证券研究报告 | 固定收益点评 gszqdatemark 2025 04 28 年 月 日 固定收益点评 基金增持了哪些转债——25Q1 基金转债持仓分析 2025Q1 公募基金持有转债规模占转债总市值的比重环比下降 0.87pcts，仓位小幅上升了 0.01pcts。截止 2025Q1，转债市场存量余 额 6920.52 亿元，环比 24Q4 增加 0.24%；公募基金持有转债市值 2822.74 亿元，占转债总市值的 40.79%，较 24Q4 减少 0.87pcts；公募基金持有 转债仓位为 0.819%，较 24Q4 上升 0.01pcts。 2025Q1，可转债基金平均收益略跑赢中证转债指数。受权益市场行情影 响，25Q1 转债市场主要指数上涨。可转债基金 25Q1 的区间平均收益率 为 16.73%，收益率为正的可转债基金有 39 只，其中华宝可转债债券 25Q1 收益率表现最好为 46.51%；东方可转债债券的收益率同样表现优异为 37.26%。另外仅有工银可转债债券的收益率为-0.24%。可转债基金中跑 赢中证转债指数的有 21 只，胜率 52.50%；跑赢转债债基指数的为 18 只， 胜率为 ...

文 ｜ 何旺岚 唐栋国 王子雄 王亦琛 ▍ 费改前两阶段已落地实施，第三阶段销售费率改革有望二季度出台。 赵文荣 郭佳昕 闻天 张子辰 2 0 2 3年7月，证监会出台了《公募基金行业费率改革工作方案》，方案按照"管理费用—交易费用—销售费用"的实施路径，分 三阶段推进费率改革，稳步降低公募基金行业综合费率水平，目前方案出台接近2年时间，费率改革前两个阶段已顺利落地实 施，我们预计第三阶段销售费率改革有望于今年二季度出台。 为解决"基金赚钱、基民不赚钱"的行业痛点，提升投资者投资体验和投资回报，中国证监会出台了《公募基金行业费率改革工 作方案》，目前前两阶段费改已顺利实施，成效显著，基金的综合费率水平稳步下降，我们测算每年为投资者至少节约超3 0 0亿 元成本，第三阶段销售费率改革也有望于近期出台。费率改革或加速中小机构出清，基金管理人集中度或进一步提升，管理费 收入下降或将促使基金管理人降本增效，开拓新的业务增长点；佣金新规倒逼券商提供更深度、差异化服务增强竞争力，中小 券商或面临分仓份额的不断缩小，行业集中度料将进一步提升。 ▍ 管理费率和托管费率稳步下降，改革让利于民，投资者投资体验不断提升。 第一阶段 ...

Quantitative Models and Construction Methods Model Name: Fund Position Estimation Model - **Model Construction Idea**: The model aims to estimate the fund positions by simulating the complete stock holdings of public funds based on disclosed top 10 heavy stocks and industry allocation information[8][9][10]. - **Model Construction Process**: - **Step 1**: Obtain the top 10 heavy stocks from the quarterly fund report and the top 10 shareholders from the listed company quarterly report[8][9]. - **Step 2**: Use the industry allocation information from the fund quarterly report and the complete stock holdings from the latest semi-annual and annual reports to simulate the non-heavy stock holdings[10]. - **Step 3**: Assume the types of non-heavy stocks remain unchanged across periods, and adjust the weights proportionally based on the previous period's non-heavy stock holdings to simulate the current period's non-heavy stock holdings[10]. - **Step 4**: Combine the simulated non-heavy stock holdings with the disclosed heavy stock holdings to estimate the complete stock holdings of the fund[8][10]. - **Step 5**: Use weighted least squares to estimate the fund's allocation in large-cap and small-cap combinations based on the fund's daily returns and the daily returns of large-cap and small-cap indices[12]. - **Step 6**: Monitor the fund's positions daily and analyze the average style changes from three dimensions: large/small-cap allocation, market value exposure, and industry allocation[12]. - **Model Evaluation**: The model provides a detailed and timely estimation of fund positions, allowing for daily monitoring and analysis of fund style changes[12]. Model Backtesting Results - **Fund Position Estimation Model**: - **Ordinary Stock Fund**: Median position 89.38%, increased by 0.06% compared to last week[15]. - **Partial Equity Hybrid Fund**: Median position 87.57%, decreased by 0.29% compared to last week[15]. - **Large-cap Combination**: Ordinary stock fund position decreased by 0.86%, partial equity hybrid fund position decreased by 1.40%[15]. - **Small-cap Combination**: Ordinary stock fund position increased by 0.92%, partial equity hybrid fund position increased by 1.12%[15]. - **Position Percentile**: Ordinary stock fund at 68.67%, partial equity hybrid fund at 81.54% since 2016[15]. Quantitative Factors and Construction Methods Factor Name: Fund Style Monitoring Factor - **Factor Construction Idea**: The factor aims to monitor the style changes of public funds by estimating their positions in large-cap and small-cap combinations[12]. - **Factor Construction Process**: - **Step 1**: Obtain the simulated complete stock holdings of public funds based on the fund position estimation model[12]. - **Step 2**: Use weighted least squares to estimate the fund's allocation in large-cap and small-cap combinations based on the fund's daily returns and the daily returns of large-cap and small-cap indices[12]. - **Step 3**: Monitor the fund's positions daily and analyze the average style changes from three dimensions: large/small-cap allocation, market value exposure, and industry allocation[12]. - **Factor Evaluation**: The factor provides a comprehensive and timely monitoring of fund style changes, allowing for detailed analysis of fund behavior[12]. Factor Backtesting Results - **Fund Style Monitoring Factor**: - **Ordinary Stock Fund**: Stock position 89.4%, small-cap position 48.0%, large-cap position 41.4%[14]. - **Partial Equity Hybrid Fund**: Stock position 87.6%, small-cap position 53.4%, large-cap position 34.2%[14].

一、本周指数增强组合表现 沪深300指数增强组合本周超额收益0.77%，本年超额收益3.14%。 中证500指数增强组合本周超额收益1.14%，本年超额收益3.91%。 中证1000指数增强组合本周超额收益0.79%，本年超额收益5.21%。 二、本周选股因子表现跟踪 沪深300成分股中3个月盈利上下调、标准化预期外盈利、单季净利同比增速 等因子表现较好。 中证500成分股中预期PEG、BP、标准化预期外收入等因子表现较好。 中证1000成分股中预期净利润环比、预期PEG、单季超预期幅度等因子表现 较好。 公募基金重仓股中一年动量、3个月盈利上下调、单季净利同比增速等因子 表现较好。 三、本周公募基金指数增强产品表现跟踪 沪深300指数增强产品本周超额收益最高2.02%，最低-0.56%，中位数 0.45%。 中证500指数增强产品本周超额收益最高1.36%，最低-0.28%，中位数 0.59%。 中证1000指数增强产品本周超额收益最高1.44%，最低-0.17%，中位数 0.78%。 主 要 结 论 一 国信金工指数增强组合表现跟踪 国信金工指数增强组合的构建流程主要包括收益预测、风险控制和组合优化三块， ...

Group 1 - The scale of securities asset management approaches 5.5 trillion yuan, driven by a bull market in bonds, with a year-on-year growth rate of 3.04% in 2024 [1] - CITIC Securities, as the leading firm in asset management, reported an investment income of 32.486 billion yuan, a significant year-on-year increase of 71.76% [1] - Despite the growth of leading securities firms, nearly half of the securities asset management firms experienced a decline in income, indicating increased industry differentiation [1] Group 2 - The total number of public fund managers has surpassed 4,000, marking a new phase in the industry with an influx of new generation fund managers [2] - The departure of underperforming senior fund managers highlights the intensifying competition within the industry, prompting firms to strengthen their research and investment systems [2] - The transition in fund managers may lead to changes in investment styles, which investors should monitor closely [2] Group 3 - First Capital recently announced the appointment of Qing Meipingcuo and Chen Xingzhu as executive vice president and vice president, respectively, indicating a shift towards a younger and more professional management team [3] - Qing Meipingcuo, at 38 years old, brings extensive financial industry experience, which may enhance market confidence in the company [3] - Chen Xingzhu's nearly 25 years of experience in the investment banking sector is expected to further solidify the company's position in the securities industry [3] Group 4 - Shanxi Securities announced the resignation of two senior executives, which may raise concerns about the stability of the company's management [4] - The resignations were attributed to age, but they could impact investor sentiment and introduce uncertainty in the competitive securities sector [4] - The increasing regulatory scrutiny in the securities industry may exacerbate concerns regarding risk management following such executive changes [4]

数据来源： Choice，统计截至2025/3/31，不作投资推荐 以下文章来源于东方财富Choice数据 ，作者Choice数据 东方财富Choice数据 . Choice数据是东方财富旗下智能金融数据品牌，是国内领先的金融数据服务商。我们致力于为金融投资 机构、学术研究机构、政务监管、媒体和专业投资者提供金融投资领域多场景解决方案，以及更高效、 更精准的投资决策依据。 基金市场 截至2025年一季度末，公募基金市场基金数量12532只，资产净值32.07万亿 元， 环 比 减少1.74% 。 ， 统计截至2025/3/31，不作投资推荐 重仓持股 资产配置 1.大类资产配置 Choi ce数据显示，截至2025年一季度末，基金持有量最多的资产类型为 债券 ，持有市值 19.66万亿元，占基金资产总值比例58.1%；其次为 股票 ，持有市值6.92万亿元，占比 20.45%。 其中，较2024年年报占比提升最多的资产类型为债券 ，占比增长3.99%，占比下降最多的 资产类型为现金，占比下降3.6%。 | Choice数据 | | 2025年一季报公募基金资产配置 | | | | --- | --- | -- ...

华尔街见闻出品 作者 郑孝 杰 编辑袁畅 经历了富于挑战的一季度，公募机构的规模座次正式出炉！ 根据WIND资讯截至4月22日晚间20点的统计，已公布季报的非货基金合计18.2万亿，继续保持在历史高位。 按管理人汇总，内地非货基金规模前十名的机构依次为 易方达、华夏基金、广发基金、富国基金、嘉实基金、南方基金、博时基金、华泰柏瑞、招商基金、汇添 富基金。 以下文章来源于资事堂 ，作者资事堂 资事堂 . 上述机构也构成了行业的前十强。 另外以门槛值看，第一集团的入围门槛是4950亿元以上，第二集团前20名的门槛规模为2620亿以上。入围难度都不小。 而前三十名的入围标准是1560亿元，前五十名的门槛是850亿元，第100名的入围门槛是224亿元。基本上，公募行业的管理机构进入前100名，大概率经营都属于 盈利状态。 除了总量数据，各个规模序列的内部，各家机构的排名也有一定的起伏，这从一个侧面反映了行业现实和未来的发展方向。 前十强： 起伏无碍排名 公募行业的规模前十强座次变化，是"头部阵营"竞争缩影。 根据WIND统计，截至2025年一季度末，非货规模前十名依次为：易方达基金、华夏基金、广发基金、富国基金、嘉实 ...

2025年4月24日，大地海洋(301068.SZ)发布2024年年度报告。截至2025年4月23日，共有38个机构投资 者披露持有大地海洋A股股份，合计持股量达2426.40万股，占大地海洋总股本的22.28%。其中，前十 大机构投资者包括杭州共合投资管理合伙企业(有限合伙)、国金证券-中信银行-国金证券大地海洋员工 参与创业板战略配售集合资产管理计划、交通银行股份有限公司-易方达科瑞灵活配置混合型证券投资 基金、基本养老保险基金二一零八组合、浙江恒晋同盛创业投资合伙企业(有限合伙)、交通银行股份有 限公司-易方达科汇灵活配置混合型证券投资基金、易方达逆向投资混合A、华夏稳增混合、广发优质 生活混合A、易方达平衡视野混合A1，前十大机构投资者合计持股比例达20.99%。相较于上一季度， 前十大机构持股比例合计下跌了1.39个百分点。 公募基金方面，本期较上一期持股增加的公募基金共计1个，即易方达科瑞混合，持股增加占比达 0.19%。本期较上一季度持股减少的公募基金共计1个，即易方达平衡视野混合A1，持股减少占比小幅 下跌。本期较上一季度新披露的公募基金共计29个，主要包括华夏稳增混合、广发优质生活混合A、华 ...

2025年4月24日，天禄科技(301045.SZ)发布2024年年度报告。截至2025年4月23日，共有35个机构投资 者披露持有天禄科技A股股份，合计持股量达532.65万股，占天禄科技总股本的4.83%。其中，前十大 机构投资者包括北京芯动能投资管理有限公司-天津显智链投资中心(有限合伙)、苏州市相城埭溪创业投 资有限责任公司、MORGAN STANLEY & CO. INTERNATIONAL PLC.、永赢半导体产业智选混合发起 A、国泰金鹏蓝筹价值混合、光大保德信量化股票A、英大国企改革A、方正富邦趋势领航混合A、鑫元 数字经济混合发起式A、南华瑞盈混合发起A，前十大机构投资者合计持股比例达4.55%。相较于上一 季度，前十大机构持股比例合计下跌了1.04个百分点。 公募基金方面，本期较上一期持股增加的公募基金共计1个，即鑫元数字经济混合发起式A，持股增加 占比小幅上涨。本期较上一季度新披露的公募基金共计29个，主要包括永赢半导体产业智选混合发起 A、国泰金鹏蓝筹价值混合、光大保德信量化股票A、英大国企改革A、方正富邦趋势领航混合A等。本 期较上一季未再披露的公募基金共计1个，即中信保诚安鑫回报债 ...

Investment Rating - The report maintains an "Increase" rating for the non-bank financial sector, indicating a positive outlook for the industry in the next 6 to 12 months [4][16]. Core Insights - As of the end of Q1 2025, the total holding of public funds in the non-bank financial sector is 0.83%, which is 9.43 percentage points lower than the industry market capitalization in the CSI 300 index, reflecting a decrease of 0.39 percentage points from the end of 2024 [4]. - The report highlights that the non-bank financial sector is currently experiencing low holding ratios and valuations, which are expected to benefit from an improving market environment [4]. - Key recommended stocks include China Life Insurance, New China Life Insurance, China Ping An, CITIC Securities, CICC, and Tonghuashun [4]. Summary by Sections Public Fund Holdings Analysis - The public fund holdings in the insurance sector decreased to 0.58% by the end of Q1 2025, down 0.05 percentage points from the beginning of the year [4]. - Major insurance companies, except for Ping An, experienced reductions in holdings, with China Pacific Insurance and People's Insurance seeing significant decreases of 24.36 million shares and 19.01 million shares, respectively [4]. - The valuation for the insurance sector is currently at 0.60x PEV, down 0.09 percentage points from the start of the year [4]. Brokerage and Internet Finance Sector - The public fund holdings in the brokerage and internet finance sector are at 0.21%, a decrease of 0.31 percentage points from the end of 2024 [4]. - The valuation for the brokerage sector is currently at 1.4x P/B, down from 1.49x P/B at the end of 2024 [4]. - Among traditional large and medium-sized brokerages, Everbright Securities and招商证券 saw increased institutional holdings, while Huatai Securities and CITIC Securities experienced reductions [4]. Comparative Analysis - The non-bank financial sector's public fund holding ratio is significantly lower than the CSI 300 industry average, indicating a potential undervaluation [4]. - The report provides a detailed comparison of public fund holdings across various segments, including insurance and brokerage, highlighting the overall trend of reduced holdings in these sectors [4].