资产配置 | 定期报告 关注 A 股结构性行情，关注 CTA 及黄金/资 配策略指数相关衍生品 202602 银行客户资产配置月报 理财观察 1 月理财表现较好 ⚫ 1 月银行理财收益整体较好，商品及衍生品类/权益类理财产品领涨且涨幅较快，混 合类理财产品涨幅较快。规模方面，混合类产品存续规模月变化处于过去一年 93% 分位。商品及衍生品类/权益类理财产品存续规模略有回落。 资产观点 A 股关注风格切换，黄金短期谨慎中期看好 模型建议 加仓 A 股/美股 策略建议 以对冲配置思路应对美股/黄金"畏高" 报告发布日期 2026 年 02 月 05 日 | 郑月灵 | 执业证书编号：S0860525120003 | | --- | --- | | | zhengyueling@orientsec.com.cn | | | 021-63326320 | | 周仕盈 | 执业证书编号：S0860125060012 | | | zhoushiying@orientsec.com.cn | | | 021-63326320 | | 董翱翔 | 执业证书编号：S0860125030016 | | | dongaoxiang ...

Group 1: Asset Allocation Strategy - The asset allocation strategy indicates a differentiation in low volatility and medium volatility strategies, with a recommendation to reduce gold and increase fixed income in low volatility, while increasing equities and reducing fixed income in medium volatility [4][46]. - The dynamic all-weather strategy has achieved an annualized return of 6.7% with a Calmar ratio of 4.7, while the medium-low volatility strategy has an annualized return of 9% with a Calmar ratio of 3.7 [4][10]. - The active asset allocation model is based on "return prediction-risk penalty," enhancing returns while managing concentration risk [15][22]. Group 2: Industry Rotation Strategy - The industry rotation strategy recommends sectors such as non-ferrous metals, chemicals, agriculture, and telecommunications for December, based on the analysis of market conditions [4][29]. - The strategy has outperformed benchmarks with an annualized return of 36%, surpassing the average return of mixed equity funds by 28.3% [31][32]. - The underlying logic of the industry rotation strategy is based on the behavior of active market funds under different market conditions, categorized into four states: strong equity-weak bonds, weak equity-strong bonds, strong equity-strong bonds, and weak equity-weak bonds [29][34]. Group 3: ETF Strategy - The ETF strategy for December includes recommendations for ETFs in sectors such as non-ferrous metals, aquaculture, chemicals, and telecommunications, aligning with the industry rotation strategy [41][42]. - The ETF industry rotation strategy has shown an annualized return of 33%, outperforming benchmarks like the CSI 800 and mixed equity funds [36][37]. - The asset allocation strategy using ETFs suggests increasing bond ETFs in low volatility and equities in medium volatility, reflecting the overall asset allocation strategy [42][43].

Group 1 - The report identifies that the stock-bond seesaw effect is more common than both stocks and bonds being strong or weak simultaneously, with a higher probability of returning to the seesaw state after periods of dual strength or weakness [3][8]. - Growth expectations drive the stock-bond seesaw, while liquidity expectations can terminate it. Weak growth expectations lead to weak stocks and strong bonds, while strong growth expectations can result in strong stocks and weak bonds [3][8]. - A four-quadrant framework based on growth and interest rate expectations can be constructed to illustrate the relative relationship between stocks and bonds, showing how these expectations influence market dynamics [3][8]. Group 2 - The report suggests that when the stock-bond seesaw is present, there are strong price signals within equity sectors, allowing for effective industry strategies to be constructed [3][8]. - Current liquidity expectations are stable, indicating a foundation for a slow bull market, and the report continues to recommend a dynamic all-weather strategy under the seesaw market conditions [3][8]. - Historical data shows that fast bull markets are typically accompanied by rising equity volatility, while the current market exhibits stable equity volatility, supporting the slow bull market outlook [3][8]. Group 3 - The report outlines various scenarios following the stock-bond seesaw, including transitions from strong stocks and weak bonds to dual strength, and from weak stocks and strong bonds to dual weakness [21][37]. - The transition from strong stocks and weak bonds to weak stocks and strong bonds is often accompanied by a decline in growth expectations, while the reverse transition typically requires an increase in growth expectations [26][45]. - The report emphasizes that the core factors determining market direction after the seesaw are liquidity expectations and growth expectations, which can lead to different outcomes based on their movements [36][45].