2026年作为"十五五"规划开局之年，中国经济将迈入高质量发展的关键转型期。银河证券首席经济学家 章俊指出，伴随经济再平衡进程推进、温和再通胀格局形成，叠加内外环境阶段性改善，2026年投资中 国股票市场有望获得显著超额回报，资本市场将在新旧动能转换中发挥核心枢纽作用，带动中长期资金 入市与居民存款搬家形成正向循环。 章俊团队构建的"银河时钟"资产配置框架显示，在房价逐步触底、汇率稳步升值的双重积极信号下，中 国大类资产配置将从第四象限迈入第一象限，股票资产将成为本轮周期的核心受益品种。这一判断背 后，是经济基本面改善、政策协同发力、外部环境缓和三大核心支撑逻辑的共振。 三重积极因素：支撑股市超额回报 其一，外部环境阶段性改善，美国政策重心内移，中美迎来一年宝贵的缓和期，美联储主席换届和劳动 力市场结构重塑为降息提供保障，预计2026年底前基准利率降至2.75%至3%区间（3次降息），全球流 动性宽松格局将为中国资本市场带来有利外部环境。 其二，资本市场功能定位持续强化。资本市场作为新旧动能转换的重要枢纽，在"乘势而上"支持科技和 高质量发展、"因势利导"提振信心和财富效应方面均发挥关键作用。中长期资金入市和 ...

Core Viewpoint - The financial industry is shifting towards a "multi-asset multi-strategy" approach to address challenges posed by low interest rates and scarce quality assets, aiming for diversified investment to balance risk and return [2][3] Group 1: Multi-Asset Multi-Strategy Overview - Multi-asset multi-strategy is a diversified investment method that aims for long-term stable returns by investing in various asset classes with different correlations, employing diverse strategies to reduce portfolio volatility [3] - The diversified asset allocation includes bonds, stocks, gold, and non-standard assets, while the investment strategies encompass dividend strategies, quantitative strategies, index strategies, and global allocation [3] - The focus on major asset allocation has become crucial for wealth management, especially after the pressures faced by equity assets post-2021 [3] Group 2: Market Trends and Product Development - Several wealth management companies have launched multi-asset multi-strategy product systems, with notable examples including the "All+Fortune" series from China Merchants Bank Wealth Management, which has surpassed 370 billion yuan in management scale [4] - The "solid income+" product system, which combines fixed income assets with stocks, gold, and convertible bonds, is becoming mainstream, with a reported scale of approximately 9 trillion yuan as of September 2025, reflecting a 69% increase since December 2023 [4] - Mixed-asset products have seen significant growth, with a current scale of 830 billion yuan, representing 2.58% of all wealth management products, and notable performance improvements in returns [6] Group 3: Challenges and Strategic Considerations - The practice of multi-asset multi-strategy faces three main challenges: asset selection, defining specific investment strategies for each asset class, and effective asset allocation and rebalancing [5] - To achieve better investment outcomes, wealth management institutions need to enhance their research and investment capabilities systematically [5] Group 4: Regulatory Environment and Market Participation - The regulatory framework is increasingly supportive of long-term capital entering the market, with bank wealth management products now recognized as A-class investors, allowing participation in IPOs [7] - Currently, only mixed and equity products can participate in offline IPO subscriptions, with mixed products being the primary beneficiaries due to scale requirements [7] Group 5: Future Outlook - The structure of wealth management products is expected to continue optimizing, with mixed products projected to reach a balance of 1.52 to 1.9 trillion yuan by 2026, indicating significant growth potential [8] - To attract long-term investments, wealth management companies are introducing dividend products, offering both cash dividends and reinvestment options to enhance returns for investors [8]

- The report does not contain any specific quantitative models or factors for analysis. It primarily focuses on macroeconomic trends, asset allocation strategies, and market observations[1][2][4]. - The report discusses the performance of various asset classes, including equities, bonds, commodities, and currencies, but does not provide detailed quantitative factor construction or modeling processes[10][11][12]. - It highlights the seasonal effects and market trends, such as the spring rally in Hong Kong and A-shares markets, but does not delve into quantitative factor testing or modeling[38][39][63]. - The report mentions a rotation timing model for high-growth and dividend strategies, which uses indicators like term spreads, social financing growth, CPI, PPI, U.S. bond rates, and fund flows. However, it does not provide detailed formulas or construction processes for these indicators[59]. - The rotation strategy achieved an annualized return of +17.54%, outperforming the benchmark by +11.77%, with a current allocation recommendation of 60% dividend and 40% growth[59]. - Seasonal effects are noted, such as small-cap stocks outperforming in February and March, while large-cap stocks dominate in April and December[63]. - The report provides market sentiment analysis, including institutional buying intentions and external capital flows, but does not include quantitative factor testing or modeling[51][54]. - Industry performance is discussed, with a focus on sectors like TMT, AI, and industrial metals, but no quantitative models or factors are detailed[64][67]. - The report includes valuation metrics for indices like the S&P 500, Nasdaq, and Shanghai Composite, but does not provide quantitative factor construction or testing[26][47][48]. - The report does not contain specific quantitative models or factors for analysis, nor does it provide formulas or detailed construction processes for any mentioned strategies or observations[1][2][4].

- The report primarily focuses on the investment strategies and asset allocation of fund manager Hu Zhongyuan, emphasizing industry beta returns and flexible asset rotation across equity and fixed income markets [1][10][12] - Hu Zhongyuan's equity strategy targets industry beta returns rather than individual alpha, with a focus on sectors with clear growth trends such as AI and renewable energy, while maintaining diversification to control drawdowns [12][29][36] - The fixed income strategy employs cash enhancement through reverse repo and short-term interest rate bonds, complemented by high-grade credit bonds and duration management to mitigate interest rate volatility risks [12][53][61] - Historical performance analysis shows Hu Zhongyuan's funds consistently outperforming benchmarks, with notable returns in both equity and fixed income allocations, supported by effective macro timing and sector rotation [18][22][50] - The Sharpe model analysis indicates a shift in fund style from small-cap growth to large-cap growth starting in 2025, reflecting strategic adjustments in response to market conditions [50][52] - Bond allocation trends reveal a preference for high-grade credit bonds (AAA-rated) and government bonds, with dynamic adjustments in duration and leverage based on macroeconomic factors [61][63][64]

Core Viewpoint - The A-share market has shown significant profitability this year, but investors face confusion regarding whether to enter the market or remain cautious, and how to avoid the cycle of "buying high and selling low" [1][11] Group 1: Understanding Economic Cycles - The key to achieving ideal returns lies in understanding the linkage between economic cycles and market trends, which can guide investment behavior [2][13] - Since 2025, the A-share market has exhibited a "support below, pressure above" pattern, characterized by a gradual upward trend amidst adjustments and emotional digestion [2][13] - The market's trajectory can be divided into three phases: initial adjustments, mid-year recovery, and high-level fluctuations awaiting further verification of corporate earnings [4][14] Group 2: Market Resilience and Downward Cycle Trends - Historical comparisons indicate that the A-share market's recovery speed after significant adjustments has notably accelerated, with past downturns lasting over 30 months now reduced to mere months [5][15] - This change reflects a deepening market participation structure and an increase in the influence of long-term capital, suggesting enhanced overall stability and resilience [5][15] - The market is likely to continue exhibiting characteristics of "rapid adjustments and slow recoveries," allowing investors to focus on medium to long-term strategies rather than short-term fluctuations [5][15] Group 3: Building a Personal Investment "Navigation System" - The event aims to share professional insights and practical methods, emphasizing concepts like "economic cycle positioning," "navigation thinking," and "long-term allocation" [9][19] - This approach is designed to enhance investors' understanding of asset allocation and product strategies, helping them maintain rational decision-making in complex market environments [9][19]

金融工程| 证券研究报告 —周报 2025 年 12 月 21 日 中银量化大类资产跟踪 近期国家队与社保资金托举 A 股企稳回升 股票市场概览 ◼ 本周 A 股市场整体下跌，港股市场整体下跌，美股市场普遍上涨，其 他海外权益市场走势分化。 A 股风格与拥挤度 成长 vs 红利：相对拥挤度及超额净值近期处于历史较高位置，需注 意成长风格的配置风险。 小盘vs大盘：相对拥挤度及超额净值均未处于历史高位，小盘风格当 前具有较高的配置性价比。 商品市场 ◼ 本周中国商品市场整体上涨，美国商品市场整体下跌。 风险提示 微盘股 vs 中证 800：相对拥挤度及超额净值持续处于历史高位，需注 意微盘股风格的配置风险。 A 股行情跟踪 A 股估值与股债性价比 A 股资金面 利率市场 ◼ 本周中国国债利率下跌，美国国债利率下跌，中美利差处于历史高位。 汇率市场 ◼ 近一周在岸人民币较美元升值，离岸人民币较美元升值。 ◼ 量化模型因市场剧烈变动失效。 中银国际证券股份有限公司 具备证券投资咨询业务资格 金融工程 证券分析师: 郭策 (8610) 66229081 ce.guo@bocichina.com 证券投资咨询业务证书编 ...

Group 1 - The report indicates that domestic asset BL models 1 and 2 both recorded a weekly return of 0.1%, with December returns of 0.11% and year-to-date returns of 4.15% and 3.93% respectively [1][14]. - Global asset BL models 1 and 2 experienced a decline, with model 1 showing a weekly return of -0.14% and model 2 a slight decrease of -0.01%, while their year-to-date returns were 1.01% and 2.59% respectively [1][14]. - The domestic risk parity model achieved a weekly return of 0.04% and a year-to-date return of 3.68%, while the global risk parity model had a weekly return of 0.02% and a year-to-date return of 3.31% [20][21]. Group 2 - The report highlights that the macro factor-based asset allocation model yielded a weekly return of 0.07% and a year-to-date return of 4.48%, indicating its effectiveness in the current market environment [26][27]. - The performance of various asset classes was tracked, with SHFE gold showing a significant increase of 1.0%, while the South China commodity index and S&P 500 experienced declines of 1.21% and 0.78% respectively [7][9]. - The report emphasizes the importance of the Black-Litterman model, which integrates subjective views with quantitative models to optimize asset allocation, thus providing a more robust investment strategy [12][13].

Global Economic Outlook - The global economy is expected to grow by 3.1% in 2026, slightly down from 3.2% in 2025, indicating a continued weak recovery trend[9] - The U.S. economy is projected to grow by 2.1% in 2026, a slight increase from 2.0% in 2025, while the Eurozone and Japan are expected to see declines in growth rates[12] - The weak U.S. dollar, which fell over 8% from January to November 2025, is anticipated to continue influencing global capital reallocation in 2026[25] China Economic Growth - China's GDP is forecasted to grow by 4.7% in real terms and 4.9% in nominal terms in 2026, supported by technology and consumption sectors[1] - Fixed asset investment in China is expected to recover, with high-tech manufacturing and equipment manufacturing showing signs of improvement[31] - The retail sales of consumer goods in China grew by 4.3% year-on-year in the first ten months of 2025, indicating resilience in consumer spending[38] Asset Allocation Strategy - The recommended asset allocation for 2026 is: Stocks > Commodities > Bonds > Cash, reflecting a preference for equities amid a weak dollar environment[1] - The bond yields are expected to fluctuate within a favorable range, while commodity prices, particularly precious metals, are projected to reach new highs[1] - Currency funds are likely to focus more on liquidity safety, resembling a substitute for demand deposits in investor asset allocation[1] Risks and Uncertainties - Risks include potential underperformance of domestic policies, escalation of trade tensions, and rising fiscal security risks in major economies globally[1]

2026年作为"十五五"开局之年，经济增长目标预计维持在5%左右，实际增长率约4.9%，名义GDP增速升至4.2%左右，经济运行聚焦"质价共进"。投资端， 制造业在高端化智能化驱动下增速预计达5.2%，"十五五"重大项目推动广义基建投资增长6%，房地产投资降幅收窄至-10%。消费端，社消增速乐观预期达 5%，县域消费与医疗、教育、文旅等服务消费成为重要增长点，CPI和PPI预计分别回升至0.5%、-1%至0区间。外需受益于中美短期贸易协议及安全型走廊 贸易深化，出口增速预计在4%-5%。 政策层面延续宽松基调，财政政策持续发力，预算赤字率或突破4%，新增专项债限额约4.5万亿元，超长期特别国债发行规模扩大至1.4-1.5万亿元，重点支 持"两重"建设与消费品以旧换新。货币政策保持适度宽松，美联储降息背景下，国内或有25bp降准和10bp降息空间，社会融资规模增速预计保持8%以上。 税制改革聚焦动态调整，将持续提升直接税占比，健全经营、资本、财产所得税收政策。 大类资产配置方面，超配美股（受益于流动性宽松与AI资本开支增长）、黄金（上半年降息预期与央行购金支撑）、铜（供给紧张叠加AI电网需求）；低 配原油（库存 ...

Group 1: Report's Overall Investment Rating - There is no information about the industry investment rating provided in the report - Group 2: Core Viewpoints of the Report - From December 8th to December 12th, 2025, the Fed cut interest rates by 25BP as expected and planned to buy $40 billion in short - term Treasury bonds in the next 30 days. Globally, stock markets were divided, bond markets oscillated, and commodities declined significantly. In China, stock markets were also divided, bond markets rose, and commodities declined. Overall, in terms of US - dollar valuation, bonds > stocks > commodities. The market will focus on the performance of recent macro - data and its short - term impact on the prices of major asset classes [2][5][20] Group 3: Summary of Global Major Asset Performance 3.1 Global Stock Market - From December 8th to December 12th, due to the implementation of the US dollar interest - rate cut and increased concerns about AI, major global stock markets showed mixed performance. Emerging markets outperformed developed markets, and the VIX index stabilized at a low level weekly. US stocks performed poorly [7] - In the Asia - Pacific market, the MSCI Asia - Pacific region rose 0.53% weekly, while the Shanghai Composite Index fell 0.34%. In the European market, the CI Europe rose 0.67%. In the American market, the MSCI US fell 0.68%. In other markets, the Saudi All - Share Index rose 0.85% [10][11][12][13] 3.2 Global Bond Market - In the week of December 8th - 12th, although the December FOMC meeting cut interest rates by 25BP as expected, there were significant differences among Fed officials regarding inflation and employment. The New York Fed planned to buy $40 billion in short - term bonds in the next 30 days. The 2 - year US Treasury yield fell 4BP to 3.52%, and the 10 - year yield rose 5BP to 4.19%. The bond market oscillated strongly weekly, with high - yield bonds > Treasury bonds > credit bonds globally [14] 3.3 Global Foreign Exchange Market - The US dollar index fell 0.59% weekly. Major non - US currencies against the US dollar showed mixed performance, and the RMB exchange rate oscillated strongly [15] 3.4 Global Commodity Market - Supply surplus pressured oil prices, causing international oil prices to fall significantly weekly. The decline of the US dollar index led to rising precious - metal prices. Most agricultural and non - ferrous metal prices declined [17] Group 4: Summary of Domestic Major Asset Performance 4.1 Domestic Stock Market - With the implementation of important domestic policies and stable market sentiment, major A - share broad - based indexes showed differentiated trends. The average daily trading volume of the two markets increased compared to the previous week. The growth style performed better. Sectors such as communication and military industry led the gains, while coal and petroleum and petrochemical sectors performed poorly. The Shanghai Composite Index fell 0.34% weekly [21] 4.2 Domestic Bond Market - From December 8th to 12th, the central bank's open - market operations had a net injection of 4.7 billion yuan. The bond market was strongly trending weekly, with Treasury bonds > corporate bonds > credit bonds overall [22] 4.3 Domestic Commodity Market - The domestic commodity market declined weekly. Among major commodity sectors, precious metals led the gains, while the energy sector performed poorly [24] Group 5: Outlook for Major Asset Prices - With the implementation of recent important policies in China and the US, the market will focus on the performance of recent macro - data and its short - term impact on the prices of major asset classes [2][28]