Core Viewpoint - The increasing variety of passive investment tools in the domestic market is making ETF-based multi-asset FOF products a popular choice among investors, enhancing asset allocation efficiency and allowing managers to focus on asset management [1] Group 1: Investment Strategy - The FOF investment system is based on a localized all-weather strategy, supplemented by three enhancement strategies: asset allocation management, style and sector rotation, and alternative asset investment, aiming to provide long-term stable returns for investors [1][4] - The FOF product is designed to help investors achieve sustainable profit, with a strong emphasis on risk management and a focus on providing a stable holding experience rather than high volatility [2][3] Group 2: Asset Management Techniques - The strategy emphasizes "rule-based" management over "human-based" management, aiming to reduce uncertainty and improve performance stability through a scientific investment system [3] - A diversified asset allocation approach is adopted to mitigate portfolio volatility, with a focus on effective beta management as the core source of returns [3] Group 3: Enhanced Tactical Strategies - The three enhancement strategies include: 1. Equity and bond position management, utilizing a satellite monitoring system to adjust the portfolio based on economic fundamentals and market sentiment [5] 2. Style and sector rotation, prioritizing style rotation over sector rotation to improve rotation success rates [5][6] 3. Investment in alternative assets like gold and QDII to reduce portfolio volatility by introducing assets with lower correlation to domestic markets [6] Group 4: Risk Control and Portfolio Management - The selection of broad-based ETFs and sector-specific thematic ETFs is strategically differentiated, with broad-based ETFs serving as indicators for potential weaknesses in sub-sectors [7] - Strict standards are applied to the selection of underlying assets for the FOF, ensuring a balanced portfolio and minimizing concentrated exposure to specific risks [7] - Emphasis is placed on controlling maximum drawdown, as it reflects the manager's risk control capabilities more effectively than volatility alone [7]

宏观经济 | 证券研究报告 — 总量周报 2026 年 1 月 24 日 宏观和大类资产配置周报 本周沪深 300 指数下跌 0.62% 大类资产配置顺序：股票>大宗>债券>货币。 宏观要闻回顾 资产表现回顾 本周沪深 300 指数下跌 0.62%，沪深 300 股指期货下跌 0.10%；焦煤期货 本周下跌 3.38%，铁矿石主力合约本周下跌 2.82%；余额宝 7 天年化收益 率与上周持平，收于 1.00%；十年国债收益率下行 1BP 至 1.83%，活跃十 年国债期货本周上涨 0.12%。 资产配置建议 2025 年经济增长目标圆满实现，2026 年稳增长需要财政政策和货币政策 协同发力。2025 年我国经济经历了美国关税政策给全球贸易带来的不确 定性冲击，出现了名义 GDP 和实际 GDP 同比增速倒挂的情况，内需对经 济增长前景预期偏弱导致需求疲弱，工业企业利润同比增速整体偏低等情 况，为稳定经济，我国实施了积极的财政政策和适度宽松的货币政策，推 出"两重""两新"政策支持经济转型升级和内需有效释放，落实"反内卷"政 策引导实体经济持续向好发展，最终实现了全年经济增长 5%的目标。2026 年全球经济 ...

Investment Rating - The report indicates a positive investment rating for the industry, suggesting an "Overweight" position relative to the CSI 300 index, with expected returns exceeding 15% [36]. Core Insights - The report highlights that gold has once again led the gains among major asset classes, with global asset allocation models recording positive returns. The domestic asset BL models showed returns of 0.28% and 0.26%, while global models recorded returns of 0.14% and 0.12% for the week [1][2][4]. Summary by Sections 1. Major Asset Performance Tracking - For the week of January 12 to January 16, 2026, major asset performances were as follows: SHFE gold increased by 2.57%, Hang Seng Index by 2.23%, and CSI 1000 by 1.27%. Conversely, the CSI 300 and S&P 500 saw declines of 0.57% and 0.45% respectively [7][10]. 2. Major Asset Allocation Strategy Tracking - The report details the performance of various quantitative asset allocation models. The domestic asset BL model 1 achieved a weekly return of 0.26%, while model 2 achieved 0.28%. The global asset BL model 1 and 2 recorded returns of 0.12% and 0.14% respectively for the same week [10][17][21]. 2.1. BL Model Strategy Tracking - The domestic asset BL model 1 has a year-to-date return of 1.13% with an annualized volatility of 2.85%. The global asset BL model 1 has a year-to-date return of 0.69% with an annualized volatility of 2.9% [17][18]. 2.2. Risk Parity Model Strategy Tracking - The domestic risk parity model reported a weekly return of 0.20% and a year-to-date return of 0.49%, with an annualized volatility of 1.16%. The global risk parity model achieved a weekly return of 0.13% and a year-to-date return of 0.38% [21][22]. 2.3. Macro-Factor Based Asset Allocation Strategy - The macro-factor based asset allocation strategy yielded a weekly return of 0.23% and a year-to-date return of 0.61%, with an annualized volatility of 1.73% [29].

Report Summary 1. Industry Investment Rating - No industry investment rating is provided in the report. 2. Core Viewpoints - A timing model can be applied to commodities, and the report models the most market - concerned gold and crude oil. The model is more suitable for medium - term band trading rather than intraday high - frequency trading [2]. - The gold timing model has a sample - out interval from March 2019 to now, with 61 correct intervals and 17 incorrect intervals, and an interval win - rate of 78.21%. The crude oil timing model has 52 correct intervals and 11 incorrect intervals in the same sample - out period, with an interval win - rate of 82.54% [2]. 3. Summary by Relevant Catalogs 3.1 Gold Timing Model - In 2025, precious metals like gold and silver had a super - bull market. On January 20, 2026, the spot gold price exceeded $4700. The model aims to judge the future movement of gold in a complex macro - background. The target variable is COMEX gold due to its high liquidity and global - factor - dominated price [5]. - Factors include gold ETF holdings, ETF volatility, inventory, short and long positions, trading volume, global broad liquidity, other non - ferrous metal - related indicators, gold - copper ratio, gold - oil ratio, and COMEX gold futures technical indicators. After marginal processing of 196 original factors, there are 338 factors in total, and after screening, 138 daily - frequency, 27 weekly - frequency, and 25 monthly - frequency factors are retained [2][5]. - From March 2019 to now, the model has 61 correct intervals and 17 incorrect intervals with a 78.21% win - rate. Since the end of October 2025, the model has continuously output an upward view on gold [2][6]. 3.2 Crude Oil Timing Model - The target of the crude oil timing model is IPE Brent oil. Crude oil has relatively larger fluctuations and lower smoothness [8]. - Factors include the common factors with gold (such as gold - oil ratio and global liquidity), as well as different types of crude oil, different exchange crude oil, transportation index, Sino - US inventories, Chinese imports, US and OPEC production, crude oil ETF, refinery operating rate, futures positions, technical indicators, and zinc ingot price. After marginal processing of 281 original factors, there are 394 factors in total, and after screening, 133 daily - frequency, 22 weekly - frequency, and 45 monthly - frequency factors are retained [2][8]. - From March 2019 to now, the model has formed 52 correct intervals and 11 incorrect intervals, with an 82.54% win - rate. It was bullish from December 12, 2025, to January 9, 2026, and turned bearish on January 13, 2026 [8].

- The report suggests a "barbell combination" of major assets, focusing on dollar depreciation, China-US AI competition, and re-inflation of resource commodities[5] - The A-share market is expected to reach new heights in 2026, driven by macro policies and a shift from valuation-driven to profit-driven growth[5] - The report recommends continuing to allocate to AI competition and re-inflation resource commodities as core strategies[5] - The Hang Seng Index and Hang Seng Technology Index both showed significant recovery, with the Hang Seng Index up 3.64% and the Hang Seng Technology Index up 3.38%[10] - The US stock market saw all three major indices record gains, with the Dow Jones Industrial Average up 2.03%, the S&P 500 up 1.71%, and the Nasdaq up 1.44%[10] - The report highlights the importance of the "spring agitation" phenomenon in the stock market, which typically occurs from January to March, driven by policy expectations, seasonal liquidity changes, and institutional rebalancing[65] - The report's rotation strategy model, which selects effective signals from single-factor tests, achieved an annualized return of +18.04%, with an excess annualized return of +11.86% compared to the performance benchmark[55] - The report suggests a 40:60 allocation between dividends and growth based on the current composite score[55] - The report indicates that small-cap stocks have a higher probability of outperforming in February and March, while large-cap stocks are favored in January and October[58][61] - The report identifies "technology growth" and "non-ferrous cycles" as the main market opportunities, with a focus on AI, energy storage, and industrial metals such as copper, aluminum, tin, rare earths, and lithium[69]

Fund Performance - As of January 16, 2026, the total scale of fixed income + funds in the market reached CNY 21,743.24 billion, with 1,152 products available, of which 461 achieved historical net value highs last week[2] - The median performance of various fund types for the week (January 12-16, 2026) was as follows: mixed bond type I (0.13%), mixed bond type II (0.21%), partially bond mixed type (0.28%), flexible allocation type (0.14%), bond type FOF (0.21%), and mixed type FOF (0.34%) [2] - The median returns by risk level were: conservative (0.16%), stable (0.24%), and aggressive (0.25%) [2] Asset Allocation and ETF Rotation - The macro environment forecast for Q1 2026 indicates a "Slowdown," with the returns of major indices as of January 16, 2026: CSI 300 (2.20%), China Government Bond Total Wealth Index (0.03%), and AU9999 contract (6.10%) [3] - The recommended industry ETFs for January 2026 include: China Coal ETF, China Steel ETF, China Securities Company ETF, and China Bank ETF, with a combined return of -2.65% for the week and -0.36% for January [3] Absolute Return Strategy - The macro-timed stock-bond 20/80 rebalancing strategy yielded a return of -0.04% last week, with a year-to-date (YTD) return of 0.51% [4] - The small-cap value style within the stock-bond 20/80 combination showed the best performance with a YTD return of 1.64%, while PB earnings, high dividend, and small-cap growth yielded 0.34%, 0.17%, and 1.23% respectively [4] - The cumulative return for the small-cap value combination based on a macro momentum model was 2.43%, while the PB earnings combined with small-cap value yielded a YTD return of 0.86% [4] Risk and Performance Insights - A total of 461 fixed income + products reached historical net value highs, including 195 mixed bond type I, 123 mixed bond type II, 80 partially bond mixed, 22 flexible allocation, 8 bond type FOF, and 33 mixed type FOF[19] - The performance of absolute return strategies is subject to risks such as factor failure, model mis-specification, and historical statistical regularity failure[4]

Group 1: Fixed Income + Product Performance Tracking - As of January 16, 2026, the total scale of fixed income + funds in the market reached 21,743.24 billion, with 1,152 products, of which 461 achieved historical net value highs last week [2][19] - The median performance of various fund types for the week of January 12-16, 2026, was as follows: mixed bond type I (0.13%), mixed bond type II (0.21%), partially bond mixed type (0.28%), flexible allocation type (0.14%), bond type FOF (0.21%), and mixed type FOF (0.34%) [2][12] - The median returns for conservative, stable, and aggressive funds were 0.16%, 0.24%, and 0.25%, respectively [2][12] Group 2: Major Asset Allocation and Industry ETF Rotation Strategy Tracking - The macro environment forecast for Q1 2026 indicates a "Slowdown," with the returns for the CSI 300, national bond total wealth index, and AU9999 contract as of January 16 being 2.20%, 0.03%, and 6.10%, respectively [3][23] - Recommended industry ETFs for January 2026 include: Guotai CSI Coal ETF, Guotai CSI Steel ETF, Guotai CSI All-Share Securities Company ETF, and Huabao CSI Bank ETF [3][23] - The combined return for the recommended ETFs last week was -2.65%, with a cumulative return of -0.36% for January [3][23] Group 3: Absolute Return Strategy Performance Tracking - The macro-timing driven stock-bond 20/80 rebalancing strategy had a return of -0.04% last week, with a year-to-date (YTD) return of 0.51% [4] - The small-cap value style within the stock-bond 20/80 combination showed the best performance with a YTD return of 1.64% [4] - The cumulative return for the small-cap value combination based on a macro momentum model was 2.43% [4]

面对2026年全球宏观经济环境"低增长、低通胀、高不确定性"的格局，以及国内经济"稳中求进、以稳 促转"的核心特征，投资者如何未雨绸缪，优化资产配置，成为当下关注焦点。近日，鹏华基金资产配 置与基金投资部发布《2026年一季度资产配置报告》，为投资者提供了穿越复杂宏观环境的系统性布局 思路，建议超配A股、港股与黄金，对国内债券与美股则持相对谨慎态度。 展望宏观经济，鹏华基金资产配置与基金投资部表示，国内方面，财政政策维持偏积极取向，专项债和 超长期国债更多投向基建补短板、科技创新和绿色转型，货币政策保持适度宽松但强调精准滴灌，消费 在就业企稳和居民资产负债表修复推动下温和回升，新质生产力、高端制造和出口结构升级成为增长的 重要边际贡献，经济增速中枢有望保持在潜在水平附近。海外方面，美国经济放缓但避免衰退，欧洲低 增长常态化，日本温和复苏，地缘政治与供应链重构为主要风险。 基于上述宏观研判，鹏华基金资产配置与基金投资部提出了具体的大类资产配置建议： 国内权益仍然超配。尽管经济压力有所加大，但流动性宽松和长期宏观叙事变化仍是主导市场的主要矛 盾，从周期变动、估值水平和增量资金的角度来看，预期A股仍有上涨行情，建议 ...

Asset Allocation Insights - Prioritize equity assets in asset allocation, with commodities showing long-term value and bonds requiring strict control of long-end risks[2] - A-shares are entering a "slow bull" phase supported by policy and debt-equity ratio advantages, while US stocks benefit from AI-driven efficiency gains[2] - Commodity prices are supported by AI-driven resource pricing, physical hoarding demand, and geopolitical "safety premiums"[2] Investment Strategies - Risk-seeking strategies should focus on "strong rate cuts + strong AI" combinations, emphasizing small and large-cap growth stocks and gold for high elastic returns[2] - Defensive strategies can adopt "strong rate cuts + weak AI" with long bonds, gold, and large-cap value stocks to secure stable returns and control drawdowns[2] - Low-volatility strategies may consider "weak rate cuts + weak AI" with cash and large-cap value stocks to lock in certain returns and avoid market volatility[2] Performance Metrics - Quadrant III (strong rate cuts + weak AI) shows the most stable performance with an annualized return of 16.67% and a Sharpe ratio of 2.48, with a maximum drawdown of -3.90%[11] - Quadrant I (strong rate cuts + strong AI) has a peak annual return of 40.15% in 2025, despite a -15% drawdown in 2023[11] - Quadrant II (weak rate cuts + strong AI) experienced a significant drawdown of -32.42% in 2023 but rebounded with a 29.35% return in 2025[11] Risk Considerations - Key risks include uncertainties in overseas monetary policy, geopolitical and trade disruptions, unexpected liquidity tightening, and potential tech valuation bubbles[54]

Group 1 - The core viewpoint of the article emphasizes the resilience of the global economy in 2025 despite challenges such as tariffs, inflation, and geopolitical conflicts, and questions whether this momentum can continue into 2026 [1] - The article highlights the collaboration of China's fiscal and monetary policies aimed at promoting domestic demand growth and sustaining recovery, while exploring which sectors may present new opportunities [1] - It discusses the anticipated impact of the Federal Reserve's interest rate cuts and the need for proactive strategies to manage risks while seizing opportunities [1] Group 2 - Key topics for discussion at the forum include the outlook for China's macro economy and policies, trends and opportunities in the offshore credit market under global changes, and capturing opportunities in the bond market amidst macroeconomic uncertainties [1] - The forum will also address new strategies for risk management in foreign exchange and gold investments, as well as trading opportunities in precious metals amidst long-term trends and short-term volatility [1] - Notable speakers include experts from various financial institutions, providing insights into macroeconomic conditions and asset allocation strategies [4][5]