘政治冲突与技术革命叠加的背景下，市场"不确定性" 已成为投资管理的核心挑战，构建抗脆弱的组合是资本稳健增值的关键。传统均 值-方差模型（MVO）虽为资产配置基石，却因输入参数敏感性高、难以系统融合 主观观点而受限。Black-Litterman（BL）模型通过贝叶斯方法将市场均衡收益与 投资者观点结合，在量化严谨性中兼容主观判断，为机构资产配置提供新范式。 本文基于 BL模型原理，构建"战略+战术"双轮驱动的资产配置模型。战略端以 资产择时与回归分析生成资产收益后验分布，提升配置决策的前瞻性；战术端设 计 A股风格轮动策略，动态跟踪市场风格切换优化投资组合，增强 A股资产收益 表现。模型实现了长期战略配置与短期战术调整的有机结合，为大类资产配置提 供了系统性解决方案。 资产择时层 债券端立足经济基本面（经济增长、地产周期）与市场利率（质押回购、国债利 率）择时中债国债；商品端围绕黄金 ...

港股通消费ETF华夏（513230）跟踪中证港股通消费主题指数，一键打包新消费龙头，成分股近乎 囊括港股消费的各个领域； 旅游ETF（562510）跟踪中证细分旅游指数，专注服务消费，不含商品消费，覆盖免税、航空公 司、酒店餐饮等细分行业。 每日经济新闻 （责任编辑：董萍萍 ） 消息面上，今年春节，是海南自贸港岛内居民消费的进境商品"零关税"政策落地后迎来的首个长 假，数据显示，春节假期全市预计实现社会消费品零售总额34.9亿元，同比增长2.6%。据统计，春节假 期全市离岛免税店累计销售额12.06亿元，同比增长12.7%。 近期，春节消费呈现结构性回暖特征，餐饮链表现尤为亮眼。国金证券指出，春节假期延长叠 加"乐购新春"消费补贴、以旧换新置换补贴等政策持续发力，显著拉动餐饮出行数据向好；调味品、速 冻食品等餐饮链板块节前经销商备货谨慎、库存处于合理水平，2月末至3月有望开启补库存行情，叠加 去年一季度基数偏低，板块需求有望逐步触底改善。同时，零食板块维持高景气，节前礼盒装产品动销 旺盛，量贩渠道大幅上新礼包并加速开店扩张，后续有望通过渠道渗透与新品推广实现业绩高增。 低位关注消费相关行业主题ETF修复机会： ...

Market Overview - A-shares showed mixed performance with the Shanghai Composite Index down 0.01%, Shenzhen Component Index up 0.19%, and ChiNext Index down 0.29% as of market close [1] - Total trading volume in Shanghai, Shenzhen, and Beijing reached 25,568 billion, an increase of 756 billion from the previous day [1] ETF Performance - The China-Korea Semiconductor ETF surged by 9.64%, leading the market, driven by the recovery in the semiconductor supply chain [2] - The National 2000 ETF rose by 5.04%, indicating a rebound in small-cap growth stocks [2] - The Electric Grid sector performed well, with the Electric Grid ETF up 3.23% and the Electric Grid Equipment ETFs rising by 3.22% and 2.91% respectively [2] Communication Sector - The communication sector also saw gains, with ETFs in this category rising between 2.73% and 2.78% [3] Declining Sectors - The pharmaceutical sector faced a broad retreat, with the Hang Seng Biotechnology ETF showing the largest decline at -3.89% [4] - Other related ETFs in the healthcare and biotechnology sectors also experienced significant drops, indicating a market shift from defensive sectors to technology growth [4] Trading Activity - The Short-term Bond ETF had a trading volume exceeding 66 billion, leading in activity among ETFs [5] - The top traded ETFs included the Short-term Bond ETF at 661.12 billion and the Silver Day Benefit ETF at 167.16 billion [5] Turnover Rates - Cross-border products showed high trading activity, with the Brazil ETF and China-Korea Semiconductor ETF having turnover rates of 171.99% and 125.76% respectively [6][7] - The National Debt ETF also maintained a strong turnover rate of 88.09%, indicating active trading in interest rate bonds and cross-border assets [7] New ETF Launch - A new Technology Growth ETF by Industrial Bank is set to launch on February 27, with a focus on hard technology and a multi-factor strategy targeting the top 50 securities in various tech sectors [8]

A股三大指数今日涨跌不一，截至收盘， 上证指数跌0.01%，深成指涨0.19%， 创业板指跌0.29%， 北 证50指数跌0.15%，沪深京三市成交额25566亿元，较上日放量757亿元，三市超2400只个股上涨。 板块 题材上，CPO、铜缆高速连接、光纤、PCB、液冷 服务器、 风电设备、 航空发动机、 培育钻石、半导 体、 代糖概念股涨幅居前； 影视院线、 保险、 房地产、短剧 游戏、 汽车整车、贵金属、 免税店、 白 酒、零售板块跌幅居前。 AI硬件股全线领涨， 中韩半导体ETF逼近涨停，5GETF博时、通信ETF嘉实、通信ETF、通信ETF华夏 涨3.41%、2.78%、2.58%和2.54%。电网板块走高，电网ETF、 电网设备ETF涨3.23%和2.91%。 科创机 械ETF嘉实涨3.31%。=0.0331 责任编辑：磐石 医疗板块走低，恒生医药ETF、港股通医疗ETF富国、恒生医疗ETF博时、港股通医药ETF鹏华均跌逾 3%。地产板块回调，地产ETF跌3%。 财经频道更多独家策划、专家专栏，免费查阅>> ...

Group 1 - The core viewpoint of the articles highlights the significant rise in AI-related stocks, particularly in the computing hardware sector, with notable increases in various ETFs and individual stocks related to AI and cloud computing [1][2]. - The China Communication ETF (515050) saw a rise of 2.5%, while the AI-focused ETF (159381) increased by 1.64%, and the cloud computing ETF (516630) rose by 1.5%, indicating strong market interest in AI and related technologies [1]. - Over the past three days, the AI-focused ETF (159381) has attracted a cumulative net inflow of 167 million yuan, reflecting active capital allocation towards the AI industry chain [1]. Group 2 - Citic Securities notes that the leap in AI coding capabilities is leading to an exponential increase in the scale of effective code globally, suggesting that the market will experience a phase of code volume expansion and intensified competition [2]. - Huatai Securities predicts that 2026 may mark the acceleration of Agent deployment, with rapid iterations in Agentic Coding potentially restructuring the software industry, leading to a surge in personalized, AI-generated software [2].

2月26日，华秦科技涨5%，截至发稿，报99.54元/股，成交2.04亿元，换手率0.77%，总市值271.32亿 元。 截至发稿，万方方累计任职时间5年201天，现任基金资产总规模84.12亿元，任职期间最佳基金回报 52.53%， 任职期间最差基金回报-28.59%。 从基金十大重仓股角度 数据显示，华夏基金旗下1只基金重仓华秦科技。华夏军工安全混合A（002251）四季度持有股数 1065.76万股，与上期相比持股数量不变，占基金净值比例为9.35%，位居第三大重仓股。根据测算，今 日浮盈赚取约5051.7万元。 声明：市场有风险，投资需谨慎。 本文基于第三方数据库自动发布，不代表新浪财经观点，任何在本 文出现的信息均只作为参考，不构成个人投资建议。如有出入请以实际公告为准。如有疑问，请联系 biz@staff.sina.com.cn。 资料显示，陕西华秦科技实业股份有限公司位于陕西省西安市高新区西部大道188号，成立日期1992年 12月28日，上市日期2022年3月7日，公司主营业务涉及主要从事特种功能材料,包括隐身材料、伪装材 料及防护材料的研发、生产和销售。主营业务收入构成为：产品销售及技术服务 ...

| 股票代码 | 股票简称 | 涨跌幅 | 权重 | | --- | --- | --- | --- | | 002085 | 万丰奥威 | -0.50% | 5.29% | | 002389 | 航天彩虹 | -0.37% | 3.73% | | 600038 | 中直股份 | 1.33% | 3.58% | | 300045 | 华力创通 | 1.68% | 3.49% | | 600316 | 洪都航空 | -1.17% | 3.40% | | 600118 | 中国 星 | 2.05% | 3.39% | | 600879 | 航天电子 | 2.54% | 2.83% | | 688297 | 中无人机 | -1.03% | 2.70% | | 300342 | 天银机电 | 1.03% | 2.60% | | 002151 | 北斗星通 | 0.94% | 2.49% | 截至2026年2月26日，三大指数盘中拉升，低空经济概念小幅拉升，截至 13:18，通用航空ETF华夏(159230)上涨0.88%， 冲击3连涨，其持仓股应流股份涨 停，广联航空上涨5.64%，广电计量上涨3.18%，睿创微纳上 ...

Group 1 - The Hong Kong stock market showed weakness, with the Hang Seng Index down 0.39%, the National Enterprises Index down 1.30%, and the Hang Seng Technology Index down 1.65% as of the midday close [1] - The consumption sector in Hong Kong experienced a significant decline, with the Hong Kong Stock Connect Consumption ETF (Hua Xia, 513230) dropping nearly 1.5%, indicating a continued opening of low-position layout channels [1] - The National Immigration Administration reported an average of 1.977 million inbound and outbound trips per day during the 2026 Spring Festival holiday, representing a 10.1% increase compared to the previous year [1] Group 2 - The Hainan duty-free market saw a consumption peak during the 2026 Spring Festival holiday, with customs data showing a total duty-free shopping amount of 2.72 billion yuan, a 30.8% increase from the previous year [1] - Guosen Securities released a report emphasizing that boosting domestic demand will be a key focus for economic development in 2026, highlighting the potential for significant growth in residents' service consumption compared to overseas [1] - The report suggests that the current low level of capital allocation in the sector and overall valuations reflecting pessimistic expectations provide a good opportunity for investment, recommending a focus on service consumption as a new driver for economic growth in 2026 [1] Group 3 - The Hong Kong Stock Connect Consumption ETF (Hua Xia, 513230) tracks the CSI Hong Kong Stock Connect Consumption Theme Index, which includes leading companies in traditional service industries such as hospitality and dining, as well as high-elasticity assets like trendy toys and gold jewelry [2] - The index also encompasses high-dividend stocks in sectors like sportswear and white goods, covering nearly all areas of Hong Kong consumption, including major players like Pop Mart, Yum China, Lao Pu Gold, Anta Sports, Nongfu Spring, and Mixue Ice City [2]

2月26日，华康股份涨5.21%，截至发稿，报17.16元/股，成交8109.59万元，换手率1.62%，总市值52.00 亿元。 资料显示，浙江华康药业股份有限公司位于浙江省开化县华埠镇华工路18号，成立日期2001年7月10 日，上市日期2021年2月9日，公司主营业务涉及木糖醇、山梨糖醇、麦芽糖醇、果葡糖浆等多种功能性 糖醇、淀粉糖产品的研发、生产、销售。主营业务收入构成为：晶体糖醇产品54.36%，液体糖、醇及 其他产品32.46%，其他13.18%。 华夏卓越成长混合A（024928）成立日期2025年8月12日，最新规模8.98亿。今年以来收益15.06%，同 类排名859/8887；成立以来收益33.45%。 华夏卓越成长混合A（024928）基金经理为钟帅。 截至发稿，钟帅累计任职时间5年215天，现任基金资产总规模119.14亿元，任职期间最佳基金回报 222.31%， 任职期间最差基金回报13.2%。 声明：市场有风险，投资需谨慎。 本文基于第三方数据库自动发布，不代表新浪财经观点，任何在本 文出现的信息均只作为参考，不构成个人投资建议。如有出入请以实际公告为准。如有疑问，请联系 biz@ ...

截至发稿，杨斯琪累计任职时间1年261天，现任基金资产总规模259.74亿元，任职期间最佳基金回报 78.06%， 任职期间最差基金回报-3.79%。 声明：市场有风险，投资需谨慎。 本文基于第三方数据库自动发布，不代表新浪财经观点，任何在本 文出现的信息均只作为参考，不构成个人投资建议。如有出入请以实际公告为准。如有疑问，请联系 biz@staff.sina.com.cn。 责任编辑：小浪快报 数据显示，华夏基金旗下1只基金位居耐科装备十大流通股东。华夏上证科创板半导体材料设备主题 ETF（588170）三季度新进十大流通股东，持有股数25.81万股，占流通股的比例为0.84%。根据测算， 今日浮盈赚取约67.36万元。 华夏上证科创板半导体材料设备主题ETF（588170）成立日期2025年3月24日，最新规模36.77亿。今年 以来收益24.78%，同类排名51/5572；成立以来收益87.5%。 华夏上证科创板半导体材料设备主题ETF（588170）基金经理为杨斯琪。 2月26日，耐科装备涨5.23%，截至发稿，报52.48元/股，成交1.20亿元，换手率4.03%，总市值60.12亿 元。 资料显示 ...