为了帮大家看清2026年一季度大类资产轮动与风向变化、热点行业的前瞻解读，我们一季度预计邀请多位——百亿私募敦和资管首席经济学家徐 小庆、广发证券首席策略分析师刘晨明，知名经济学家《见证逆潮》作者付鹏，原高盛大中华区宏观交易主管袁骏，GSB奖台基金创始人，原德 意志银行董事总经理郭胜北，东吴证券研究所计算机首席分析师王紫敬，承誉资本股权业务主管、中国台湾资深半导体产业人士骆思远等嘉宾， 来分享他们对资产风向与轮动，地缘局势跟踪与分析、行业热点前瞻与解读的最新洞察。 股市方面，A股18连阳行情后有所回撤，成交量创下历史新高，逼近4万亿大关，科技与顺周期板块成资金主线，而美股则高位回调，特朗 普宣布提名沃什出任美联储主席，引爆市场鹰派预期，市场关注美联储政策举措转向。春节假期期间，美国最高法院裁决 IEEPA 关税非 法，特朗普随即用新的行政令，对来自所有国家和地区的商品加征15%的进口关税，并加速推动301和232审查，全球关税的不确定性冲击再 次来袭。 债市方面，中债呈牛平特征收益率曲线下移，而美债则熊陡走弱，收益率有所上行，市场对2026美联储降息节奏预期趋谨慎。 大宗商品市场更是冰火两重天，贵金属、有色金 ...

Core Viewpoint - The article discusses the investment potential of certain stocks, particularly focusing on banks and utility companies, suggesting that holding these stocks can provide stable returns over time, especially in a bullish market or during a style rotation [1][16]. Group 1: Investment Opportunities - Companies like China Merchants Bank, Industrial Bank, Yangtze Power, and China Mobile are highlighted as potential investments, with the worst-case scenario being the collection of dividends over time [1]. - The current price-to-book (PB) ratio of China Merchants Bank is approximately 0.89, which is historically low, indicating that the opportunity outweighs the risk [3]. - The article suggests that convertible bonds are currently overpriced, and many investors may have forgotten the risks associated with them, as seen in previous years [3][4]. Group 2: Comparisons Between Investment Types - The article contrasts convertible bonds with the mentioned stocks, arguing that the latter lacks investor-friendly features such as buyback options and downwards adjustments [14]. - It is noted that while convertible bonds have protective clauses, many investors are primarily attracted to the potential for price appreciation rather than the guaranteed returns [16]. - The discussion includes the idea that the current low prices of certain stocks may present a buying opportunity, especially as they are core assets that could rebound [16]. Group 3: Market Sentiment and Historical Context - The article reflects on past market behaviors, mentioning that sectors like real estate and liquor have faced significant downturns, which raises concerns about the stability of banks [6][7]. - There is a sentiment that the current market conditions may lead to a rotation in asset classes, suggesting that the undervalued stocks could start to gain traction [16]. - The potential for a bullish market or style rotation is emphasized, indicating that these stocks could experience a rebound in value [16].

Core Insights - The banking wealth management market is expected to grow by 10% year-on-year by 2026, transitioning from "pseudo-stability" to "true stability" after the implementation of new asset management regulations [1][2] - The industry is shifting focus from scale competition to a "return protection battle," emphasizing multi-asset allocation and refined liability management to stabilize returns in a volatile market [1][3] Group 1: Market Outlook - The banking wealth management sector is anticipated to become a core component of the wealth management market, driven by sustained demand for asset allocation from residents [3] - The disappearance of "valuation magic" signifies a purification and restructuring of the banking wealth management industry, promoting transparency and high-quality development [2] Group 2: Investment Strategies - Institutions are expected to enhance their research and investment capabilities, focusing on asset rotation while minimizing volatility to secure returns [4] - Strategies will be tailored to different risk appetites, with low-risk clients being offered stable strategies and medium-risk clients being targeted with "fixed income plus" strategies [4]

Group 1 - The A-share market is currently experiencing a phase of valuation repair and structural differentiation, leading to a configuration dilemma for investors who are concerned about high equity positions amid volatility and missed opportunities in fixed income [1] - The Agricultural Bank of China Balanced Value Mixed Fund will officially launch on September 1, featuring a core design of "30%-70% dynamic adjustment of equity positions" to provide a professional solution for investors seeking long-term returns with controlled risk [1][2] - The fund's design breaks away from the traditional single attribute of mixed funds, focusing on "large asset rotation" as the core strategy for portfolio construction [1][2] Group 2 - The 30%-70% equity asset allocation range is based on a dynamic decision-making framework that considers macroeconomic cycles, market valuation levels, and industry prosperity [2] - The fund aims to meet the core demands of three types of investors: those with moderate risk tolerance seeking a core position for family asset allocation, those looking for value appreciation for retirement savings through a "fixed income base + equity enhancement" model, and institutional investors using it as a balancing tool in their overall asset allocation [2] - The proposed fund manager, Liao Ling, has developed an investment system focused on "deep fundamental research + valuation safety margin" through various market cycles, emphasizing high ROE, low PEG, and strong cash flow in stock selection [3] Group 3 - Liao Ling plans to adopt a prudent building strategy for the new fund, balancing return expectations with volatility control, gradually accumulating a safety cushion while increasing equity positions [3] - The focus will be on selecting quality companies based on industry trends, performance trajectories, and fundamental stability, while also considering valuation to avoid high-valuation stocks that may experience significant volatility due to external shocks [3]

Market Overview - The A-share market has shown strong upward momentum, with the Shanghai Composite Index breaking through the key level of 3674.40 points, reaching a new high since the "9·24" rally last year, with a year-to-date increase of nearly 10% [1] - On August 14, the index continued to rise, surpassing 3700 points, marking the highest level since December 2021, with trading volume in the Shanghai and Shenzhen markets reaching 2.18 trillion yuan, indicating a significant increase in market activity [1][2] Equity Market Dynamics - The current rally in the equity market is driven by multiple factors, including improved expectations from "anti-involution" policies, increased participation from retail investors, institutional funds, and foreign capital, as well as resilient macroeconomic fundamentals and proactive fiscal policies [2] - Various sectors are experiencing structural opportunities, with significant gains in securities, semiconductors, and insurance, indicating a shift away from a market dominated solely by bank stocks [2] Bond Market Analysis - The bond market has shown a mixed performance, with the yield on 10-year government bonds rising from 1.6855% on August 11 to 1.7350% on August 13, reflecting a lack of clear catalysts for bond price increases [1][2] - The bond market is currently influenced by two main factors: the strong performance of the equity market reducing the willingness of bond investors to increase positions, and a divergence in institutional behavior, with funds and brokerages being net sellers while banks and insurance companies are net buyers [3][5] Tax Policy Impact - The recent restoration of value-added tax on interest income from newly issued government and local bonds has led to an increase in selling pressure from funds, impacting their future bond allocation strategies [5][6] - Despite the tax changes, the overall impact on the bond market is expected to be limited, as the demand for fixed-income products remains relatively stable [8] Future Outlook - The bond market is perceived to be in a "top and bottom" range, with limited potential for significant yield declines due to the strong equity market and investor risk appetite, while still supported by a loose monetary policy [7] - Analysts suggest that the "look at stocks, do bonds" strategy may continue, but the coexistence of a "dual bull" market for stocks and bonds is also possible as the capital market recovers [7][8]

Quantitative Models and Construction Methods Model Name: "Clock + Turning Point Improvement Method" Large Asset Rotation Model - **Model Construction Idea**: The model combines the investment clock theory with turning point improvement methods to optimize asset rotation strategies[5][23] - **Model Construction Process**: 1. Assume that the macroeconomic factors will continue their current state into the next month[23] 2. Calculate the total score of each asset based on the current state of macroeconomic risk factors[24] 3. Introduce a risk budget model with initial risk ratios for each asset: large-cap stocks: small-cap stocks: bonds: commodities: gold = 1:1:1:0.5:0.5. Adjust the risk ratios based on the total score, doubling the risk ratio for each positive score and halving it for each negative score[24] 4. Backtesting period: January 2011 - December 2023[25] - **Model Evaluation**: The model performs excellently in terms of returns, risk control, and drawdown management, achieving nearly 10% annualized returns while controlling high-risk asset positions[27] Quantitative Factors and Construction Methods Factor Name: Macroeconomic Risk Factors - **Factor Construction Idea**: Utilize macroeconomic data and asset portfolios to construct six macroeconomic risk factors: economic growth, inflation, interest rates, exchange rates, credit, and term spreads[8] - **Factor Construction Process**: - **Economic Growth**: Use industrial added value year-on-year (M0000545), PMI (M0017126), and social retail sales year-on-year (M0001428). Apply HP filtering and volatility inverse weighting[8] - **Inflation**: Use PPI year-on-year (M0001227) and CPI year-on-year (M0000612). Apply HP filtering and volatility inverse weighting[8] - **Interest Rates**: Construct an equal-weighted investment portfolio using the ChinaBond Treasury Wealth Index (1-3 years) (CBA00621.CS) and the CSI Money Market Fund Index (H11025.CSI), and calculate net value year-on-year returns[8] - **Exchange Rates**: Construct an equal-weighted long-short investment portfolio using Shanghai Gold (AU9999.SGE) and London Gold Spot (SPTAUUSDOZ.IDC), and calculate net value year-on-year returns[8] - **Credit**: Construct a duration-neutral investment portfolio using the ChinaBond Corporate Bond AAA Index (CBA04231.CS) and the ChinaBond Treasury Wealth Index (CBA00631.CS), and calculate net value year-on-year returns[8] - **Term Spreads**: Construct a duration-neutral investment portfolio using the ChinaBond Medium-Short Term Bond Wealth Index (CBA00701.CS) and the ChinaBond Long Term Bond Wealth Index (CBA00801.CS), and calculate net value year-on-year returns[8] - **Factor Evaluation**: The factors provide a comprehensive risk perspective by capturing multiple aspects of the macroeconomic environment[8] Model Backtesting Results "Clock + Turning Point Improvement Method" Large Asset Rotation Model - **Total Return**: 242.45%[27] - **Annualized Return**: 9.93%[27] - **Annualized Volatility**: 6.83%[27] - **Annualized Sharpe Ratio**: 1.45[27] - **Maximum Drawdown**: 6.31%[27] - **Win Rate**: 73.08%[27] Factor Backtesting Results Macroeconomic Risk Factors - **Economic Growth**: Upward[36] - **Inflation**: Downward[36] - **Interest Rates**: Downward[36] - **Credit**: Downward[36] - **Exchange Rates**: Downward[36] - **Term Spreads**: Downward[36]

Investment Rating - The report suggests a cautious view on large-cap and small-cap stocks, while being bullish on commodities and gold for March 2025 [27][32]. Core Insights - The model achieved an annualized return of 9.93% with a volatility of 6.83% from January 2011 to December 2023, demonstrating excellent performance in terms of returns, risk, and drawdown control [25]. - In February 2025, the model's return was -0.6%, with a risk allocation favoring bonds significantly [27]. - The macroeconomic state as of late February 2025 indicates a recovery phase with rising exchange rates and term spreads, while interest rates and credit factors are declining [28][33]. Summary by Sections Model Review - The macro risk factor model includes six factors: economic growth, inflation, interest rates, exchange rates, credit, and term spreads, providing a comprehensive risk perspective [6]. - The report outlines the performance of various asset classes under different macroeconomic conditions, aligning with international market trends [7][10]. Performance Review (February 2025) - In February, small-cap stocks performed well (+6.76%), while large-cap stocks saw a modest increase (+2.03%). Bonds and non-gold commodities underperformed, while gold rose by +4.30% [27]. - The risk allocation for February was heavily weighted towards bonds (85.69%), with minimal exposure to equities and commodities [31]. March Allocation Outlook - For March 2025, the model suggests a bullish stance on commodities and gold, with a cautious view on both large-cap and small-cap stocks [28][32]. - The proposed risk allocation for March is significantly tilted towards bonds (66.85%) and commodities (13.86%) [32].