大类资产及择时观点月报（2026.03） [Table_Authors] 郑雅斌(分析师) 黄金信号转为负向 本报告导读： 根据 2026 年 2 月底的最新数据，股票、债券和黄金市场在 2026年 3 月信号分别为 负向，正向和负向。 投资要点： 金融工程 /[Table_Date] 2026.03.04 | | 021-23219395 | | --- | --- | | | zhengyabin@gtht.com | | 登记编号 | S0880525040105 | | | 曹君豪(分析师) | | | 021-23185657 | | | caojunhao@gtht.com | | 登记编号 | S0880525040094 | [Table_Report] 相关报告 风格及行业观点月报（2026.03） 2026.03.02 大类资产及择时观点月报（2026.02） 2026.02.02 风格及行业观点月报（2026.02） 2026.02.02 风格及行业观点月报（2026.01） 2026.01.08 大类资产及择时观点月报（2026.01） 2026.01.05 证 券 研 究 报 告 请 ...

绝对收益产品及策略周报（260202-260206） [Table_Authors] 郑雅斌(分析师) 上周 161 只固收+基金创新高 本报告导读： 股票端采用小盘价值组合+不择时的股债 10/90 和 20/80 月度再平衡策略，2026 年累 计收益分别为 1.36%和 2.53%。 投资要点： 金 融 工 程 周 报 固收+产品业绩跟踪。截至 2026 年 02 月 06 日，全市场固收+基金 规模 23568.03 亿元，产品数量 1166 只，其中 161 只上周净值创历 史新高。上周（20260202-20260206，下同）共新发 15 只产品，各 类型基金业绩中位数表现分化：混合债券型一级（0.07%）、二级（- 0.15%）、偏债混合型（-0.26%）、灵活配置型（-0.19%）、债券型 FOF （-0.29%）及混合型 FOF（-0.53%）。按风险等级划分，保守型、稳 健型、激进型基金中位数收益分别为 0.04%、-0.17%、-0.27%。 请务必阅读正文之后的免责条款部分 大类资产配置和行业 ETF 轮动策略跟踪。1）大类资产择时观点。 2026Q1 逆周期配置模型给出的宏观环境预 ...

Group 1 - The report indicates that as of January 23, 2026, the total scale of fixed income + funds in the market reached 21,780.36 billion, with 1,157 products, and 824 of them achieved historical net value highs last week [2][18] - The performance median of various fund types for the week of January 19-23, 2026, showed differentiation: mixed bond type I (0.26%), II (0.47%), and other types [14][16] - The conservative, stable, and aggressive fund median returns were 0.32%, 0.47%, and 0.59% respectively [14][16] Group 2 - The macro environment forecast for Q1 2026 indicates a slowdown, with the Shanghai and Shenzhen 300 index, the total wealth index of government bonds, and the AU9999 contract yielding 1.57%, 0.36%, and 14.08% respectively [3] - The industry ETF rotation strategy for January 2026 suggests focusing on coal, steel, securities, and banking ETFs, with a weekly return of 1.77% and a cumulative return of 1.41% for the month [3][4] Group 3 - The mixed stock-bond strategy's performance showed a 0.00% return for the week, with a year-to-date return of 0.51%, while the stock-bond risk parity strategy yielded 0.13% for the week and 0.43% year-to-date [4] - The small-cap value style in the stock-bond 20/80 combination performed best with a year-to-date return of 2.95%, while the PB earnings, high dividend, and small-cap growth strategies yielded 1.08%, 0.78%, and 2.31% respectively [4][10]

Core Insights - The report indicates that as of the end of December 2025, the signals for stocks, bonds, and gold markets in January 2026 are positive, negative, and positive respectively [1][3]. Group 1: Macro Environment - The macro environment forecast for Q1 2026 is predicted to be a slowdown, with credit spreads narrowing and term spreads expanding based on the latest data from December 2025 [2]. Group 2: Industry Trends - From January 2015 to December 2025, the cumulative return of the industry composite trend factor combination is 124.81%, with an excess return of 48.89%. The factor signal for December 2025 was positive, and the Wind All A index had a monthly return of 3.30%. The industry composite trend factor remains at 0.46, maintaining a positive signal [3].

Group 1 - The report indicates that the stock side employs a small-cap growth portfolio combined with a non-timing stock-bond 10/90 and 20/80 monthly rebalancing strategy, projecting cumulative returns of 6.36% and 11.56% by 2025 [1] - As of December 19, 2025, the total market size of fixed income + funds reached 21,722.64 billion, with 1,148 products, and 99 of these funds reached historical net asset value highs last week [2][9] - The report highlights that 13 new products were launched last week, with median performance across various fund types being relatively close, including mixed bond type I (0.08%), mixed bond type II (0.09%), and flexible allocation type (0.13%) [2][16] Group 2 - The macro environment forecast for Q4 2025 suggests an inflationary trend, with the CSI 300 index, the total wealth index of government bonds, and the AU9999 contract yielding 0.92%, -0.20%, and 2.88% respectively since December [3] - The industry ETF rotation strategy for December 2025 recommends focusing on specific ETFs, including Southern CSI Nonferrous Metals ETF and Huabao CSI Bank ETF, with a combined return of 0.64% last week [3] - The report notes that the macro timing-driven stock-bond 20/80 rebalancing strategy yielded 0.01% last week, while the stock-bond risk parity strategy achieved a return of 0.04% [4] Group 3 - The small-cap growth style within the stock-bond 20/80 combination showed the best performance with a year-to-date return of 11.56%, while PB earnings, high dividend, and small-cap value strategies yielded 4.68%, 4.30%, and 10.56% respectively [4] - The report indicates that the cumulative return for the small-cap growth portfolio, adjusted for timing strategies, reached 13.01%, while the PB earnings combined with small-cap growth strategy yielded a year-to-date return of 4.68% [4]

Group 1 - The report indicates that the stock side employs a small-cap growth portfolio combined with a non-timing stock-bond rebalancing strategy of 10/90 and 20/80, projecting cumulative returns of 6.21% and 11.30% by 2025 [1][2] - As of December 12, 2025, the total market size of fixed income + funds reached 21,722.64 billion, with 1,148 products, and 20 of these funds achieved historical net value highs last week [2][9] - The performance median of various fund types showed divergence, with mixed bond type I at 0.06%, mixed bond type II at 0.03%, and flexible allocation type at 0.06% [2][14] Group 2 - The macro environment forecast for Q4 2025 suggests an inflationary trend, with the CSI 300 index, total wealth index of government bonds, and AU9999 contract yielding 1.20%, -0.29%, and 1.69% respectively since December [3] - Recommended industry ETFs for December 2025 include Southern CSI Nonferrous Metals ETF, Huabao CSI Bank ETF, Guotai CSI All-Share Securities Company ETF, and others, with a combined return of -0.72% last week [3][4] - The stock-bond mixed strategy showed a return of 0.09% last week, with year-to-date returns of 4.84%, while the stock-bond risk parity strategy yielded 0.11% last week and 2.01% year-to-date [4] Group 3 - The report highlights that the small-cap growth style within the stock-bond 20/80 combination performed best with a year-to-date return of 11.30%, while other strategies saw declines when adjusted to a 10/90 allocation [4][19] - The absolute return strategy tracking indicates that the median performance of mixed bond type I, mixed bond type II, and flexible allocation funds for the year-to-date is 1.78%, 4.18%, and 3.65% respectively [16][17] - The report notes that 20 fixed income + products reached historical net value highs, including 9 mixed bond type I funds and 4 mixed bond type II funds [19]

Quantitative Models and Factor Analysis Quantitative Models and Construction Methods Model 1: Macro Timing Driven Stock-Bond 20/80 Rebalancing Strategy - **Construction Idea**: This model aims to balance a portfolio with 20% stocks and 80% bonds, driven by macroeconomic timing signals[4] - **Construction Process**: - The model uses macroeconomic indicators to determine the optimal timing for rebalancing the portfolio - The rebalancing is done monthly to maintain the 20/80 stock-bond ratio - The performance metrics include weekly, monthly, and year-to-date returns, annualized volatility, maximum drawdown, and Sharpe ratio[4][30] - **Evaluation**: The model is designed to provide a stable return with lower volatility by leveraging macroeconomic indicators for timing[4] - **Formula**: Not explicitly provided Model 2: Macro Timing Driven Stock-Bond Risk Parity Strategy - **Construction Idea**: This model aims to balance the risk between stocks and bonds based on macroeconomic timing signals[4] - **Construction Process**: - The model uses macroeconomic indicators to determine the optimal timing for rebalancing the portfolio - The rebalancing is done to achieve risk parity between stocks and bonds - The performance metrics include weekly, monthly, and year-to-date returns, annualized volatility, maximum drawdown, and Sharpe ratio[4][30] - **Evaluation**: The model aims to achieve a balanced risk exposure between stocks and bonds, providing a more stable return profile[4] - **Formula**: Not explicitly provided Model 3: Macro Timing + Sector ETF Rotation Enhanced Stock-Bond 20/80 Rebalancing Strategy - **Construction Idea**: This model enhances the stock-bond 20/80 rebalancing strategy by incorporating sector ETF rotation based on macroeconomic timing signals[4] - **Construction Process**: - The model uses macroeconomic indicators to determine the optimal timing for rebalancing the portfolio - Sector ETFs are selected based on historical fundamentals, expected fundamentals, sentiment, technical factors, and macroeconomic factors - The rebalancing is done monthly to maintain the 20/80 stock-bond ratio - The performance metrics include weekly, monthly, and year-to-date returns, annualized volatility, maximum drawdown, and Sharpe ratio[4][30] - **Evaluation**: The model aims to enhance returns by rotating into favorable sector ETFs while maintaining a balanced stock-bond ratio[4] - **Formula**: Not explicitly provided Model 4: Macro Timing + Sector ETF Rotation Enhanced Stock-Bond Risk Parity Strategy - **Construction Idea**: This model enhances the stock-bond risk parity strategy by incorporating sector ETF rotation based on macroeconomic timing signals[4] - **Construction Process**: - The model uses macroeconomic indicators to determine the optimal timing for rebalancing the portfolio - Sector ETFs are selected based on historical fundamentals, expected fundamentals, sentiment, technical factors, and macroeconomic factors - The rebalancing is done to achieve risk parity between stocks and bonds - The performance metrics include weekly, monthly, and year-to-date returns, annualized volatility, maximum drawdown, and Sharpe ratio[4][30] - **Evaluation**: The model aims to achieve a balanced risk exposure between stocks and bonds while enhancing returns through sector ETF rotation[4] - **Formula**: Not explicitly provided Model Backtesting Results Macro Timing Driven Stock-Bond 20/80 Rebalancing Strategy - **Weekly Return**: -0.01%[4] - **Monthly Return**: -0.37%[4] - **Year-to-Date Return**: 4.83%[4] - **Annualized Volatility**: 3.47%[4] - **Maximum Drawdown**: 1.78%[4] - **Sharpe Ratio**: 1.54[4] Macro Timing Driven Stock-Bond Risk Parity Strategy - **Weekly Return**: -0.08%[4] - **Monthly Return**: -0.30%[4] - **Year-to-Date Return**: 2.07%[4] - **Annualized Volatility**: 1.77%[4] - **Maximum Drawdown**: 1.50%[4] - **Sharpe Ratio**: 1.30[4] Macro Timing + Sector ETF Rotation Enhanced Stock-Bond 20/80 Rebalancing Strategy - **Weekly Return**: 0.23%[4] - **Monthly Return**: -0.52%[4] - **Year-to-Date Return**: 7.98%[4] - **Annualized Volatility**: 5.46%[4] - **Maximum Drawdown**: 2.54%[4] - **Sharpe Ratio**: 1.62[4] Macro Timing + Sector ETF Rotation Enhanced Stock-Bond Risk Parity Strategy - **Weekly Return**: -0.02%[4] - **Monthly Return**: -0.33%[4] - **Year-to-Date Return**: 3.17%[4] - **Annualized Volatility**: 2.21%[4] - **Maximum Drawdown**: 1.45%[4] - **Sharpe Ratio**: 1.59[4] Quantitative Factors and Construction Methods Factor 1: PB Earnings - **Construction Idea**: This factor aims to capture the value premium by focusing on stocks with low price-to-book ratios and high earnings[4] - **Construction Process**: - Select stocks with low price-to-book ratios - Filter for stocks with high earnings - Rebalance the portfolio monthly to maintain the factor exposure[4] - **Evaluation**: The factor aims to capture the value premium by focusing on undervalued stocks with strong earnings[4] - **Formula**: Not explicitly provided Factor 2: High Dividend Yield - **Construction Idea**: This factor aims to capture the income premium by focusing on stocks with high dividend yields[4] - **Construction Process**: - Select stocks with high dividend yields - Rebalance the portfolio monthly to maintain the factor exposure[4] - **Evaluation**: The factor aims to provide stable income through high dividend-paying stocks[4] - **Formula**: Not explicitly provided Factor 3: Small Cap Value - **Construction Idea**: This factor aims to capture the small-cap premium by focusing on small-cap stocks with low valuations[4] - **Construction Process**: - Select small-cap stocks with low valuations - Rebalance the portfolio monthly to maintain the factor exposure[4] - **Evaluation**: The factor aims to capture the higher growth potential of small-cap stocks with low valuations[4] - **Formula**: Not explicitly provided Factor 4: Small Cap Growth - **Construction Idea**: This factor aims to capture the growth premium by focusing on small-cap stocks with high growth potential[4] - **Construction Process**: - Select small-cap stocks with high growth potential - Rebalance the portfolio monthly to maintain the factor exposure[4] - **Evaluation**: The factor aims to capture the higher growth potential of small-cap stocks with strong growth prospects[4] - **Formula**: Not explicitly provided Factor Backtesting Results PB Earnings - **Weekly Return**: 0.11%[37] - **Monthly Return**: -0.28%[37] - **Year-to-Date Return**: 2.93%[37] - **Annualized Volatility**: 2.27%[37] - **Maximum Drawdown**: 1.82%[37] - **Sharpe Ratio**: 0.03[37] High Dividend Yield - **Weekly Return**: 0.08%[37] - **Monthly Return**: 0.02%[37] - **Year-to-Date Return**: 2.63%[37] - **Annualized Volatility**: 2.01%[37] - **Maximum Drawdown**: 1.39%[37] - **Sharpe Ratio**: -0.05[37] Small Cap Value - **Weekly Return**: 0.44%[37] - **Monthly Return**: -0.09%[37] - **Year-to-Date Return**: 6.14%[37] - **Annualized Volatility**: 3.42%[37] - **Maximum Drawdown**: 3.69%[37] - **Sharpe Ratio**: 0.52[37] Small Cap Growth - **Weekly Return**: 0.60%[37] - **Monthly Return**: 0.24%[37] - **Year-to-Date Return**: 6.50%[37] - **Annualized Volatility**: 3.49%[37] - **Maximum Drawdown**: 3.86%[37] - **Sharpe Ratio**: 0.56[37]

Group 1: Fixed Income + Product Performance Tracking - As of November 21, 2025, the total market size of fixed income + funds reached 21,846.96 billion, with 1,151 products, and 23 products achieved historical net value highs last week [2][20] - The median performance of various fund types for the week of November 17-21, 2025, showed mixed results: mixed bond type I (-0.04%), mixed bond type II (-0.72%), and flexible allocation type (-0.60%) [2][13] - The median returns for conservative, balanced, and aggressive funds were -0.13%, -0.59%, and -0.93%, respectively [2][13] Group 2: Major Asset Allocation and Industry ETF Rotation Strategy Tracking - The macro environment forecast for Q4 2025 indicates inflation, with the Shanghai Composite Index, China Government Bond Total Wealth Index, and AU9999 contract yielding -4.03%, -0.10%, and 0.63% respectively since November [3] - Recommended industry ETFs for November 2025 include semiconductor, securities companies, communication equipment, new energy vehicle batteries, and animation game ETFs, with a weekly return of -5.15% and a cumulative return of -7.92% for the month [3] Group 3: Absolute Return Strategy Performance Tracking - The macro timing-driven stock-bond 20/80 rebalancing strategy yielded -0.38% last week, with a year-to-date return of 4.84% [4] - The small-cap growth style within the stock-bond 20/80 combination showed a notable annual return of 10.57%, while the PB earnings, high dividend, and small-cap value strategies returned 4.35%, 3.81%, and 10.20% respectively [4] - The cumulative return for the small-cap growth combination based on a macro momentum model was 12.70% [4]

Core Insights - The overall market signals for stocks, bonds, and gold as of October 2025 indicate negative, positive, and negative trends respectively for November 2025 [1][3]. Asset Allocation Signals - As of September 2025, both credit spreads and term spreads are signaling a narrowing trend, with the macroeconomic environment forecasted to be inflationary for Q4 [2]. Macro Momentum Model Signals - The cumulative return of the industry composite trend factor combination from January 2015 to October 2025 is 122.58%, with an excess return of 48.40%. The factor signal for October 2025 was positive, while the Wind All A monthly return was -0.04%. The industry composite trend factor as of October 2025 is 0.34, indicating a rebound and issuing a positive signal [3].

- The counter-cyclical allocation model predicts macroeconomic environments using credit spreads and term spreads, dividing them into Growth, Inflation, and Slowdown stages. For Q3 2025, the model forecasted an Inflation environment, allocating assets as follows: CSI 300 (20%), CSI 2000 (0%), Nanhua Commodity Index (30%), and ChinaBond Treasury Total Wealth Index (50%). The respective returns were 17.90%, 17.24%, 3.88%, and -1.28%[7][8] - The macro momentum monthly allocation signal for October 2025 indicates a positive signal for the stock market, driven by positive signals from economic growth and risk sentiment factors[9][10] - The composite industry trend factor, constructed from industry-level indicators, serves as a timing signal for market trends. When the factor exceeds a certain threshold, it signals potential market rallies, while a sharp drop near the peak triggers a sell signal. From January 2015 to September 2025, the cumulative return of the composite industry trend factor portfolio was 122.66%, with an excess return of 48.42%. As of September 2025, the factor value was -0.30, showing a decline but maintaining a positive signal[4][17][19] - The bond market timing signal for October 2025 shows a negative overall signal, influenced by factors such as PMI, inflation indicators (CRB Index, CPI), exchange rates (CFETS RMB Index, USD midpoint), interest rates (ChinaBond Treasury yields for 2, 5, and 10 years), and risk sentiment factors[13] - The gold market timing signal for October 2025 is positive, supported by fundamental and technical factors. Positive signals include actual interest rates, London gold moving averages (10-month and 20-month), global negative-yielding debt scale, and US M2. Negative signals include expected inflation and CFTC swap dealer positions[13][14]