Group 1: Domestic Macro Economic Analysis - The domestic macroeconomic outlook for 2026 is expected to start smoothly, with significant achievements in high-quality development. The economic growth target is anticipated to remain around 5% [3] - The fiscal policy is likely to maintain a proactive tone, with a projected government budget deficit rate of 4% and new special bond issuance of 4.4-5 trillion yuan [4] - Monetary policy is expected to continue a supportive stance, with potential for 1-2 reserve requirement ratio cuts and 1-2 interest rate cuts of 10-20 basis points [4] Group 2: International Macro Economic Analysis - The U.S. economy is projected to stabilize in 2026, supported by a resumption of fiscal expansion, with the deficit rate expected to return to 6.5% [5] - The Federal Reserve is anticipated to lower interest rates 2-3 times in 2026, despite inflation remaining sticky [5] Group 3: Market Outlook - The A-share market is viewed positively, with macro factors such as market valuation, fundamental recovery, and supportive policies likely to strengthen A-shares [6] - The growth style is currently overvalued, but opportunities remain in the technology manufacturing sector driven by the AI wave [6] - Focus on high-prosperity sectors such as the technology industry and materials with improved supply-demand dynamics is recommended [6] Group 4: Bond Market and Commodity Outlook - The bond market is expected to have limited overall odds, with yields likely to remain in a low volatility range [8] - Commodities like copper and gold are anticipated to rise, supported by resilient U.S. demand and domestic policy measures [8]

文/中金大类资产：李昭，杨晓卿 点击小程序查看报告原文 美联储12月可能再次降息，明年初或放慢降息节奏。 12月9日-10日将召开美联储FOMC会议，由于近期美国通胀与增长数据都偏低，我们预测美联储再次降息25bp。目前市场计入美联储12月降息概率为88% [1]，2026年降息两次（图表1）。 图表1：目前市场计入美联储12月降息概率为88% | | | | | | | CME FEDWATCH TOOL - CONDITIONAL MEETING PROBABILITIES | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | | MEETING DATE 150-175 175-200 200-225 225-250 250-275 275-300 300-325 325-350 350-375 375-400 400-425 | | | | | | | | 2025/12/10 | | | | | 0.0% | 0.0% | 0.0% | 0.0% | 87.6% ...

Core Viewpoint - The report from Guotai Junan Securities indicates that the external geopolitical situation has become complex, leading to a temporary pullback in the A-share market. It suggests that future fund allocations should maintain a balanced style while slightly favoring growth, with a focus on technology sector funds and consideration of cyclical and financial assets [1][2]. Equity Mixed Funds - In November, the manufacturing PMI rose to 49.2%, an increase of 0.2 percentage points from the previous month, supported by improved foreign trade conditions due to recent US-China economic negotiations [2]. - The Chinese stock market experienced a rapid decline in the penultimate week of November, followed by a recovery in the last week, indicating potential for stabilization and upward movement as a good opportunity for increasing holdings [2]. - The report emphasizes a focus on technology growth and low-position investment opportunities in large financial and consumer sectors, suggesting a structural investment opportunity in both value and growth styles for 2024 [2]. Bond Funds - Following a significant drop, the bond market may enter a phase of corrective rebound, although the extent of recovery may not exceed that of October. The macro environment provides support for bond pricing, allowing for participation in the rebound of certain underpriced bonds [3]. - The report recommends maintaining a "quick in and out" strategy to capitalize on structural opportunities, with a focus on flexible duration interest rate bonds and high liquidity credit bonds [3]. QDII and Commodity Funds - The report highlights that global sovereign credit differentiation and the weakening of the US dollar are prompting central banks to diversify reserves, enhancing the position of gold relative to the dollar and US Treasuries. It suggests a suitable allocation to gold ETFs for long-term and hedging investments [4]. - With the anticipated expansion of capital expenditure in the AI industry and technology companies, the report expects upward revisions in earnings forecasts for US stocks by 2026, recommending an overweight position while being cautious of short-term volatility risks [4]. Fund Recommendations - Recommended equity mixed funds include: Southern Quality Preferred, E Fund Environmental Protection Theme, Boda Huatai Preferred, GF Multi-Factor, Guotai Consumption Preferred, Huatai Baoxing Growth Preferred, and others [5]. - Recommended open-end bond funds include: Bank of China Pure Bond, Fortune Tianli Growth Bond, and China Europe Prosperity [6]. - Recommended QDII and commodity funds include: E Fund Gold ETF, Huaan Yifu Gold ETF, GF Nasdaq 100 ETF, and Invesco Great Wall Nasdaq Technology ETF [6].

Core Viewpoint - The global market in 2026 is entering a critical chaotic phase, with increased correlation and sensitivity of asset prices, necessitating a shift from diversifying assets to diversifying paths in investment strategies [1][2][3] Economic Growth - The IMF projects global economic growth to slow to 3.1% in 2026, down 2 percentage points from 2024, while developed economies are expected to grow at 1.6% [2] - Emerging markets show significant divergence, with India and some Latin American countries maintaining stability, while most economies are more sensitive to external demand changes [2] Policy Environment - Global interest rates are expected to remain relatively high in 2025-2026, with the US policy rate projected to fall to 3.0-3.25% and the Eurozone around 2.15% [2] - The interaction between fiscal and monetary policies is becoming stronger due to high debt levels and interest rates, leading to quicker market reactions to policy signals [2] Market Structure - The applicability of traditional linear assumptions is declining, with inflation paths becoming less smooth and economic cycles no longer synchronized [2][3] - There is an increasing tendency for risk and non-risk assets to move in sync, indicating a rise in correlation among assets during this critical phase [2][3] Investment Strategy - The shift from asset diversification to path diversification is becoming essential, as traditional methods of risk mitigation through asset quantity are facing challenges [3][4] - Path diversification focuses on positioning across different risk factors, policy changes, and market narratives to maintain stability across various market scenarios [4] Asset Performance - The economic outlook for 2026 suggests a scenario of "low inflation, weak employment, and slowing but resilient growth," leading to clearer structural differentiation among asset classes [4][5] - US long-term yields are expected to fluctuate within the range of 3.9%-4.2%, while equity structures are showing increased differentiation, particularly in response to policy signals [4][5] Currency and Commodity Outlook - Gold is expected to remain strong due to policy uncertainty and central bank reserve demand, while the US dollar is likely to weaken, with the index projected to range between 95-100 [5] - Non-US currencies are anticipated to perform relatively better, with the euro benefiting from a weaker dollar and the Chinese yuan showing potential for moderate strengthening due to stable policies and domestic demand recovery [5]

[Table_Message]2025-11-30 金融工程周报 大类资产与基金周报（20251124-20251128）—— 权益与黄金回升，权益基金涨幅达 3.01% [Table_Author] 证券分析师：刘晓锋 电话：13401163428 E-MAIL：liuxf@tpyzq.com 执业资格证书编码：S1190522090001 证券分析师：孙弋轩 电话：18910596766 E-MAIL：sunyixuan@tpyzq.com 执业资格证书编码：S1190525080001 内容摘要 太 平 洋 证 券 股 份 有 限 公 司 证 券 研 究 报 告 请务必阅读正文之后的免责条款部分 守正 出奇 宁静 致远 [Table_Title] [Table_Summary] . 金 融 工 程 周 报 ◼ 大类资产市场概况：1）权益：本周 A 股市场中上证指数收盘 3888.60，涨跌幅 1.40%， 深证成指、中小板指数、创业板指、上证 50、沪深 300、中证 500、中证 1000、中证 2000、 北证 50 涨跌幅分别为 3.56%、3.74%、4.54%、0.47%、1.64%、3.14 ...

中银量化大类资产跟踪 A 股市场缩量反弹，贵金属涨幅居前 金融工程| 证券研究报告 —周报 2025 年 11 月 30 日 股票市场概览 本周 A 股市场整体上涨，港股市场整体上涨，美股市场普遍上涨，其 他海外权益市场普遍上涨。 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。 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 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。 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 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号：S1300522080002 联系人：宋坤笛 (8610) 83949524 kundi.s ...

近期，招银国际发布《中美宏观经济与大类资产配置》报告，深入剖析了2025年中美两国的经济走势、政策方向及大类资产配置建议。 在美国方面，经济呈现短期"滞胀"态势。 2025年GDP增速预计将从2024年的2.8%放缓至1.7%，通胀压力短期内可能反弹，PCE通胀率预计在三季度升至2.8%、四季度达2.9%。 房地产市场延续滞涨格局，高利率环境下购房能力与销量均处于历史低位，大量房主因低利率房贷"锁定"而不愿换房，导致库存紧张。 与此同时，中低收入家庭财务压力加大，消费贷款拖欠率升至历史高位。 企业盈利增速也出现下调，尤其是对贸易战和经济周期敏感的工业、能源、原材料等行业。 在此背景下，美联储预计将在2025年9月至12月降息两次，2026年再降息两次，最终政策利率或降至3.25%-3.5%区间。 然而，由于白宫可能加强对美联储的影响，市场通胀预期不稳，叠加政府债务攀升，国债收益率或仍将居高不下。 美股估值面临压力，经济痛苦指数（通胀+失业）可能反弹，压制股市表现。 短期建议关注医疗、必选消费、通讯服务、材料和工业等板块。 整体来看，美股处于牛市后期，适合长期定投。 大类资产配置上，建议超配大宗商品，标配股票与 ...

Quantitative Models and Construction Methods 1. Model Name: Black-Litterman (BL) Model - **Model Construction Idea**: The BL model is an improvement over the traditional mean-variance optimization (MVO) model. It integrates subjective views with quantitative models using Bayesian theory to optimize asset allocation weights. This approach addresses the sensitivity of MVO to expected returns and provides a more robust asset allocation solution[12][13]. - **Model Construction Process**: - The BL model combines subjective views of investors with market equilibrium returns to derive optimized portfolio weights. - The model uses the following formula to calculate the posterior expected returns: $ \mu = [( \tau \Sigma )^{-1} + P^T \Omega^{-1} P]^{-1} [( \tau \Sigma )^{-1} \Pi + P^T \Omega^{-1} Q] $ - $\mu$: Posterior expected returns - $\tau$: Scalar representing the uncertainty in the prior estimate of returns - $\Sigma$: Covariance matrix of asset returns - $\Pi$: Equilibrium returns derived from market capitalization weights - $P$: Matrix representing the views on assets - $\Omega$: Covariance matrix of the views - $Q$: Vector of expected returns based on the views - The optimized portfolio weights are then derived using the posterior expected returns and the covariance matrix[12][13]. - **Model Evaluation**: The BL model effectively addresses the sensitivity of MVO to expected returns and provides a more robust and efficient asset allocation framework. It also allows for the incorporation of subjective views, making it more flexible and practical for real-world applications[12]. 2. Model Name: Risk Parity Model - **Model Construction Idea**: The risk parity model aims to equalize the risk contribution of each asset in a portfolio. It is an improvement over the traditional mean-variance optimization model and focuses on diversifying risk rather than capital allocation[17][18]. - **Model Construction Process**: - Step 1: Select appropriate underlying assets. - Step 2: Calculate the risk contribution of each asset to the portfolio using the formula: $ RC_i = w_i \cdot \sigma_i \cdot \rho_{i,portfolio} $ - $RC_i$: Risk contribution of asset $i$ - $w_i$: Weight of asset $i$ - $\sigma_i$: Volatility of asset $i$ - $\rho_{i,portfolio}$: Correlation of asset $i$ with the portfolio - Step 3: Solve the optimization problem to minimize the deviation between actual and target risk contributions, subject to the constraint that the sum of weights equals 1[18][19]. - **Model Evaluation**: The risk parity model provides a balanced risk allocation across assets, making it suitable for achieving stable returns across different economic cycles. It is particularly effective in reducing portfolio volatility and drawdowns[18]. 3. Model Name: Macro Factor-Based Asset Allocation Model - **Model Construction Idea**: This model constructs a macro factor system covering six key risks: growth, inflation, interest rates, credit, exchange rates, and liquidity. It bridges macroeconomic research with asset allocation by translating macroeconomic views into actionable portfolio strategies[21][22]. - **Model Construction Process**: - Step 1: Calculate the factor exposure levels of assets at the end of each month. - Step 2: Use a risk parity portfolio as the benchmark and calculate the benchmark factor exposure. - Step 3: Based on macroeconomic forecasts for the next month, assign subjective factor deviation values. For example, if inflation is expected to rise, assign a positive deviation to the inflation factor. - Step 4: Combine the benchmark factor exposure with the subjective factor deviations to derive the target factor exposure for the portfolio. - Step 5: Solve the optimization problem to determine the asset allocation weights for the next month[22][25]. - **Model Evaluation**: This model effectively incorporates macroeconomic views into asset allocation, providing a systematic framework for translating macroeconomic insights into portfolio decisions. It is particularly useful for capturing macroeconomic trends and their impact on asset performance[21]. --- Model Backtesting Results 1. Black-Litterman (BL) Model - **Domestic Asset BL Model 1**: Weekly return: -0.32%, November return: 0.05%, 2025 YTD return: 4.0%, annualized volatility: 2.18%, maximum drawdown: 1.31%[14][16][17] - **Domestic Asset BL Model 2**: Weekly return: -0.15%, November return: 0.08%, 2025 YTD return: 3.77%, annualized volatility: 1.95%, maximum drawdown: 1.06%[14][16][17] - **Global Asset BL Model 1**: Weekly return: -0.17%, November return: -0.26%, 2025 YTD return: 0.78%, annualized volatility: 2.0%, maximum drawdown: 1.64%[14][16][17] - **Global Asset BL Model 2**: Weekly return: 0.01%, November return: 0.08%, 2025 YTD return: 2.7%, annualized volatility: 1.59%, maximum drawdown: 1.28%[14][16][17] 2. Risk Parity Model - **Domestic Asset Risk Parity Model**: Weekly return: -0.27%, November return: -0.09%, 2025 YTD return: 3.6%, annualized volatility: 1.32%, maximum drawdown: 0.76%[20][28] - **Global Asset Risk Parity Model**: Weekly return: -0.2%, November return: -0.07%, 2025 YTD return: 3.04%, annualized volatility: 1.42%, maximum drawdown: 1.2%[20][28] 3. Macro Factor-Based Asset Allocation Model - **Macro Factor-Based Asset Allocation Model**: Weekly return: -0.31%, November return: -0.01%, 2025 YTD return: 4.43%, annualized volatility: 1.55%, maximum drawdown: 0.64%[27][28]

截至2025年11月28日 13:22，中证可转债及可交换债券指数(931078)上涨0.42%。可转债ETF(511380)上涨0.49%，最新价报13.36元。拉长时间看，截至2025年 11月27日，可转债ETF近半年累计上涨11.37%。 华泰固收发布2026年REITs市场展望称，明年REITs市场趋势性机会有限，基本面分化或将更明显，投资策略应回归价值逻辑，建议精选基本面稳健、估值 合理的优质品种。低利率环境下，REITs作为多元化配置的重要工具，其在大类资产配置中的价值将进一步凸显。一级市场方面，发行规模预计将稳步增 长，扩募持续推进，投资人打新将回归理性，一级报价或应给二级市场留出缓冲空间。 展望后市，正股层面，近期在国内基本面仍弱修复、区域政治扰动、AI板块波动加大等因素影响下，短期仍需静待权益市场企稳，中长期慢牛行情仍大概 率延续。估值层面，新券发行节奏偏缓，供需矛盾仍存，上周可转债ETF份额逆势增加，止盈情绪或有所缓解，预计转债估值仍在高位震荡。 规模方面，可转债ETF最新规模达568.00亿元。（数据来源：Wind） 资金流入方面，可转债ETF最新资金净流出534.72万元。拉长时间看 ...

Group 1 - The theme of the CITIC Futures 2026 Annual Strategy Conference is "Sailing Forward Amidst Waves," focusing on global economic changes, macro policy orientation, and asset allocation [1] - CITIC Futures Chairman Dou Changhong highlighted the dual challenges of restructuring global order and trade rules while also embracing a new wave of technological revolution and green transformation [1] - The conference emphasized the importance of seizing historical opportunities during the transitional phase of the economy, particularly as China enters the 14th Five-Year Plan [1] Group 2 - CITIC Securities' Chief Macro Analyst Cui Rong and his team predict a temporary period of clarity in the global macro environment for 2026, with reduced uncertainties in geopolitics, fiscal, and monetary policies [2] - They expect a moderate acceleration in economic growth in the US, Europe, and Japan, alongside a return of inflation concerns to a "comfortable zone" [2] - The anticipated global interest rate cuts in 2026 are expected to be less pronounced than in 2025, with a stronger US dollar in the first half of the year, leading to lower liquidity in global financial markets [2] Group 3 - CITIC Futures Research Institute Deputy Director Zeng Ning maintains an optimistic macro outlook for 2026, with a continued easing of global liquidity driven by the Federal Reserve's rate-cutting cycle [2] - The asset allocation strategy for 2026 suggests a balanced approach, with an increased weight on commodities while being mindful of internal differentiation [2] - Precious metals are expected to remain a strong hedge against sovereign credit currency depreciation, while supply-constrained and demand-growing non-ferrous metals are also favored [3] Group 4 - The outlook for black construction materials indicates a stable demand-supply dynamic, with potential for long positions at relative valuation bottoms once global recovery becomes clearer [3] - Oil is projected to face significant inventory accumulation in 2026, with expectations of downward pressure on price levels, suggesting a cautious approach to long positions until supply dynamics stabilize [3]