Core Insights - The report indicates that as of the end of December 2025, the signals for stocks, bonds, and gold markets in January 2026 are positive, negative, and positive respectively [1][3]. Group 1: Macro Environment - The macro environment forecast for Q1 2026 is predicted to be a slowdown, with credit spreads narrowing and term spreads expanding based on the latest data from December 2025 [2]. Group 2: Industry Trends - From January 2015 to December 2025, the cumulative return of the industry composite trend factor combination is 124.81%, with an excess return of 48.89%. The factor signal for December 2025 was positive, and the Wind All A index had a monthly return of 3.30%. The industry composite trend factor remains at 0.46, maintaining a positive signal [3].

- The macro scoring model is optimistic about Chinese bonds, US stocks, copper, and crude oil[24] - The US stock timing model indicates a potential strengthening of US stocks driven by an upward revision in rate cut expectations[25] - The gold timing model remains positive on gold, with the latest indicator value at -0.51, slightly improved from the previous month[27] - The crude oil timing model maintains a cautious view, with the latest crude oil sentiment index reading at -0.05, remaining below the zero axis[33] - The macro scoring model's latest view shows an improvement in the outlook for US stocks, Chinese bonds, copper, and crude oil[24][26] - The US stock timing model's latest mid-term timing indicator for US stocks is 72.9, showing a slight improvement from the previous month[25][29] - The gold timing model's latest indicator value is -0.51, with the sub-indicators showing weakness mainly due to the significant contraction in US fiscal efforts[27][30] - The crude oil timing model's latest crude oil sentiment index reading is -0.05, indicating a continued cautious outlook[33][34] - The macro scoring model's latest view shows an improvement in the outlook for US stocks, Chinese bonds, copper, and crude oil[24][26] - The US stock timing model's latest mid-term timing indicator for US stocks is 72.9, showing a slight improvement from the previous month[25][29] - The gold timing model's latest indicator value is -0.51, with the sub-indicators showing weakness mainly due to the significant contraction in US fiscal efforts[27][30] - The crude oil timing model's latest crude oil sentiment index reading is -0.05, indicating a continued cautious outlook[33][34]

Group 1: Federal Reserve and Interest Rate Expectations - The next Federal Reserve chair is expected to lower interest rate cut expectations, impacting market sentiment positively[2] - The market anticipates a pause in rate cuts during the January FOMC meeting, with a focus on maintaining the current target rate[11] - The 1-year Treasury yield decreased from 1.402% to 1.337%, a drop of 6 basis points, indicating a shift in short-term interest rate expectations[2] Group 2: Domestic Market Trends - The Shanghai Composite Index rose from 3888.6 to 3968.84, a 2.06% increase, driven by improved macro policies and a significant rise in the construction PMI[2] - The growth style index increased from 8331.69 to 8741.04, reflecting a 4.91% rise, supported by favorable liquidity conditions[2] - The construction PMI improved significantly, indicating a potential stabilization in investment and economic recovery[17] Group 3: Commodity and Currency Insights - Brent crude oil prices fell from $58.55 to $57.42 per barrel, a decrease of 1.93%, suggesting a bearish outlook on oil due to supply dynamics[2] - The US dollar index decreased from 99.44 to 98.27, a drop of 1.18%, reflecting a slight weakening of the dollar amid lower rate cut expectations[2] - The COMEX copper price increased from $5.19 to $5.649 per pound, an 8.84% rise, indicating strong demand amid supply constraints[2]

Quantitative Models and Construction Methods 1. Model Name: Fixed Proportion + Macro Indicators + Technical Indicators Combination - **Model Construction Idea**: This model combines fixed proportion asset allocation with adjustments based on macroeconomic and technical indicators to optimize portfolio performance[35][36] - **Model Construction Process**: - Select seven asset classes, including equities, bonds, commodities, and currencies - Set a fixed proportion as the baseline allocation for each asset class - Adjust the weights of non-currency assets based on the latest monthly signals from macroeconomic and technical indicators, while correspondingly increasing or decreasing the allocation to currency assets[37] - **Model Evaluation**: The model effectively integrates macro and technical signals to enhance portfolio performance and reduce risk[36] 2. Model Name: Classic Asset Allocation Model + Macro Indicators + Technical Indicators Combination - **Model Construction Idea**: This model incorporates classic asset allocation strategies, such as risk parity and volatility control, with macroeconomic and technical indicators to achieve better risk-adjusted returns[43] - **Model Construction Process**: - Use the same seven asset classes as the previous model - Set baseline weights based on risk parity or a 6% annualized volatility control - Adjust weights monthly based on macroeconomic and technical signals - Impose constraints on asset allocation proportions (e.g., equity allocation capped at 30%, commodity allocation capped at 20%) and turnover rates (e.g., single asset monthly turnover capped at 20%, total monthly turnover capped at 30%)[43] - **Model Evaluation**: The model balances risk and return effectively, with constraints improving feasibility and stability[43] --- Model Backtesting Results 1. Fixed Proportion + Macro Indicators + Technical Indicators Combination - Annualized Return: 10.22%[40] - Maximum Drawdown: 9.34%[40] - Annualized Volatility: 6.24%[40] 2. Classic Asset Allocation Model + Macro Indicators + Technical Indicators Combination - **Volatility Control (6%) + Macro Indicators + Technical Indicators Combination**: - Annualized Return: 9.10%[47] - Maximum Drawdown: 5.06%[47] - Annualized Volatility: 4.94%[47] - **Risk Parity + Macro Indicators + Technical Indicators Combination**: - Annualized Return: 8.28%[47] - Maximum Drawdown: 4.47%[47] - Annualized Volatility: 3.40%[47] --- Quantitative Factors and Construction Methods 1. Factor Name: Macroeconomic Trend Factor - **Factor Construction Idea**: Analyze the impact of macroeconomic indicator trends (upward or downward) on asset returns[10] - **Factor Construction Process**: - Use historical moving averages to determine the trend of a macroeconomic indicator - Conduct a t-test to evaluate whether asset returns differ significantly under upward and downward trends - Formula: $ t = \frac{\overline{R_1} - \overline{R_2}}{\sqrt{\frac{(n_1-1)S_1^2 + (n_2-1)S_2^2}{n_1+n_2-2} \left(\frac{1}{n_1} + \frac{1}{n_2}\right)}} \sim t_{n_1+n_2-2} $ where $\overline{R_1}$ and $\overline{R_2}$ are the average monthly returns under upward and downward trends, $S_1$ and $S_2$ are the standard deviations, and $n_1$ and $n_2$ are the number of months in each trend[10] - **Factor Evaluation**: The factor effectively identifies significant differences in asset returns under different macroeconomic trends[10] 2. Factor Name: Trend Indicator Factor - **Factor Construction Idea**: Use historical price data to measure the trend of different asset classes[16] - **Factor Construction Process**: - For equities: $(\text{2-month LLT average monthly return} - \text{(T-12 to T-2) month average monthly return})$ - For bonds: $(\text{2-month closing price average monthly return} - \text{(T-12 to T-2) month average monthly return})$ - For industrial commodities: $(\text{2-month closing price average monthly return})$ - For gold: $(\text{6-month closing price average monthly return})$[16] - **Factor Evaluation**: The factor provides a robust method for identifying asset price trends[16] 3. Factor Name: Valuation Indicator Factor - **Factor Construction Idea**: Use the equity risk premium (ERP) to measure equity valuation levels[21][27] - **Factor Construction Process**: - Calculate ERP as the inverse of the CSI 800 Index PE (TTM) minus the 10-year government bond yield - Define the 5-year historical percentile of ERP as: $ \text{Percentile} = \frac{\text{Current ERP} - \text{5-year ERP Minimum}}{\text{5-year ERP Maximum} - \text{5-year ERP Minimum}} $ - Assign scores based on the percentile: - >90%: +2 - 70%-90%: +1 - 30%-70%: 0 - 10%-30%: -1 - <10%: -2[22] - **Factor Evaluation**: The factor effectively captures valuation levels, with higher percentiles indicating lower valuations[22] 4. Factor Name: Fund Flow Indicator Factor - **Factor Construction Idea**: Measure the net fund flow into the CSI 800 Index to assess market sentiment[27][32] - **Factor Construction Process**: - Calculate the monthly active net inflow as: $(\text{1-month active net inflow} - \text{6-month average monthly active net inflow})$ - Positive values indicate fund inflow, while negative values indicate fund outflow[27][32] - **Factor Evaluation**: The factor provides a clear signal of market sentiment based on fund flow dynamics[32] --- Factor Backtesting Results 1. Macroeconomic Trend Factor - Equity: PMI (3-month moving average) → Positive trend, score: +1[15] - Bond: PMI (3-month moving average) → Negative trend, score: -1[15] - Gold: US M2 YoY (12-month moving average) → Positive trend, score: +1[15] - Industrial Commodities: PMI (3-month moving average) → Positive trend, score: +1[15] 2. Trend Indicator Factor - Equity: 2-month LLT average return → 0.38%, upward trend, score: +1[21] - Bond: 2-month closing price average return → -0.15%, downward trend, score: -1[21] - Gold: 6-month closing price average return → 4.20%, upward trend, score: +1[21] - Industrial Commodities: 2-month closing price average return → -0.09%, downward trend, score: -1[21] 3. Valuation Indicator Factor - Equity: 5-year ERP percentile → 51.77%, neutral valuation, score: 0[27] 4. Fund Flow Indicator Factor - Equity: 1-month active net inflow → 1863 billion RMB, fund inflow, score: +1[32]

Group 1: Report Industry Investment Rating - There is no information about the report industry investment rating in the provided content. Group 2: Core Viewpoints of the Report - The overall view on financial futures in the stock index sector is that the index futures are expected to fluctuate with a strong bias after the holiday. For IH2603, the short - term and medium - term trends are both oscillatory, while the intraday trend is strong, with an overall view of oscillating and strengthening. The core logic is the unchanged policy - favorable expectations and the net inflow trend of funds [1][5]. Group 3: Summary by Related Catalogs Variety Viewpoint Reference - Financial Futures Stock Index Sector - For IH2603, the short - term view is oscillatory, the medium - term view is oscillatory, the intraday view is strong, and the overall view is oscillating and strengthening. The core logic is the unchanged policy - favorable expectations and the net inflow trend of funds [1]. Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - The varieties include IF, IH, IC, and IM. The intraday view is strong, the medium - term view is oscillatory, and the reference view is oscillating and strengthening. The core logic is that last Wednesday, each stock index oscillated and consolidated in a narrow range. The National Bureau of Statistics announced that the manufacturing PMI in December was 50.1%, an increase of 0.9 percentage points from the previous month, rising to the expansion range. The strong resilience of macro - economic indicators, combined with policy - favorable expectations and the net inflow trend of funds, jointly support the stock index. In 2026, policies are gradually being implemented, and policy - favorable expectations are gradually fermenting. Against the background of the global monetary easing cycle, the trend of large - scale asset allocation to Chinese technology assets is increasing the risk appetite of the stock market. In the short term, as the stock index approaches the previous high, the technical resistance appears, and the upward trend of the stock index slows down. However, after the holiday, with the return of market liquidity and the further fermentation of policy benefits, the risk appetite of the stock market is expected to continue to recover [5].

Group 1 - In 2025, global macroeconomic uncertainty drove structural market trends, with rising prices for precious and industrial metals, and a "slow bull" market in A-shares supported by relative certainty [3][4] - The performance of precious metals, industrial metals, and rare metals was influenced by supply-demand dynamics and macroeconomic factors, leading to significant price increases [3][4] - The "strong stocks, weak bonds" trend characterized the market, with equity markets performing well, particularly in hard technology sectors like AI and non-ferrous metals [4][9] Group 2 - In 2026, the global market is expected to stabilize, with a focus on growth and inflation driving asset allocation, influenced by U.S. Federal Reserve policies and the progress of AI technology [6][8] - The anticipated economic growth center for 2026 is around 2.6%, with key macro variables including U.S. fiscal policy and the independence of the Federal Reserve's monetary policy [7][8] - The demand for metals such as copper, silver, and aluminum is expected to rise due to the AI industry's growth, although supply-side growth may lag, leading to potential price volatility [9][11] Group 3 - The commodity market in 2026 is projected to remain strong under "macro easing and micro improvement," but trading logic will differ across various commodities [11] - The chemical sector, particularly in photovoltaic and lithium battery industries, may see price recoveries if supply-side reforms are implemented [11][12] - The recommendation for 2026 asset allocation is to actively hold quality equity assets while managing risks, as market fluctuations are expected in the latter half of the year [12]

Group 1 - The report indicates a shift towards a weaker economic outlook, with liquidity remaining slightly loose and credit indicators showing slight improvement. The macro dimensions suggest a continued trend of weak economy, loose liquidity, and credit contraction [2][8][14] - The asset allocation strategy emphasizes high dividend and low volatility configurations, focusing on factors that are insensitive to economic and credit conditions. The top scoring factors are centered around profitability and dividends, with significant improvements in dividend scores [5][9][30] - The report maintains a high allocation to gold, suggesting a 20% upper limit due to ongoing momentum, while bond views have improved but remain low due to other asset influences [2][27] Group 2 - Economic forward indicators are trending weak, entering the initial phase of a decline since December 2025, with expectations of continued downward movement. Key indicators such as PMI and retail sales are in a downward cycle [14][19] - Liquidity conditions have returned to a slightly loose state, with interest rates stabilizing and short-term rates slightly declining, indicating a shift back to a neutral signal [21][24] - Credit indicators show slight improvement in social financing year-on-year, although the structure of loans to households and enterprises has decreased, indicating a preference in credit indicators [25][26] Group 3 - The market focus remains on PPI, which has surpassed economic indicators in attention, highlighting market concerns regarding future demand recovery [28][29] - Industry selection is biased towards weak cyclical sectors, with top scoring industries including computer and food and beverage sectors, which are less sensitive to economic and credit fluctuations [30][31]

Macro Economic Overview - The report indicates a downward trend in the Shanghai Composite Index, which fell by 0.59% this week, while the CSI 300 index futures decreased by 0.06% [1][11] - The report highlights a mixed performance in commodity futures, with coking coal futures down by 0.76% and iron ore futures up by 2.00% [1][11] - The yield on ten-year government bonds increased by 1 basis point to 1.85%, while active ten-year government bond futures dropped by 0.36% [1][11] Asset Allocation Recommendations - The recommended order for asset allocation is equities > commodities > bonds > currency, reflecting a positive outlook on A-shares and stable bond yields [2][4] - The report suggests that the U.S. dollar's safe-haven status is weakening, prompting international capital to seek alternatives, with RMB assets being a top choice due to their stability and growth potential [2][4] - The report anticipates that commodity prices will be influenced by supply pressures in oil and demand dynamics in cyclical goods, while agricultural products will be affected by supply factors [2][4] Key Economic Indicators - The manufacturing PMI for December was reported at 50.1, indicating a slight expansion, while the non-manufacturing PMI was at 50.2, returning to the expansion zone [18] - The report notes that the upcoming National People's Congress will convene on March 4, 2026, which may influence economic policies [18][19] Market Performance Insights - The report details a significant decline in the real estate market, with a notable drop in transaction volumes for new homes in major cities, indicating potential market stabilization due to recent policy changes [36][41] - The automotive sector is experiencing a downturn, with wholesale and retail sales of passenger vehicles showing negative growth for four consecutive weeks [36][41] Bond Market Analysis - The yield on ten-year government bonds has risen to 1.85%, with a noted increase in the yield of ten-year policy bank bonds to 2.00% [46] - The report highlights a significant rise in yields for low-rated credit bonds, indicating a shift in market sentiment [46]

Group 1 - The report indicates that the stock side employs a small-cap growth portfolio combined with a non-timing stock-bond rebalancing strategy of 10/90 and 20/80, projecting cumulative returns of 6.80% and 12.44% by 2025 respectively [1] - As of December 26, 2025, the total market size of fixed income plus funds reached 21,730.41 billion, with 1,147 products, and 233 of these funds achieved historical net value highs last week [2][18] - The report highlights that 25 new products were launched last week, with median performance across various fund types showing divergence, such as mixed bond type I (0.09%), mixed bond type II (0.29%), and flexible allocation type (0.31%) [2][14] Group 2 - The macro environment forecast for Q4 2025 suggests an inflationary trend, with the CSI 300 index yielding 2.88% since December, while the total wealth index of government bonds yielded -0.10% [3] - The report recommends focusing on specific industry ETFs for December 2025, including Southern CSI Shenwan Nonferrous Metals ETF and Huabao CSI Bank ETF, with a combined return of 3.08% last week [3] - The absolute return strategy performance tracking indicates that the stock-bond 20/80 rebalancing strategy yielded 0.45% last week, while the stock-bond risk parity strategy yielded 0.28% [4] Group 3 - The report details that the small-cap growth style within the stock-bond 20/80 combination performed exceptionally well, achieving a year-to-date return of 12.44% [4] - The report also notes that the conservative, balanced, and aggressive fund median returns were 0.14%, 0.27%, and 0.39% respectively for the week ending December 26, 2025 [2][14] - The absolute return strategy performance tracking shows that the combined strategy of stock-bond and industry ETF rotation yielded returns of 0.68% and 0.31% respectively last week [4]

Core Viewpoint - Despite recent price corrections, gold remains one of the best-performing assets in recent years, with a 27% increase in 2024 and over 70% since 2025. This has led banks and institutions to launch "gold+" multi-asset strategy products [1] Group 1: Market Trends and Product Development - The acceptance of gold as a strategic asset has increased, with 45% of domestic FOF products holding gold by mid-2025, up from 20% at the end of 2020 [1] - The number of bank wealth management products containing "gold" reached 52 by December 30, 2025, compared to only a few two years prior [1] - In 2025, 40 out of 89 newly established FOF funds included gold indices in their performance benchmarks, indicating a significant rise in gold's popularity in multi-asset allocations [5] Group 2: Performance of "Gold+" Products - Several "gold+" wealth management products have shown impressive returns this year, with notable examples including a 21.7% return for 招银理财 and 23.0% for 兴证全球基金 [2] - The average annualized return for wealth management products with "gold" in their names was 4.56%, outperforming other types of products [2] Group 3: Strategic Positioning of Gold - Asset managers emphasize that gold's role in "gold+" products is not solely for yield growth but also for its hedging capabilities to reduce portfolio volatility [2] - The long-term value of gold in asset allocation is supported by its anti-inflation properties and negative correlation with other assets [3] Group 4: Innovations in Product Offerings - Banks are innovating "gold+" products, with two main types: "fixed income + gold" and structured products linked to gold derivatives [5][6] - The introduction of structured wealth management products has gained traction, allowing for capturing gold price increases while mitigating volatility [6] Group 5: Regulatory and Market Context - The regulatory environment is encouraging long-term capital to enter the market, with banks increasing their equity asset allocation [7] - The insurance sector is also exploring gold investments, recognizing its liquidity and long-term return potential compared to traditional assets [9]