证券研究报告 | 2026年3月6日 大类资产配置双周观点 地缘叙事再起，油金如何看 多资产研究 · 资产配置深度 证券分析师：王开 021-60933132 wangkai8@guosen.com.cn S0980521030001 请务必阅读正文之后的免责声明及其项下所有内容 摘要 请务必阅读正文之后的免责声明及其项下所有内容 Ø 核心结论：股>商>债。基于全球宏观信号模型与两会政策基调判断，当前经济周期处于复苏窗口与地缘扰动的交织期。建议维持美、 德、日等海外权益资产进攻的同时，利用高弹性的有色金属对冲通胀风险；黄金受强美元挤压呈现风险资产化，原油则在供给侧断裂 预期下进入地缘溢价重估；国内资产把握"两会"政策红利；债市端需防御阶段性流动性波动。 Ø 黄金与原油：属性重估与溢价狂飙。黄金避险属性近期钝化，受强美元与利率回升挤压，与VIX指数呈现罕见负相关，呈现对流动性敏 感的风险资产特征。相比之下，原油受伊朗局势升级驱动，ICE布油期限结构极度贴水，现货溢价急剧拉升；期权偏度显示5DC等价外 看涨溢价非线性跳升，反映市场正对供给端断裂的尾部风险进行恐慌性定价。 Ø 有色金属：锂矿库存极值驱动反弹，铜铝实 ...

金 融 工 程 3 月建议超配小盘和价值风格，中长期继续看好 小盘、成长风格 2026.03.02 黄金再度领涨，1 月国内资产 BL 策略 1 收益达到 1.55% 2026.02.06 2 月建议超配小盘风格，中长期继续看好小盘、 成长风格 2026.02.04 根据量化模型信号，1 月建议超配小盘风格，均 衡配置价值成长风格 2026.01.08 权益与商品均收涨，基于宏观因子的资产配置模 型 2025 年收益 4.48% 2026.01.08 请务必阅读正文之后的免责条款部分 中证 1000 领涨，国内资产 BL 策略 1 本 年涨幅 2.05% 大类资产配置模型月报（202602） 本报告导读： 2026 年以来，国内资产 BL策略 1 的 2 月收益为 0.5%，2026 年收益为 2.05%；国 内资产 BL 策略 2 的 2 月收益为 0.34%，2026 年收益为 2.0%；国内资产风险平价 策略的 2 月收益为 0.18%，2026 年收益为 1.12%；基于宏观因子的资产配置策略的 2 月收益为 0.22%，2026 年收益为 1.63%。 投资要点： | [Table_Authors] ...

绝对收益产品及策略周报（260224-260227） [Table_Authors] 郑雅斌(分析师) 上周 179 只固收+基金创新高 本报告导读： 股票端采用小盘价值组合+不择时的股债 10/90 和 20/80 月度再平衡策略，2026 年累 计收益分别为 2.03%和 3.78%。 投资要点： 金 融 工 程 周 报 固收+产品业绩跟踪。截至 2026 年 02 月 27 日，全市场固收+基金 规模 23798.59 亿元，产品数量 1172 只，其中 179 只上周净值创历 史新高。上周（20260224-20260227，下同）共新发 0 只产品，各类 型基金业绩中位数表现分化：混合债券型一级（0.00%）、二级 （0.23%）、偏债混合型（0.32%）、灵活配置型（0.29%）、债券型 FOF （0.26%）及混合型 FOF（0.38%）。按风险等级划分，保守型、稳健 型、激进型基金中位数收益分别为 0.04%、0.21%、0.37%。 大类资产配置和行业 ETF 轮动策略跟踪。1）大类资产择时观点。 2026Q1 逆周期配置模型给出的宏观环境预测结果为 Slowdown，截 至 2026 年 ...

证券研究报告 | 金融工程 2026 年 3 月 4 日 价值为纲，周期未尽 ——3 月大类资产配置展望 风险提示：本报告中的资产表现展望通过历史数据统计、建模和测算完成，大类 资产价格走势受到海内外等多方面因素影响，在政策或市场环境发生明显变化 时，模型存在失效的风险。 王武蕾 S1090519080001 wangwulei@cmschina.com.cn 梁雨辰 S1090523070008 liangyuchen2@cmschina.com.cn 江雨航 jiangyuhang1@cmschina.com.cn S1090525070014 王禹哲 S1090525080001 wangyuzhe@cmschina.com.cn 研究助理 董昱含 dongyuhan@cmschina.com.cn 敬请阅读末页的重要说明 专题报告 ❑ A 股展望：继续下调收益预期，风格建议超配价值。整体来看，当前 A 股整 体格局未发生明显变化，仍维持估值空间偏小，而盈利增速受经济结构性压力 难以大幅增长的情况，进一步下调未来 1 年 A 股收益预期。风格层面，当前基 本面和中短期动量对成长风格形成利空，建议配置价值 ...

报告导读： 基于国泰海通"全天候"大类资产配置框架，我们认为在全球秩序加速重构、地 缘政治局势趋势性恶化的背景下，安全再次成了最为稀缺的资源，而黄金则是对抗这种不 确定性的具象化。建议 3 月超配 AH 股、黄金、原油与工业商品。 我们构建了由"战略性资产配置（ SAA ）—战术性资产配置（ TAA ）—重大事件审议调整"构成的"全天候"大类资产配置框架，以作为投资决策的整体指 引。 基于该框架，我们认为在全球秩序加速重构、地缘政治局势趋势性恶化的背景下，安全再次成了最为稀缺的资源，而黄金则是对抗这种不确定性的具象 化。建议 3 月超配 AH 股、黄金、原油与工业商品。 建议 2026 年 3 月权益配置权重为 45.00% ：超配 A 股（ 10.00% ），超配港股（ 10.00% ），标配美股（ 15.00% ），标配欧股（ 5.00% ），标配 日股（ 5.00% ）。权益资产中，多重因素支持中国权益表现，（ 1 ）建议超配 A 股。 2026 年是十五五开局之年，预计广义赤字有望进一步扩张，经济政 策有望更加积极。人民币稳定升值，中国货币政策稳中趋松。地产支持与内需消费刺激政策持续出台，资本市场改革 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report analyzes the performance of various asset classes in the week from February 24th to February 27th, 2026. The equity market showed overall recovery, the convertible bond market declined, the bond market mostly weakened, and commodity futures mostly strengthened. Different market segments were affected by various factors such as policy changes, external trade environment, and geopolitical risks [9][10]. 3. Summary by Directory 3.1 This Week's Performance of Major Asset Classes - The equity market showed overall recovery. The Shanghai Composite Index rose 1.98% to 4162.88 points, the Shenzhen Component Index rose 2.8% to 14495.09 points, and the ChiNext Index rose 1.05% to 3310.3 points. The trading volume of the Shanghai and Shenzhen stock exchanges totaled 9.69 trillion yuan. The Hang Seng Index rose 0.82% to 26630.54 points, while the Hang Seng Tech Index fell 1.41% to 5137.84 points [9]. - The convertible bond market declined. The CSI Convertible Bond Index fell 0.24% in the past week, and the Shanghai Stock Exchange Convertible Bond Index fell 0.34%. In the past month, the CSI Convertible Bond Index rose 0.9%, and the Shanghai Stock Exchange Convertible Bond Index rose 0.26% [9]. - The bond market mostly weakened. The yields of 1-year, 3-year, 5-year, 7-year, and 30-year China Bond Treasury bonds increased by 0.71bp, 0.84bp, 1.33bp, 2.36bp, and 4.36bp respectively, while the 10-year yield decreased by 0.22bp [9]. - Commodity futures mostly strengthened, with silver performing strongly. COMEX gold rose 3.24%, COMEX silver rose 11.61%, LME copper rose 2.28%, LME aluminum rose 1.16%, WTI crude oil rose 0.81%, SHFE rebar rose 0.98%, CBOT soybeans rose 1.41%, and CBOT corn rose 1.88% [10]. 3.2 Performance of the Equity Market - Stocks - The equity market rose this week, with small and medium-cap stocks outperforming. Most industries rose, with cyclical sectors such as steel and non-ferrous metals leading the gains. The media, consumer services, and non-bank financial sectors led the declines. The media sector fell 5.21%, consumer services fell 4.14%, and non-bank financials fell 3.21%. The steel sector rose 9.52%, and the comprehensive financial sector rose 2.17% [14]. - Market rotation was still active this week. The market style switched again. Benefiting from post-holiday resumption of work and production, cyclical and resource sectors led the gains, while the consumer sector was relatively weak. In addition, technology growth sectors such as semiconductors and chips also performed well [14]. - The reasons for the market performance are that the trading volume increased in the first week after the holiday, and the trading activity improved. Since the beginning of this year, the prices of many commodities have continued to rise. On the one hand, driven by the expansion of AI-related demand, the prosperity of sub - sectors such as chips and electronic cloth has increased, and prices have strengthened. On the other hand, the prices of resources such as gold and silver have also risen to varying degrees. Under the combined effect of rising product prices and improved profit expectations, relevant fields have strengthened synchronously. In the steel sector, many steel enterprises announced a "good start" in production in the first month of this year, and the production and sales indicators of some steel enterprises performed well, enhancing the investment confidence in the sector [14]. 3.3 Performance of the Equity Market - Convertible Bonds - The equity market rose this week, while the convertible bond market fell. As of February 27, 2026, the CSI Convertible Bond Index fell 0.24%, and the Shanghai Stock Exchange Convertible Bond Index fell 0.34%. In the past month, the CSI Convertible Bond Index rose 0.9%, and the Shanghai Stock Exchange Convertible Bond Index rose 0.26%. The trading volumes of convertible bonds and underlying stocks this week were 2945.06 billion yuan and 5968.85 billion yuan respectively, and the trading activity of both underlying stocks and convertible bonds declined compared with before the holiday [16]. - The convertible bond market was weak this week, lagging behind the overall stock market performance. The resource and pro - cyclical sectors of A - shares showed obvious upward trends, while some high - valuation technology and growth stocks were under pressure. At the same time, the trading volume of convertible bonds decreased, which may have had a certain impact on the convertible bond market [16]. 3.4 Performance of the Fixed - Income Market - The bond market yields generally increased this week, with the 10 - year Treasury bond yield slightly decreasing. The yields of 1 - year, 3 - year, 5 - year, 7 - year, and 30 - year China Bond Treasury bonds increased by 0.71bp, 0.84bp, 1.33bp, 2.36bp, and 4.36bp respectively, while the 10 - year yield decreased by 0.22bp [18]. - During the Spring Festival, the US tariff policy fluctuated again, increasing the uncertainty of the external trade environment and affecting the market risk appetite, which had a certain impact on the short - term bond market. On February 25th, Shanghai issued the "Seven Measures for Shanghai" real estate optimization policy, which adjusted the purchase restrictions, housing provident fund use, and property tax, etc. The policy was aimed at stabilizing the real estate market and expectations. Affected by the policy's boost to the real estate chain sentiment, the risk appetite for equities was marginally repaired, and the bond market was under pressure [18]. - In terms of the capital side, on February 25th, the central bank conducted 600 billion yuan of MLF operations. From the perspective of the operation intensity and reverse repurchase scale, the monetary policy continued to be relatively loose, and the attitude of maintaining liquidity was stable. Especially before the Two Sessions, the policy orientation of stabilizing the capital side is expected to continue, and the capital price is likely to remain in a reasonable range and be generally stable. In the future, although the bond market sentiment has improved compared with before, there are not enough incremental factors to drive the yield to break through the oscillation range effectively. Before there is a new dominant variable, the market's long and short forces are still relatively balanced, and the bond market is expected to continue the range - bound pattern in the short term [19]. 3.5 Performance of the Commodity Market - The Nanhua Commodity Index strengthened overall this week, with precious metals performing strongly. The index rose 3.56% in total. Precious metals led the gains, rising 8.55% compared with the week before the Spring Festival. Metals rose 3.06%, industrial products rose 2.47%, energy and chemicals rose 2.14%, and agricultural products rose 1.19% [27]. - The gold price continued to rise this week and remained at a high level. The uncertainty of the US - Iran situation and the variable policy orientation of the Trump administration have increased the external geopolitical risk premium. At the same time, the short - term rebound of international oil prices and the creation of a new stage high have strengthened the market's re - pricing expectations for inflation and the energy supply - demand pattern, driving the precious metal and energy sectors to strengthen synchronously. In the future, the evolution of the geopolitical situation is still uncertain, and there are also significant differences in the Fed's policy path. It is expected that gold will maintain a high - level oscillation pattern in the short term [28][30].

丨证券研究报告丨 固定收益丨点评报告 [Table_Title] 美伊冲突如何影响大类资产配置？ ——海外利率与大类资产配置周报 报告要点 [Table_Summary] 美伊冲突彻底爆发。对大类资产而言，历史经验表明冲突爆发后，权益短期受冲击后迅速修复 至原水平，发达和新兴均改善，新兴好于发达。债市持续受益，黄金和美元事前受益，金价冲 突后反而回落。而油价受益冲突扩大上行，但冲突结束后低于原水平。我们认为，本轮冲突原 油短期最受益，中枢在 70-80 美元/桶区间波动，除非长期封锁波斯湾，否则油价不会出现大幅 上涨。金价事前受益较多，考虑历史走势，后续金价或因为风险兑现反而回落。但中长期而言， 黄金和铜仍是年内较为推荐的品类。 分析师及联系人 [Table_Author] 赵增辉 马骏 SAC：S0490524080003 SAC：S0490525120004 SFC：BVN394 请阅读最后评级说明和重要声明 %% %% %% %% research.95579.com 1 [Table_Title 美伊冲突如何影响大类资产配置？ 2] ——海外利率与大类资产配置周报 [Table_Summary2] 海 ...

资产概览：中东紧张局势推升贵金属/原油价格 [Table_Authors] 方奕(分析师) ——大类资产配置全球跟踪 2026 年 3月第 1期 本报告导读： 2/13 至 2/27 期间，中东紧张局势推升贵金属和原油价格。权益中韩国综指领涨，其 年内涨幅已达 48.2%。人民币兑美元大幅升值，日元兑美元大幅贬值。 投资要点： | | 021-38031658 | | --- | --- | | | fangyi2@gtht.com | | 登记编号 | S0880520120005 | | | 郭佼佼(分析师) | | --- | --- | | | 021-38031042 | | | guojiaojiao2@gtht.com | | 登记编号 | S0880523070002 | [Table_Report] 相关报告 春节旅游景气提升，科技和资源涨价 2026.02.28 外资延续流入，公募新发积极 2026.02.24 主动外资加速流入 A 股与港股 2026.02.10 成交活跃度下降，万得全 A 估值微跌 2026.02.08 科技资源景气延续，内需或迎景气拐点 2026.02.04 策 略 ...

[Table_Page] 金融工程|专题报告 2026 年 3 月 1 日 证券研究报告 [Table_Title] 金融工程：大类资产及权益风格月 报（2026 年 2 月） 权益资金流边际改善，小盘成长风格有望占优 [Table_Summary] 报告摘要： 图：大类资产最新观点(20260228) 表：权益风格最新观点(20260228) | 权益风格 | 宏观视角 最新得分 | 技术视角 最新得分 | 最新 总得分 | 最新观点 | | --- | --- | --- | --- | --- | | 大盘川盘 | -1 | -2 | -3 | 看好小盘 | | 成长/价值 | 1 | 2 | 3 | 看好成长 | [分析师： Table_Author]李豪 SAC 执证号：S0260518070001 021-38003569 lhao@gf.com.cn 分析师： 安宁宁 SAC 执证号：S0260512020003 SFC CE No. BNW179 0755-23948352 anningning@gf.com.cn 请注意，李豪并非香港证券及期货事务监察委员会的注册 持牌人，不可在香港从事受监 ...

Asset Performance - The Shanghai Composite Index rose by 1.98% this week, while the CSI 300 Index increased by 1.08%[12] - The yield on the 10-year government bond decreased by 4 basis points to 1.79%[12] - The average annualized yield of money market funds, including Yu'ebao, fell by 13 basis points to 1.01%[12] Economic Indicators - During the Spring Festival holiday, 596 million domestic trips were made, with total spending reaching 803.48 billion yuan, an increase of 1.26 billion yuan compared to the previous year[5] - The box office for the Spring Festival holiday reached 5.752 billion yuan, with 120 million viewers[5] - The average daily cross-regional personnel flow during the holiday was 311 million, a year-on-year increase of 8.2%[5] Policy and Market Outlook - The central bank will lower the foreign exchange risk reserve ratio for forward foreign exchange sales from 20% to 0% starting March 2, 2026[21] - The asset allocation sequence is prioritized as follows: Stocks > Commodities > Bonds > Currency[5] - The focus for the next month is on the implementation of domestic growth stabilization policies, with a neutral stance on bonds and currency[4]