主动权益基金仓位继续下探， 国有险企长周期考核正式落地 —— 量化市场追踪周报（2025W28） 请阅读最后一页免责声明及信息披露 http://www.cindasc.com 1 证券研究报告 金工研究 金工定期报告 于明明 金融工程与金融产品 首席分析师 执业编号：S1500521070001 联系电话：+86 18616021459 邮 箱：yumingming@cindasc.com 吴彦锦 金融工程与金融产品 分析师 执业编号：S1500523090002 联系电话：+86 18616819227 邮 箱：wuyanjin@cindasc.com 周君睿 金融工程与金融产品 分析师 执业编号：S1500523110005 联系电话：+86 19821223545 邮 箱：zhoujunrui@cindasc.com 量化市场追踪周报(2025W28)：主动权益基金仓位 继续下探，国有险企长周期考核正式落地 2025 年 7 月 13 日 主动权益基金延续下行趋势再创年内新低，"固收+"基金仓位也降至近期 低点。截至 2025/7/11，主动权益型基金的平均仓位约为 83.93%。其中， 普通股票型基 ...

日前，国泰海通证券公布最新的《基金公司固定类基金绝对收益分类评分排名》榜单，截至6月30日， 近1年、2年、3年排名中，景顺长城均位居固收类大型基金公司第1。此外，景顺长城近10年期固收投资 能力更是获得5星评级，展现出持续的领先优势。（备注：固收类大型公司按照国泰海通证券规模排行 榜近一年主动固收的平均规模进行划分，按照基金公司规模自大到小进行排序，其中累计平均主动固收 规模占比达到全市场主动固收规模50%的基金公司划分为大型公司。近1、2、3年具体排名均为1/18。 投资能力截至日期为2025年4月29日） 具体来看，景顺长城旗下一批纯债、一级债、二级债和偏债混在内的基金，业绩表现较为突出。银河证 券数据显示，截至6月30日，近1年和3年维度，景顺长城分别有24只、27只固收类基金跻身同类业绩排 名同类前1/3，多只基金排名同类前10。 纯债基金方面，参与近一年业绩排名的12只长期纯债基金中，有8只位列同类前1/3，整体表现较为出 色。其中，何江波管理的景顺长城景泰鑫利、陈静管理的景泰丰利、彭成军管理的景泰益利，近一年回 报分别为5.03%、4.97%和4.63%（同期业绩基准均为2.36%），同类排名均 ...

Core Viewpoint - The recent fluctuations in the bond market and the stock market surpassing 3500 points have led to increased attention on the short-term yields of certain "fixed income + equity" products, particularly the "YouSheng·HongJin Short-term Holding 7 Days No.3 ESG Preferred A" product from Postal Savings Bank, which has seen significant sales and performance metrics [1][4]. Group 1: Product Performance - The product achieved an annualized yield of 7.92% over the past month, with a notable increase in net value around June 25, coinciding with a strong performance in the stock market [4][10]. - In the first half of the year, the average net value growth rate of the "YouSheng·HongJin Short-term Holding 7 Days" series was 1.66%, translating to an annualized rate of approximately 3.32% [7]. - The product scored 64 points for yield performance and 99 points for risk control, ranking 43rd, 653rd, 208th, and 357th in various categories among 786 similar products, achieving an overall score of 66, outperforming 92.62% of its peers [7][10]. Group 2: Investment Strategy - This product is characterized as an ESG-focused financial product, primarily investing at least 80% of its total assets in fixed income assets, with a maximum of 20% in equity assets, including mixed funds [10][18]. - The investment strategy emphasizes a cautious approach, with a significant allocation of 52.32% in cash and bank deposits, and 35.56% in bonds, indicating a conservative investment stance [15][16]. - The product also employs market-neutral strategies to hedge against market risks while favoring preferred stocks in its equity investments [15][18]. Group 3: Market Context - The overall management scale of Zhongyou Wealth Management reached approximately 999.24 billion yuan, with fixed income products dominating the portfolio, accounting for 92.83% of the total number of products and 95.94% of the total scale [16]. - The average yield for fixed income products in 2024 was reported at 3.55%, ranking 9th among 30 wealth management companies, while mixed products had a lower average yield of 2.42% [16].

Core Viewpoint - The "Fixed Income +" strategy is gaining popularity in the market, with mixed secondary bond funds offering a balanced approach to meet investors' demand for stable investment options [1] Group 1: Product Overview - The ICBC Steady Gain Bond Fund (Class A: 024528, Class C: 024529) was launched on July 14, aiming to provide investors with a better risk-return profile [1] - The fund invests at least 80% of its assets in bonds, while equity and convertible bonds account for 5%-20% of the total assets, with a dual market strategy in A+H shares [1] Group 2: Fund Management - The proposed fund manager, Zhuang Yuan, has 21 years of experience in the securities industry and 14 years in investment management, focusing on fixed income [2] - Zhuang is known for her strong credit risk management skills and her ability to identify high-certainty investment opportunities [2] Group 3: Performance Metrics - The ICBC Steady Yield One-Year Holding Bond Fund and ICBC JuRui Mixed Fund have shown stable performance under Zhuang's management, with returns of 6.55% and 5.14% respectively as of June 30, 2025 [3] - The maximum drawdown for the ICBC Steady Yield One-Year Holding Bond Fund since Zhuang took over is 2.4%, significantly lower than the industry average of 5.29% [3] Group 4: Research Team - The ICBC Credit Research Team consists of 42 members, including 16 investment professionals and 26 researchers, covering a wide range of fixed income research areas [4] - The team has established a horizontal information-sharing mechanism to enhance collaboration between investment and research [4] Group 5: Target Investors - The ICBC Steady Gain Bond Fund is suitable for three types of investors: those seeking stable returns with low risk, those looking to improve yields through "Fixed Income +" products, and those wanting to diversify their portfolio [4]

Core Viewpoint - The article emphasizes the significant opportunities for private equity funds in the Greater Bay Area of China, driven by policy benefits, capital accumulation, and cross-border innovation, amidst a backdrop of global economic uncertainty and evolving macroeconomic conditions [3][4][6]. Group 1: Global Macro Market Outlook - The U.S. tariff policies have been a major disruptor in the global macroeconomic landscape, impacting growth momentum [4]. - The recent "truce" in U.S.-China tariffs provides a temporary positive sentiment for the market and supply chains, but the sustainability of this impact depends on future agreements and China's economic rebalancing progress [6]. Group 2: Equity Market Dynamics - China's equity market is currently attracting international investors due to its appealing valuations, strengthened market confidence from policy expectations, structural upgrades, and global capital allocation needs [8]. - The MSCI China Index has returned to its five-year average valuation, and future performance will heavily rely on the recovery of earnings momentum [10]. - The "Eight Giants" of China still show significant valuation discounts compared to the "Seven Sisters" of U.S. stocks, indicating potential for capital inflow as trade tensions clarify and China's economic resilience is demonstrated [10]. Group 3: Fixed Income Market Outlook - In the first half of 2025, high-yield bonds performed strongly while investment-grade bonds met expectations [11]. - As the U.S.-China interest rate differential narrows, Chinese dollar bonds may face pressure from widening credit spreads, potentially redirecting some "southbound funds" towards more attractive municipal bonds [13]. Group 4: Quantitative Research and Data Solutions - Alternative data is crucial for quantitative research, providing investors and analysts with forward-looking insights to navigate market fluctuations [14][16]. - Bloomberg's enterprise data solutions offer high-quality, globally covered data to assist private equity clients in making informed investment decisions [19]. Group 5: Insights from Industry Leaders - The integration of cutting-edge technology with solid industry research is essential for identifying value in the current market environment, particularly in the rapidly growing Greater Bay Area [22]. - Sustainable free cash flow is prioritized over short-term profit fluctuations, with current market conditions presenting opportunities for value investors to capitalize on undervalued companies [24].

Core Viewpoint - The A-share market has shown steady performance since the second half of 2025, with the Shanghai Composite Index surpassing 3500 points for the first time in eight months, indicating a positive market outlook despite existing uncertainties [1]. Market Performance - The June CPI has turned from decline to increase year-on-year, with core CPI continuing to rise, reflecting the gradual effectiveness of policies aimed at boosting consumption [1]. - There are still uncertainties in the market, including differences in global economic recovery and valuation corrections in certain industries, necessitating flexible investment strategies [1]. Fund Performance - The Guotai Multi-Strategy Income Mixed Fund, managed by Hu Zhilei since September 3, 2024, has shown significant performance advantages, achieving a return of 5.39% over the past six months, compared to 2.40% and 1.71% for the medium- and long-term pure bond index and short-term bond fund index, respectively [1][2]. - The fund has a maximum drawdown of only 0.27%, significantly lower than the average maximum drawdown of 11.88% for similar funds [5]. Investment Strategy - The Guotai Multi-Strategy Income Mixed Fund employs a relatively conservative investment strategy, primarily focusing on fixed-income assets to achieve low volatility and small drawdowns [4]. - The fund's current allocation is mainly in medium- to short-duration bonds, with a flexible approach to using interest rate bond strategies and selectively investing in lower-risk convertible bonds to enhance portfolio elasticity [4]. Risk Control - The fund has demonstrated excellent historical risk control metrics, with recent maximum drawdown, Sharpe ratio, annualized volatility, downside risk, and Calmar ratio all significantly outperforming the average of similar funds [5]. - The fund managers, Hu Zhilei and Wang Lin, are both experts in absolute return strategies, with Hu Zhilei specializing in fixed-income investments and Wang Lin combining macro perspectives with stock selection capabilities [5][8]. Conclusion - The Guotai Multi-Strategy Income Mixed Fund is positioned to adapt to both market uptrends and volatility, making it a practical choice for investors seeking balanced returns in a complex market environment [8].

Core Viewpoint - The convertible bond market is experiencing a significant reduction in supply, leading to increased scarcity and heightened interest from investors, particularly in bank convertible bonds [1][2][3]. Group 1: Market Dynamics - Since July, there has been a concentrated redemption and conversion of bank convertible bonds, resulting in a shrinking asset pool. As of July 10, the total market for convertible bonds has decreased to 668.08 billion yuan, down 65.54 billion yuan from the beginning of the year [1]. - The current market is undergoing a period of intensive adjustment, with 456 convertible bonds entering redemption and conversion phases, representing 95.36% of the total market size [1]. - The convertible bond market has shown strong upward momentum this year, with the Wind convertible bond index rising by 18.17% year-to-date as of July 10 [2]. Group 2: Performance of Bank Convertible Bonds - Bank convertible bonds are particularly attractive due to the strong credit quality of the issuing banks and the performance of bank stocks, which have seen significant increases due to institutional investments [2][3]. - Several bank convertible bonds have successfully triggered mandatory redemption and conversion, achieving high conversion rates, such as Chengdu Bank and Suzhou Bank with rates of 99.94% and 99.93% respectively [3]. Group 3: Investor Sentiment and Strategy - There is a growing concern among investors regarding the high valuation of convertible bonds, with some analysts suggesting that entering the market at this stage may not be wise [2][4]. - Despite the high valuations, there remains a demand for convertible bonds, particularly from institutional investors seeking to enhance their fixed-income portfolios [5][6]. - Investment strategies are shifting, with a preference for large-cap convertible bonds linked to major stocks, especially in sectors like banking, photovoltaic, and agriculture [6].

作为一名固收投资经理，置身近几年的债券市场，可谓是有喜有忧。喜的是债券市场依然还是处于偏强的 走势中，债券的配置依然可以博取一定的资本利得收益；忧的是随着低利率环境的到来，债券产品未来配 置的收益显然无法达到投资者预期，投资难度越来越大了。 实际上，回顾2025年上半年乃至近几年债券市场的行情，都可以发现 中长期低利率环境的拐点还未到来 ，即使是今年2至3月因为资金收紧导致的市场回调，4月关税风云带来的利率快速重回下行轨道。因此， 这几年业内经常有"每逢回调都是买入机会"的说法，意思是债市长期牛市的格局不变，但个别时点波动率 会大幅上升。不过，值得关注的是，截至今年6月，市场并没有突破之前的利率低点，其实已经反应了短 期内利率进一步下行空间有限的这一市场共识。 低利率环境下，所有的固收投资经理都需要面对一个重要难题——如何获取超额收益？债券投资的三板 斧，无非就是信用债的挖掘、拉升久期、增加杠杆。回顾这几年的市场行情，2023年主要是"化债"背景下 的信用债、城投债行情，投资策略可以挖掘信用债，增加杠杆；2024年则是 "适度宽松货币政策"背景下 的长久期利率债行情，投资策略可以大幅增加久期，买入30年国债； ...

Group 1: Monetary Policy and Market Operations - The central bank conducted a 7-day reverse repurchase operation of 755 billion yuan at a fixed rate of 1.40%, with a net withdrawal of 230 billion yuan on the same day due to 985 billion yuan of reverse repos maturing [2] - The overnight pledged repo rate slightly increased to 1.31%, while the 7-day pledged repo rate rose to 1.47% [4] - The yield on major interbank bonds mostly increased, indicating a potential shift in market sentiment [9] Group 2: Economic Indicators - China's June CPI rose by 0.1%, marking a turnaround after four consecutive months of decline, primarily driven by a rebound in industrial consumer goods prices [13] - The June PPI fell by 3.6%, worse than the expected decline of 3.2%, influenced by seasonal price drops in raw materials and increased green energy supply [13] Group 3: Bond Market Developments - The central government plans to issue 60 billion yuan of government bonds in Macau on July 16 [16] - The National Development Bank will auction up to 38 billion yuan of fixed-rate bonds on July 10 [16] - A series of negative credit events were reported for various companies, indicating a trend of downgrades in credit ratings [16]

Core Viewpoint - Recent short-term low to medium risk (R2 level) bank wealth management products have seen rising yields, with some products achieving annualized returns close to 10% in the past month, attracting significant investor attention [1][2][3] Group 1: Factors Driving Yield Increase - The increase in yields is driven by three main factors: a favorable short bond market, the effectiveness of "fixed income +" strategies, and the "new product ranking" effect [1][3] - The short bond market has shown strong performance, with high-rated credit bonds and interest rate bonds rebounding in price, supported by a relaxed funding environment and expectations of interest rate cuts [3] - Some "fixed income +" products have allocated 0%-5% to equity assets, benefiting from the recovery in the A-share market, which has significantly enhanced overall returns [3] Group 2: Characteristics of High Yields - High yields observed in short-term wealth management products are often linked to their initial scale and establishment time, where smaller initial sizes can lead to higher apparent returns that are not sustainable as the scale increases [2] - Many banks employ strategies such as fee waivers and yield subsidies during the initial launch of new products to temporarily boost yields, but these effects are not sustainable [3] Group 3: Long-term Yield Outlook - The average performance benchmark for newly issued R2 level wealth management products is projected to drop to 2.55% by 2025, indicating a long-term downward trend in yields [4] - For short-term idle funds (7 days to 1 month), it may be appropriate to allocate to these high-yield products, while for medium to long-term needs, pure bond funds or periodically open products may offer more stable returns [4]