Core Insights - The course titled "Securities Investment Research: Methodology and Practical Tools" was conducted by China Merchants Securities for students at Southern University of Science and Technology, marking the conclusion of their 2025 educational series [1][4] Group 1: Course Structure and Content - The course provided a comprehensive breakdown of the securities market structure, focusing on the multi-tiered capital market ecosystem composed of primary and secondary markets [3] - Key indices such as CSI, SSE, and SZSE were explained to help students understand market layers, establishing a clear theoretical framework [3] - Practical investment tools were introduced, particularly emphasizing ETF index investment as a means to capture structural market opportunities while managing investment risks [3] Group 2: Educational Collaboration and Impact - The collaboration between China Merchants Securities and Southern University of Science and Technology in 2025 included a diverse financial education content system, featuring courses on fintech, quantitative strategies, and investment research methods [4] - The initiative involved hands-on experiences, such as visits to exchanges and historical museums, promoting deep integration of industry and academia through a "classroom teaching + practical experience" model [4] - The educational series has effectively reached over a hundred students, delivering professional financial knowledge and fostering a solid foundation for talent in the financial industry [4]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - In 2025, the equity market showed an upward trend with significant fluctuations. The CSI All-Share Index recorded a 24.60% annual return, and the Shanghai Composite Index climbed to around 4000 points. The Evergreen Low-Volatility Strategy maintained low volatility and achieved nearly 15% return, while the Stock Fund Enhancement Strategy was limited by balanced fund selection but could still optimize the risk-return ratio. The Overseas Equity Allocation Strategy recorded a 13.98% return [3]. - The quantitative strategy allocation preference is Stock Fund Enhancement Strategy > Evergreen Low-Volatility Strategy > Overseas Equity Strategy. The report is optimistic about A-share investment opportunities, suggesting active short - term layout. The Evergreen Low-Volatility Strategy can be used as a base position, and the Overseas Equity Strategy still has some allocation value but with more risk points [4]. 3. Summary by Relevant Catalogs 3.1 Quantified Strategy Allocation Viewpoints - A-shares: The report is bullish on A-share investment opportunities. The Shanghai Composite Index has exceeded 4000 points, and the trading volume has increased in 2026. The market is expected to break through further in the spring offensive. The Stock Fund Enhancement Strategy is more attractive, and the Evergreen Low-Volatility Strategy can be used as a base position [4]. - Overseas market: After recovering from the tariff shock, the upward momentum of the overseas market has weakened and differences have increased. Although there is still some allocation value in the short term, there are many risk points, and the overall cost - effectiveness is slightly lower than that of A-share strategy combinations [4]. 3.2 Performance of Equity Fund Strategy Indexes - Evergreen Low-Volatility Fund Strategy Index: This week's return was -0.705% with an excess return of 0.283%. The one - month return was 0.717% with an excess return of -1.293% [5]. - Stock Fund Enhancement Fund Strategy Index: This week's return was -0.229% with an excess return of 0.759%. The one - month return was 2.294% with an excess return of 0.284% [5]. - Cash Enhancement Fund Strategy Index: This week's return was 0.019%, outperforming the CSI Money Fund Index with a cumulative excess return of 0.569% since the strategy's operation [5]. - Overseas Equity Allocation Fund Strategy Index: This week's return was -0.137% with an excess return of 0.186%. The one - month return was 1.834% with an excess return of -1.417% [5]. 3.3 Tool - based Fund Portfolio Performance Tracking - Evergreen Low-Volatility Fund Portfolio: It has maintained low volatility and small drawdowns, significantly outperforming the CSI Active Equity Fund Index. It has both defensive and offensive characteristics [13]. - Stock Fund Enhancement Fund Portfolio: Since the strategy has been running for a short time, its performance is similar to that of the CSI Active Equity Fund Index. It is expected to have stronger elasticity in an improved market environment [16]. - Cash Enhancement Fund Portfolio: After double screening, it has continuously outperformed the benchmark, with a cumulative excess return of over 0.41% since July 2023 [17]. - Overseas Equity Allocation Fund Portfolio: Since July 2023, in the context of the Fed's interest - rate cut cycle and the boost of AI technology, it has accumulated high - level excess returns, which can thicken the return of the equity investment portfolio [20]. 3.4 Tool - based Fund Portfolio Construction Ideas - Evergreen Low-Volatility Fund Portfolio: It aims to select funds with long - term stable returns in high - equity - position actively managed funds. By adding restrictions on fund valuation levels, it constructs a low - volatility active equity fund portfolio from the perspectives of net value performance and position characteristics [22][25]. - Stock Fund Enhancement Fund Portfolio: It aims to meet the needs of equity fund investors with different risk preferences. By analyzing the source of fund returns and constructing a portfolio based on the significant continuity of Alpha returns, it is expected to bring excess performance [23][26]. - Cash Enhancement Fund Portfolio: By constructing a money fund screening system, it helps investors select money funds with better returns, optimize the income of short - term idle funds, and reduce income volatility risks [23][27]. - Overseas Equity Allocation Fund Portfolio: Based on long - and short - term technical indicators and comprehensive index momentum and reversal effects, it selects QDII equity funds corresponding to overseas equity indexes to build a portfolio, meeting the needs of global allocation [24][28].

投资要点 回顾2025年，权益市场整体表现优秀，呈上行趋势，中证全指全年录得24.60%的收益，上证指数也攀升至4000点附近。但期间不乏大幅 波动的行情，年初开启春季行情前的大幅调整，4月份受到特朗普对等关税冲击的回落，再到经历一轮上涨后11月份的行情波动，这些时 点都影响着账户的波动表现，同时也较考验投资者的持有信心 。 常青低波策略2025年持续保持低波动的特征，策略波动表现与预期相符，在市场出现风险事件的时间点，均能够起到有效的降波作用。降 低波动的同时也不意味着放弃上行收益，常青低波依旧于2025年录得接近15%的收益。股基增强策略受制于均衡基金的选择，在进攻性上 有所劣势，但依旧可以作为有效的增加弹性的配置工具，结合本系列跟踪周报的配置观点，能够进一步优化风险收益比 。 分析师：李亭函 登记编号：S0890519080001 分析师：黄浩 登记编号：S0890524110001 海外市场同样也有相似的表现特征，整体上录得较高收益，期间同样经历风险事件带来的较大波动，2025年海外权益配置策略录得 13.98%的收益。 量化策略配置观点： 股基增强策略> 常青低波策略> 海外权益策略 A股方面，我们 ...

Group 1 - The core viewpoint of the article emphasizes a consensus on a "slow bull" market, with a focus on "uncrowded growth" opportunities in sectors like AI and high-end manufacturing [2][13] - The macro liquidity environment is expected to remain ample, supporting a favorable capital market for 2026, with a recovery in investor risk appetite [2][13] - There is a recognition of potential valuation bubbles in certain industries, prompting a strategy to identify quality companies that are not overvalued and have solid performance [2][13] Group 2 - The investment outlook for 2026 includes a focus on the AI industry chain, semiconductor domestic substitution, and the expansion of China's advantageous manufacturing overseas [2][13] - The report highlights the importance of structural growth deepening, with a significant emphasis on sectors that are expected to benefit from global technological innovation [2][13] - The article notes that while some industries show signs of valuation bubbles, there is a commitment to continuously track areas with positive marginal changes to ensure sustainable returns for investors [2][13]

【导读】券商资管2026年多资产展望：权益掘金牛市后半程，多元配置凸显价值 进入2026年，在年初投资布局关键期，券商资管聚焦权益、债市与FOF三大业务，为全年投资锚定清晰 方向。综合来看，受访机构认为权益市场仍处于"牛市后半程"，结构性机会丰富；债市预计维持宽幅震 荡；在波动与机遇并存的环境中，进行多资产、多策略配置仍是主流选择。 权益市场：锚定牛市后半程 对于2026年的A股市场，多家券商资管持积极看法，认为其仍处于"牛市后半程"，驱动因素包括流动性 充裕、盈利周期见底回升、政策持续支持以及居民资产配置转移等。 国金资管表示，当前流动性环境和政策监管环境持续完善，长期资金呈持续流入态势，科技持续突围与 经济结构性亮点有望为部分行业带来基本面景气向上的结构性机会。权益市场的投资机会或将更具广度 和深度。 财通资管指出，"春季躁动"行情可能会在岁末年初到来，且以TMT和中小市值风格为主。另外，从市净 率（PB）和净资产收益率（ROE）角度出发，当前电力设备、非银金融、有色金属、传媒性价比或占 优，PB和ROE双底的消费及顺周期行业等待布局。 对于债券市场，多家券商资管判断，收益率将维持宽幅震荡走势，下行与上行 ...

Core Viewpoint - The article emphasizes that in 2026, brokerage asset management will focus on equities, bonds, and FOF (Fund of Funds) strategies, indicating a clear investment direction for the year. The equity market is seen as being in the "second half of a bull market," with abundant structural opportunities, while the bond market is expected to maintain a wide range of fluctuations. Multi-asset and multi-strategy allocations remain the mainstream choice in a volatile environment [2]. Equity Market: Anchoring the Bull Market's Second Half - Multiple brokerage asset management firms hold a positive outlook for the A-share market in 2026, believing it remains in the "second half of a bull market." Key drivers include ample liquidity, a recovering profit cycle, ongoing policy support, and a shift in residents' asset allocation [4]. - Guojin Asset Management notes that the current liquidity and regulatory environment is improving, with long-term capital inflows expected. Structural opportunities are anticipated in certain industries due to technological breakthroughs and economic highlights [4]. - Caitong Asset Management suggests that a "spring rally" may occur at the end of the year, primarily driven by TMT (Technology, Media, and Telecommunications) and small-cap stocks. They highlight sectors like power equipment, non-bank financials, and media as having favorable price-to-book (PB) and return on equity (ROE) metrics [4]. - Guotai Haitong Asset Management believes the current A-share market began its rally on September 24, 2024, with a steady "slow bull" trend expected in 2026, supported by a favorable environment of RMB appreciation and low domestic interest rates [4]. - Guotai Haitong recommends focusing on "5+X" industries in the first half of 2026, including solar energy, brokerage firms, semiconductors, consumer electronics, and basic chemicals, with an additional focus on Hang Seng Technology [5]. - Huatai Securities Asset Management identifies four main investment lines: technology growth, upstream sectors benefiting from "anti-involution" policies, advanced manufacturing, and deeply undervalued consumer and non-bank financial sectors [5]. Bond Market: Wide Fluctuations as the Main Theme - Several brokerage asset management firms predict that bond yields will maintain a wide fluctuation trend in 2026, with limited space for both upward and downward movements. Focus should be on wave trading and structural opportunities, with credit bonds and convertible bonds each having their own value [6]. - Guojin Asset Management states that active fiscal policies may continue to exert pressure on bond yields, while basic economic pressures remain. The central bank's liquidity is expected to remain loose to support fiscal policy implementation [7]. - Caitong Asset Management emphasizes that weak economic recovery will support the bond market, with an overall expectation of fluctuating bond yields in 2026. They highlight the value of credit bonds amid a prolonged "asset shortage" [8]. FOF Market: Multi-Asset Strategies Present Allocation Opportunities - The market is expected to mature in 2025, with a significant reduction in the phenomenon of betting on single assets or strategies, highlighting the advantages of multi-asset allocation. In 2026, brokerage asset management firms are optimistic about multi-asset FOF strategies, anticipating that quantitative strategies and active funds will contribute to excess returns [9]. - Guojin Asset Management notes that the complementary nature of the credit cycles in China and the U.S. supports total demand, leading to a cautious optimism regarding multi-asset FOF returns in 2026 [10]. - Caitong Asset Management emphasizes that multi-asset allocation will have significant advantages in 2026, with expectations for a "slow bull" in equities and opportunities in commodities and global assets [10]. - Guotai Haitong Asset Management maintains a positive outlook on quantitative stock selection strategies, expecting a favorable environment for stock quantitative strategies due to ample liquidity in the equity market [11].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - Last week, all bond futures contracts closed down, with the 30 - year, 10 - year, 5 - year, and 2 - year main contracts falling by 0.36%, 0.11%, 0.07%, and 0.03% respectively. The December manufacturing PMI exceeded market expectations, causing bond futures to decline. For commodity factors, overall returns were still positive last week, but due to external market disturbances, the volatility of commodity factor returns has increased. It is recommended that investors focus on commodity factors with long - term expected return capabilities and adopt a balanced allocation approach to prevent risks [6][29]. 3. Summary by Related Catalogs 3.1 Treasury Bond Futures Market Review - Last week, all bond futures contracts closed down. The 30 - year main contract fell 0.36%, the 10 - year main contract fell 0.11%, the 5 - year main contract fell 0.07%, and the 2 - year main contract fell 0.03%. The basis of each variety was differentiated, and the basis of the CTD bonds of the 10 - year and 30 - year bonds on the 31st was lower than the historical average of the same maturity. The December manufacturing PMI exceeded market expectations, with both supply and demand expanding simultaneously and new kinetic energy showing strong performance, leading to a decline in bond futures [6]. - In 2025, for the 10 - year treasury bond, the Sharpe ratios of the basis factor, risk assets, and member positions were 1.68, 1.93, and 0.59 respectively; for the 5 - year treasury bond, the Sharpe ratios of high - frequency capital flow, intraday volume - price, risk assets, member positions, and basis factor were 2.51, 2.27, 1.71, 1.33, and 0.78 respectively; for the 2 - year treasury bond, the Sharpe ratios of high - frequency capital flow, basis factor, intraday volume - price, and member positions were 2.45, 1.82, 1.59, and 0.82 respectively [6][21][22]. 3.2 Commodity CTA Factor and Tracking Strategy Performance 3.2.1 Commodity Factor Performance - In the last week of 2025, domestic commodities fluctuated greatly, with a relatively balanced number of rising and falling varieties. Gold, lithium carbonate, polysilicon, and tin fell by more than 3%, while silver had large fluctuations but was almost flat for the week. Nickel, glass, and methanol rose by more than 3%. The overall return of commodity factors was still positive, with term structure, volume - price trend, and long - term spot value factors showing profitability. The return of the position - trading volume ranking factor, which reflects market trading sentiment, decreased significantly last week, and the return of the volatility factor also decreased slightly. Due to external market disturbances, the volatility of commodity factor returns has increased. It is recommended that investors focus on commodity factors with long - term expected return capabilities, avoid actively increasing trading cycles and predicting directions, and adopt a balanced allocation approach to prevent risks [29][31][32]. 3.2.2 Tracking Strategy Performance - **CWFT Strategy**: Annualized return of 9.2%, Sharpe ratio of 1.58, Calmar of 1.05, maximum drawdown of - 8.81%, recent weekly return of 0.75%, and year - to - date return of 4.52%. Last week, it held 24 varieties with a net position of 22.1%, total position return of - 0.2%, and a winning rate of 45.8%. This week, it holds 24 varieties with a net position of 20.8%, and one variety needs to be rolled over, with a total turnover capital ratio of 18.7% [30][37]. - **C_frontnext & Short Trend Strategy**: Annualized return of 11.3%, Sharpe ratio of 1.72, Calmar of 1.69, maximum drawdown of - 6.72%, recent weekly return of 0.08%, and year - to - date return of 3.94%. Last week, it held 24 varieties with a net position of - 8.2%, total position return of - 0.2%, and a winning rate of 58.3%. This week, it holds 24 varieties with a net position of 9.9%, and one variety needs to be rolled over, with a total turnover capital ratio of 64.8% [30][39]. - **Long CWFT & Short CWFT Strategy**: Annualized return of 12.1%, Sharpe ratio of 1.36, Calmar of 0.92, maximum drawdown of - 13.07%, recent weekly return of 1.94%, and year - to - date return of 0.73%. Last week, it held 24 varieties with a net position of 65.2%, total position return of 0.2%, and a winning rate of 50.0%. This week, it holds 24 varieties with a net position of 60.7%, and one variety needs to be rolled over, with a total turnover capital ratio of 25.4% [30][41]. - **CS XGBoost Strategy**: Annualized return of 6.0%, Sharpe ratio of 1.00, Calmar of 0.36, maximum drawdown of - 16.76%, recent weekly return of - 0.17%, and year - to - date return of - 9.21%. Last week, it held 24 varieties with a net position of 0.0%, total position return of - 0.1%, and a winning rate of 45.8%. This week, it holds 24 varieties with a net position of 0.0%, and one variety needs to be rolled over, with a total turnover capital ratio of 51.3% [30][43]. - **RuleBased TS Sharp - combine Strategy**: Annualized return of 11.9%, Sharpe ratio of 1.55, Calmar of 1.43, maximum drawdown of - 8.26%, recent weekly return of - 0.24%, and year - to - date return of 10.15%. Last week, it held 46 varieties with a net position of 5.0%, total position return of - 0.6%, and a winning rate of 37.0%. This week, it holds 46 varieties with a net position of 30.9%, and two varieties need to be rolled over, with a total turnover capital ratio of 50.6% [30][44]. - **RuleBased TS XGB - combine Strategy**: Annualized return of 11.9%, Sharpe ratio of 2.07, Calmar of 2.64, maximum drawdown of - 4.49%, recent weekly return of 0.04%, and year - to - date return of 8.27%. Last week, it held 46 varieties with a net position of - 4.6%, total position return of - 0.1%, and a winning rate of 39.1%. This week, it holds 46 varieties with a net position of - 10.9%, and two varieties need to be rolled over, with a total turnover capital ratio of 45.0% [30][46]. - **CS strategies, EW combine Strategy**: Annualized return of 12.6%, Sharpe ratio of 1.78, Calmar of 1.70, maximum drawdown of - 7.38%, recent weekly return of 0.88%, and year - to - date return of - 2.11% [30]. - Among the above six strategies, the Long CWFT & Short CWFT strategy performed best last week with a return of 1.94%, and the CWFT strategy performed best since 2025 with a return of 4.52%. The equal - weighted composite strategy of the above cross - sectional strategies (equal - weighted weekly returns) has an annualized return of 12.6%, a Sharpe ratio of 1.78, a Calmar of 1.70, a maximum drawdown of - 7.38%, a recent weekly return of 0.88%, and a year - to - date return of - 2.11% [51].

- The report discusses the impact of ETF scale disturbances on the A500 index, which has led to an early pricing of post-holiday positive expectations. This has limited the marginal tightening space for quantitative strategy risk exposure, with the recovery of micro-cap stocks expected to occur earlier than usual in January 2026[1][11] - The IM basis dimension is highlighted as a key factor, with the annualized IM basis fluctuating significantly between 18% and 5% by the end of December 2025, eventually converging to around 5%. This basis change is expected to catalyze the recovery of micro-cap stocks as hedging strategies rebuild positions after the holiday[2][12] - The report emphasizes the long-term bull market of micro-cap stocks in the A-share market, driven by two main factors: the relatively low delisting probability in the A-share market compared to the U.S. market, which increases shell value, and the higher proportion of individual investors in the A-share market, who prefer small-cap stocks, providing them with higher liquidity[3][13] - Historical data over the past decade shows that micro-cap stocks have achieved a cumulative return of 552%, significantly outperforming most other investment categories. The report notes that micro-cap stocks tend to perform well in the absence of a clear market mainline, benefiting from liquidity premiums during periods of market volatility[3][13] - The report predicts a post-holiday market rotation, with large-cap stocks leading initially, followed by small-cap stocks. The A500 index's valuation uplift is expected to create upward space for micro-cap stocks, with liquidity spillover effects likely to emerge in mid-to-late January 2026, driving a new round of micro-cap stock rallies[4][14]

Core Insights - The private equity industry is experiencing significant growth, with over 100 private equity firms surpassing 10 billion yuan in assets by October 2025, marking a return to the "double hundred era" [2] - By the end of November, over 600 firms among the 7,000 existing securities private equity firms achieved annual growth, with nearly 100 firms elevating their scale by two levels or more, indicating strong momentum in the industry [2] - The total management scale of domestic private equity funds exceeded 22 trillion yuan by the end of October, further rising to 22.09 trillion yuan by the end of November, reflecting a robust increase in both industry scale and product issuance [2] - The average return for 5,116 private equity products with performance data was notable, with quantitative long and subjective long strategies showing strong performance, achieving average returns of ***% and ***% respectively [2] Industry Trends - The private equity sector is characterized by a diverse range of products, with over 12,000 new products registered in 2025, indicating a growing variety and sustained high issuance enthusiasm [2] - The industry is at a critical juncture, facing opportunities and uncertainties, particularly regarding the continuation of the easing cycle in 2026 and the potential for quantitative strategies to maintain their success from 2025 [2] - A VIP roadshow event titled "Hearing Wealth" is set to commence on January 5, 2026, featuring leading private equity managers focusing on annual reviews and future outlooks, particularly in quantitative and subjective strategies [2]

Core Viewpoint - Hedge funds achieved their highest overall returns in at least five years in 2025, driven by significant gains in the U.S. stock market, particularly in the AI sector, and volatility in the bond and currency markets due to trade tensions [1][3]. Performance Highlights - Bridgewater's flagship fund, Pure Alpha II, recorded a historic return of 34%, marking a significant recovery from annual returns below 3% from 2012 to 2024 [1][2]. - The Melqart Opportunities Fund led the performance with a return of 45.1%, while other notable funds included Bridgewater's Asian Macro Fund at 37% and the All Weather Fund at 20% [4][6]. - D.E. Shaw's flagship multi-strategy fund, D.E. Shaw Composite, achieved an 18.5% return, and its Oculus fund reached 28.2% [2][10]. Strategy Analysis - The strong performance of hedge funds is attributed to the flexibility of event-driven strategies, which capitalize on corporate mergers and restructurings amid increasing trade policy uncertainties [7]. - Multi-strategy funds showed varied performance, with Dymon achieving 18.1% and ExodusPoint at 18.04%, while industry giant Millennium only managed a 10.5% return [12]. - In the long/short equity strategy category, Soroban Opportunities delivered a robust 25% return, significantly outperforming the market [13]. Market Context - The U.S. stock indices recorded double-digit annual gains for the third consecutive year, a trend not seen since 2019-2021, with 14 out of 25 major hedge funds outperforming the S&P 500's 16.7% increase [3][5]. - Bridgewater's assets under management reached approximately $92 billion, reflecting its strategic shift towards AI-driven investment decisions [6][11].