华福证券 2025 年 10 月 09 日 金 融 工 程 10 月行业配置重点推荐电新、有色金属、通信行 业——行业配置策略月度报告(2025/10) 投资要点： 动态平衡策略 金 融 工 程 定 期 报 告 我们从平衡的角度提出了兼顾胜率和赔率的动态平衡策略。自 2015 年初至 2025 年 9 月 30 日策略年化绝对收益 18.00%，年化相对收 益 12.08 %，信息比率为 1.77，相对最大回撤为 10.18%。模型在 2025 年 10 月份推荐行业为计算机、电力设备及新能源、有色金属、通信、 农林牧渔、钢铁。9 月动态平衡策略绝对收益 5.68%，跑赢基准，超额 收益为 4.64%。2025 年以来至 9 月 30 日，动态平衡策略绝对收益 23.80%，相对偏股混合型基金指数超额收益-11.56%，在主动权益基金 中排名 67.40%。 宏观驱动策略 自2016年初至2025年9月30日，综合模型超额年化收益率4.88%， 超额波动率 7.16%，信息比率 0.68，最大回撤 9.51%，IC 均值 4.54%， ICIR16.73%，年化换手 3.14 倍。模型在 2025 年 10 ...

Core Viewpoint - Asset allocation is considered the only "free lunch" in investing, emphasizing the importance of effective diversification into negatively or lowly correlated assets while seeking higher certainty [1] Group 1: Investment Performance and Strategies - The performance of the 招银理财 products, such as the 嘉裕系列 and 智远系列, shows significant returns, with 嘉裕日开180天 achieving an 8.8% cumulative increase and an annualized return of 3.4% since its inception [2][3] - The investment team proactively adjusted strategies in response to market downturns, such as increasing gold allocations and reducing exposure to volatile equities, which helped recover losses quickly [4] - 招银理财 employs a multi-asset, multi-strategy approach, covering various asset classes including A-shares, Hong Kong stocks, US stocks, domestic bonds, US Treasuries, gold, futures, and options [4] Group 2: Team Structure and Operations - The 固收团队 (fixed income team) has undergone structural adjustments, elevating departments to enhance collaboration and efficiency, managing approximately 600 billion in fixed income products [8] - The investment management process is supported by a proprietary multi-asset management system that facilitates real-time monitoring and compliance, enhancing operational efficiency [10] - The team emphasizes collaboration over individual star managers, with a focus on collective decision-making and shared research among team members [14][15] Group 3: Risk Management and Return Control - 招银理财's products are designed with an absolute return focus, prioritizing risk management and minimizing drawdowns, with specific strategies in place to control volatility and ensure stable returns [12][24] - The 嘉裕系列 employs a down-side volatility control model, which mandates forced reductions in positions when drawdowns exceed predetermined thresholds [24][25] - The investment strategy includes a mix of defensive and offensive tactics, with a focus on maintaining liquidity and adjusting positions based on market conditions [30][41] Group 4: Market Outlook and Future Strategies - The 固收团队 anticipates opportunities in both stock and bond markets amid ongoing geopolitical uncertainties, suggesting a balanced approach to investment strategies [53] - The focus will be on structural alpha extraction in equities while maintaining a stable yield strategy in bonds, adapting to market fluctuations [53]

Group 1 - The report focuses on the ICBC Credit Suisse Active Quantitative Investment Team, highlighting their strong performance and innovative strategies in the current market environment [2][12][13] - The team operates under a "multi-perspective, multi-asset, multi-factor, multi-strategy" approach, led by experienced quant expert Jiao Wenlong, which provides them with a significant competitive advantage [2][12][13] - The team has a well-structured organization with diverse backgrounds, allowing for effective collaboration across various asset classes and investment strategies [3][15][24] Group 2 - The team has developed the ARC Investment Navigation System, which emphasizes active management, mean reversion, and certainty in investment decisions, enhancing their ability to navigate macroeconomic cycles [5][24] - The product line is diverse, primarily focusing on fundamental quantitative and index-enhanced strategies, which together account for over 80% of their total assets under management [35][36] - The team has achieved notable performance metrics, with specific products like ICBC New Value and ICBC New Opportunities showing strong returns compared to their benchmarks [4][20][36] Group 3 - The quantitative research framework is comprehensive, utilizing a combination of traditional multi-factor models and advanced algorithms to enhance stock selection capabilities [25][26][30] - The integration of subjective and quantitative analysis allows the team to leverage deep industry insights while maintaining a robust quantitative approach [30][31] - The team has established a systematic platform for research and investment, facilitating efficient collaboration and strategy implementation across the organization [32][33]

Group 1 - The asset management market is entering a new era characterized by low interest rates and high volatility, necessitating a reliance on technological management for investments and products [1][2] - The current environment shows a significant decline in high-yield assets as many have matured, leading to a scarcity of investment managers capable of meeting investors' demand for flexible returns [2][4] - The market is experiencing a shift where traditional fixed-income assets are under pressure, and the focus is now on generating excess returns beyond fixed income [4][5] Group 2 - The main challenges in the asset management industry include product classification and customer segmentation, with a need to provide suitable products for different client needs [5][6] - The investment strategy involves a diversified approach with three core teams: fixed income, innovation (REITs), and multi-strategy, focusing on various asset classes [6][9] - The company aims to differentiate itself from banks and public funds by seeking absolute returns rather than relative performance, utilizing derivatives and other strategies [7][10] Group 3 - The company is focusing on macro allocation and aims to become a specialized asset manager in this field, seeking excess returns through strategic asset allocation [10][12] - Current investment opportunities include precious metals like gold, agricultural products, and certain overproduced commodities, reflecting a cautious yet opportunistic approach [13][14] - The strategy emphasizes finding arbitrage opportunities across different asset classes, with a focus on macroeconomic conditions and market volatility [15]

Group 1 - The trade war has significant impacts, but there is optimism for the future, especially regarding supply chain adjustments and the internationalization of the RMB [1] - Investment focus is shifting towards self-controlled technology sectors and defensive sectors that promote domestic demand and consumption in response to global tariff shocks [1][16] - The multi-strategy approach in investment shows advantages over single strategies, particularly in risk control during extreme market conditions [1] Group 2 - The global political and economic landscape is rapidly evolving, presenting unprecedented opportunities and challenges for capital markets [2] - The total market size of ETFs has exceeded 4 trillion yuan as of April 20, indicating a strong trend towards these investment vehicles [2] - The seminar aimed to discuss asset allocation strategies in the context of global order restructuring and to explore how to leverage policy benefits [2] Group 3 - The semiconductor industry in China is expected to accelerate its self-sufficiency due to the lack of exemptions for U.S. semiconductor products in counter-tariff measures [1] - The sectors of semiconductor equipment, materials, and high-end chip design are anticipated to enter a golden development period [1] Group 4 - The current market environment presents risks that may not be fully recognized, and there is a need for investors to explore these risks while identifying opportunities [3] - The seminar gathered over 50 representatives from various sectors to discuss risk management and portfolio construction in the current market [3]