近日，申万菱信旗下两只发起式基金一同披露基金合同终止公告，再度引发业内对发起式基金"三年大考"的关注。这两只基金——申 万菱信碳中和智选混合发起式与申万菱信养老目标日期2040三年持有期混合发起式（FOF）——均成立于2022年8月2日，恰在满三年当 日触发合同终止条款，因资产净值分别仅为833万元和2526万元，远低于2亿元的存续红线。 清盘背后折射出市场环境与产品策略的深层矛盾。2022年成立时，碳中和概念正值政策红利期，养老目标基金也因个人养老金制度落 地备受关注。但此后新能源板块经历深度调整，申万菱信碳中和智选持仓的电力设备、公用事业等行业指数三年累计下跌超30%，导致 基金净值长期低于面值。养老目标基金则受权益市场波动影响，尽管采用FOF形式分散风险，仍难以抵消股市下行压力，其持仓的偏股 型基金回撤明显。 值得注意的是，此次清盘并非孤立事件。申万菱信今年已有6只发起式基金退场，包括双禧混合、鑫享稳健混合等产品，清盘原因均 为"三年后规模不足2亿元"。目前，申万菱信旗下16只发起式基金中12只产品规模合并值低于2亿元，其中申万菱信绿色纯债债券型发 起式即将于8月30日迎来"大考"。这种集中清盘现象暴露 ...

Quantitative Models and Construction Methods Model Name: 景顺长城保守养老目标一年持有 A - **Model Construction Idea**: The fund aims to achieve long-term stable growth of pension assets through diversified asset allocation and fund selection, focusing on risk control and volatility management[32][34] - **Model Construction Process**: - **Strategic and Tactical Asset Allocation**: The fund uses a two-layer asset allocation model to control portfolio risk and strive to exceed benchmark returns. Strategic allocation is based on risk budget, while tactical allocation dynamically adjusts asset proportions based on macroeconomic, technical, and market sentiment factors[35] - **Quantitative and Qualitative Fund Selection**: The fund combines quantitative and qualitative methods to select outstanding fund managers and fund varieties within each asset class. This involves continuous tracking and evaluation to form a fund pool and construct a fund-of-funds portfolio[36][38] - **Risk Control Strategy**: Daily tracking of portfolio performance, regular position analysis, and stress testing. Adjustments are made when there are deviations in sub-fund styles, manager changes, or better alternatives[39] - **Bond, Stock, and Hong Kong Stock Connect Investment Strategy**: For bond investments, the fund manager determines duration and asset allocation based on macroeconomic and interest rate forecasts. For stocks and Hong Kong Stock Connect stocks, the focus is on fundamental research and valuation assessment[39] - **Model Evaluation**: The fund has demonstrated effective risk control and stable net value, with a maximum drawdown of less than 1% during periods of market volatility[40][41] Model Backtest Results - **景顺长城保守养老目标一年持有 A**: - **Annualized Return**: 5.13%[41] - **Maximum Drawdown**: 0.88%[41] - **Net Value Volatility**: 1.70%[43] - **Sharpe Ratio**: 2.94[41] - **Calmar Ratio**: 5.81[41] - **Probability of Positive Return for 3-Month Holding Period**: 100%[44] - **Minimum Return for 3-Month Holding Period**: 0.43%[44] - **Maximum Return for 3-Month Holding Period**: 2.58%[44] - **Longest Duration Without New High**: 41 days[44] Quantitative Factors and Construction Methods Factor Name: 宏观经济指标 - **Factor Construction Idea**: Reflects the performance of macroeconomic factors such as monetary policy, fiscal policy, and industrial production[38] - **Factor Construction Process**: Selection of relevant indicators to form a comprehensive scoring model based on factor signals, which ranks assets and dynamically adjusts asset allocation proportions[35][38] Factor Name: 技术指标 - **Factor Construction Idea**: Reflects market factors such as capital flows, asset price volatility, and price trends[38] - **Factor Construction Process**: Similar to macroeconomic indicators, relevant technical indicators are selected to form a comprehensive scoring model based on factor signals[35][38] Factor Name: 市场情绪指标 - **Factor Construction Idea**: Reflects market sentiment through trading data and implied volatility[38] - **Factor Construction Process**: Selection of relevant sentiment indicators to form a comprehensive scoring model based on factor signals[35][38] Factor Backtest Results - **景顺长城保守养老目标一年持有 A**: - **Annualized Return**: 5.13%[41] - **Maximum Drawdown**: 0.88%[41] - **Net Value Volatility**: 1.70%[43] - **Sharpe Ratio**: 2.94[41] - **Calmar Ratio**: 5.81[41] - **Probability of Positive Return for 3-Month Holding Period**: 100%[44] - **Minimum Return for 3-Month Holding Period**: 0.43%[44] - **Maximum Return for 3-Month Holding Period**: 2.58%[44] - **Longest Duration Without New High**: 41 days[44]

Group 1 - The fund is a mixed-type fund of funds (FOF) with a target retirement date of 2045, aiming to gradually reduce equity asset allocation as the target date approaches while increasing non-equity assets [1][2] - The fund's investment strategy includes various asset allocation strategies, equity fund selection, bond fund selection, and risk control strategies to achieve long-term reasonable returns for investors [1][2] - The fund's performance benchmark is a combination of the CSI 300 Index and the China Bond Composite Index, with specific ratios changing over time as the target date approaches [1][2] Group 2 - As of the end of the reporting period, the fund's net asset value per share was 0.9894 yuan, with a net value growth rate of 1.42% during the reporting period, outperforming the benchmark's return of 1.26% [6][7] - The fund maintained a relatively stable allocation of equity assets, with an increase in dividend assets and QDII fund allocations, while controlling duration, credit, and liquidity risks in fixed-income investments [6][7] - The fund manager has a strong background, with the current fund manager having 14.5 years of experience in the industry [4][5] Group 3 - The total number of fund shares at the end of the reporting period was 10,197,708.42, with minimal changes in subscription and redemption during the period [9][10] - The fund has not held any bonds or asset-backed securities during the reporting period, focusing instead on equity investments [7][8] - The fund management strictly adheres to regulations and internal fair trading management systems, ensuring no unfair trading practices were detected during the reporting period [5][6]

Group 1 - 华夏均衡养老目标三年持有混合发起式（FOF） fund will enter liquidation on May 27, 2025, due to its net asset value falling below 200 million yuan as of May 26, 2025 [2][4] - The fund was established on May 24, 2022, with an initial size of approximately 13.39 million yuan, and has seen a decline of over 6% since inception, with a net value of 0.9341 yuan as of May 23, 2025 [4] - This marks the second pension target fund to be liquidated in May, following the liquidation of Guotou Ruijin's five-year holding period fund due to insufficient scale [4] Group 2 - Two new personal pension financial products have been added, bringing the total to 35, as reported by China Wealth Management Network [7] - The new products are issued by Bank of China Wealth Management and are both daily open fixed-income products [7] - Since the launch of the first batch of personal pension financial products in February 2023, a total of 33 products have been successfully issued by six wealth management companies [7] Group 3 - Recent changes in fund management include the appointment of Liu Shuxia as a co-manager for two funds, alongside Wang Ling, who is leaving her position for other work commitments [5][6] - Wang Ling's departure is effective May 24, 2025, but she will continue to serve on the FOF investment decision committee [6]