风险提示： 模型失效风险、因子失效风险、海外市场波动风险。 报告导读： 根据 2025 年 12 月底的最新数据，股票、债券和黄金市场在 2026 年 1 月 信号分别为正向，负向和正向。 大类资产 1 季度配置信号 ： 根据 2025 年 12 月底的最新数据，信用利差收窄，期限利差扩张， 2026Q1 宏观环境预测结果为 Slowdown 。 宏观动量模型配置信号： 根据 2025 年 12 月底的最新数据，股票、债券和黄金市场在 2026 年 1 月信号分别为正向、负向和正向。 行业复合趋势因子组合表现及信号： 2015 年 1 月至 2025 年 12 月，行业复合趋势因子组合的累积收益为 124.81% ，超额收益为 48.89% 。上月（ 2025 年 12 月）因子信号为正向， Wind 全 A 当月收益率为 3.30% 。根据 2025 年 12 月底的最新数据，行业复合趋势因子为 0.46 ，维持正向信号。 本公众订阅号(微信号: GTHT RESEARCH )为国泰海通证券股份有限公司(以下简称"国泰海通证券") 研究所依法设立、独立运营的唯一官方订阅号。其他机构或个人在微信平台上以国泰海 ...

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]

绝对收益产品及策略周报（251124-251128） [Table_Authors] 郑雅斌(分析师) 上周 6 只固收+基金创新高 本报告导读： 股票端采用小盘成长组合+不择时的股债 10/90 和 20/80 月度再平衡策略，2025 年累 计收益分别为 6.50%和 11.93%。 投资要点： 上周成长因子表现较好，本年中证 2000 指数增强 策略超额收益为 28.08% 2025.12.04 大额买入与资金流向跟踪（20251124-20251128） 2025.12.02 红利风格择时周报（1124-1128） 2025.12.01 高频选股因子周报（20251124-20251128） 2025.12.01 风格 Smart beta 组合跟踪周报（2025.11.24- 2025.11.28） 2025.12.01 券 研 究 报 告 金 融 工 程 周 报 固收+产品业绩跟踪。截至 2025 年 11 月 28 日，全市场固收+基金 规模 21824.28 亿元，产品数量 1148 只，其中 6 只上周净值创历史 新高。上周（20251124-20251128，下同）共新发 12 只产品，各 ...

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]

Quantitative Models and Construction Methods 1. Model Name: Counter-Cyclical Allocation Model - **Model Construction Idea**: Predict the macroeconomic environment using proxy variables and allocate assets that perform best under the predicted environment[26][31] - **Model Construction Process**: - Use proxy variables to forecast the macroeconomic environment (e.g., Inflation, Growth, etc.) - Allocate assets based on historical performance under the predicted environment - For Q3 2025, the model predicted an "Inflation" environment, leading to allocations in CSI 300, CSI 2000, Nanhua Commodity Index, and ChinaBond Total Wealth Index[26] - **Model Evaluation**: Provides a systematic approach to asset allocation based on macroeconomic conditions[26] 2. Model Name: Macro Momentum Model - **Model Construction Idea**: Constructed using multiple dimensions such as economic growth, inflation, interest rates, exchange rates, and risk sentiment to time asset classes like stocks and bonds[26] - **Model Construction Process**: - Incorporate macroeconomic indicators, positioning data, volume-price factors, and sentiment factors - Apply the model to time assets such as CSI 300, ChinaBond Total Wealth Index, and gold contracts (AU9999)[26] - **Model Evaluation**: Offers a multi-dimensional perspective for timing asset allocation[26] 3. Model Name: Multi-Factor Industry Rotation Model - **Model Construction Idea**: Combines historical fundamentals, expected fundamentals, sentiment, volume-price technicals, and macroeconomic factors to rotate among industries[27] - **Model Construction Process**: - Match ETFs with their corresponding CSI Level-1 industries - Use a pool of 23 industries to construct the benchmark - Allocate weights to ETFs based on the model's output[27][29] - **Model Evaluation**: Provides a structured approach to industry rotation, leveraging multiple factor dimensions[27] 4. Model Name: Absolute Return Strategies (Blended Models) - **Model Construction Idea**: Combine macro timing and industry rotation strategies with asset rebalancing to achieve absolute returns[31][37] - **Model Construction Process**: - Implement 20/80 stock-bond rebalancing and risk parity strategies - Enhance these strategies with macro timing and industry ETF rotation[31][37] - **Model Evaluation**: Enhances traditional rebalancing strategies with timing and rotation components for better returns[31][37] --- Model Backtesting Results 1. Counter-Cyclical Allocation Model - CSI 300 Q3 2025 Return: 14.38%[26] - CSI 2000 Q3 2025 Return: 16.58%[26] - Nanhua Commodity Index Q3 2025 Return: 4.17%[26] - ChinaBond Total Wealth Index Q3 2025 Return: -1.08%[26] 2. Macro Momentum Model - CSI 300 September 2025 Return: 0.11%[26] - ChinaBond Total Wealth Index September 2025 Return: -0.31%[26] - AU9999 Gold Contract September 2025 Return: 5.72%[26] 3. Multi-Factor Industry Rotation Model - Weekly Return: 0.61% (Excess Return: 0.79% over Wind All A Index)[27][28] - Monthly Return (September 2025): 0.82% (Excess Return: 0.28% over Wind All A Index)[27][28] 4. Absolute Return Strategies (Blended Models) - **Macro Timing + 20/80 Rebalancing**: - Weekly Return: -0.10% - Monthly Return: -0.09% - YTD Return: 3.85% - Annualized Volatility: 3.38% - Max Drawdown: 1.78% - Sharpe Ratio: 1.61[32] - **Macro Timing + Risk Parity**: - Weekly Return: -0.01% - Monthly Return: -0.15% - YTD Return: 1.58% - Annualized Volatility: 1.75% - Max Drawdown: 1.50% - Sharpe Ratio: 1.27[32] - **Macro Timing + Industry ETF Rotation + 20/80 Rebalancing**: - Weekly Return: 0.22% - Monthly Return: 0.21% - YTD Return: 7.83% - Annualized Volatility: 5.28% - Max Drawdown: 2.54% - Sharpe Ratio: 2.12[32] - **Macro Timing + Industry ETF Rotation + Risk Parity**: - Weekly Return: 0.11% - Monthly Return: -0.03% - YTD Return: 2.94% - Annualized Volatility: 2.18% - Max Drawdown: 1.45% - Sharpe Ratio: 1.90[32] --- Quantitative Factors and Construction Methods 1. Factor Name: PB Earnings - **Factor Construction Idea**: Focuses on price-to-book ratios and earnings growth to identify undervalued stocks with growth potential[39][41] - **Factor Construction Process**: - Calculate PB ratios for stocks - Combine with earnings growth metrics to rank stocks[39][41] - **Factor Evaluation**: Targets value-oriented opportunities with growth potential[39][41] 2. Factor Name: High Dividend Yield - **Factor Construction Idea**: Selects stocks with high dividend yields for stable income generation[39][41] - **Factor Construction Process**: - Rank stocks based on dividend yield - Adjust for payout sustainability metrics[39][41] - **Factor Evaluation**: Suitable for income-focused strategies[39][41] 3. Factor Name: Small-Cap Value - **Factor Construction Idea**: Targets small-cap stocks with low valuations for higher growth potential[39][41] - **Factor Construction Process**: - Identify small-cap stocks - Rank based on valuation metrics like P/E and P/B ratios[39][41] - **Factor Evaluation**: Captures the small-cap premium with a value tilt[39][41] 4. Factor Name: Small-Cap Growth - **Factor Construction Idea**: Focuses on small-cap stocks with high growth potential[39][41] - **Factor Construction Process**: - Identify small-cap stocks - Rank based on growth metrics like revenue and earnings growth rates[39][41] - **Factor Evaluation**: Targets high-growth opportunities in the small-cap space[39][41] --- Factor Backtesting Results 1. PB Earnings - **10/90 Rebalancing**: - Weekly Return: -0.18% - Monthly Return: -0.04% - YTD Return: 2.49% - Annualized Volatility: 2.34% - Max Drawdown: 1.82% - Sharpe Ratio: -0.01[41] - **20/80 Rebalancing**: - Weekly Return: -0.39% - Monthly Return: -0.11% - YTD Return: 4.06% - Annualized Volatility: 4.71% - Max Drawdown: 3.79% - Sharpe Ratio: 0.19[41] 2. High Dividend Yield - **10/90 Rebalancing**: - Weekly Return: -0.12% - Monthly Return: -0.09% - YTD Return: 1.91% - Annualized Volatility: 2.09% - Max Drawdown: 1.39% - Sharpe Ratio: -0.18[41] - **20/80 Rebalancing**: - Weekly Return: -0.28% - Monthly Return: -0.22% - YTD Return: 2.88% - Annualized Volatility: 4.19% - Max Drawdown: 3.47% - Sharpe Ratio: 0.05[41] 3. Small-Cap Value - **10/90 Rebalancing**: - Weekly Return: -0.27% - Monthly Return: -0.07% - YTD Return: 5.35% - Annualized Volatility: 3.55% - Max Drawdown: 3.69% - Sharpe Ratio: 0.47[41] - **20/80 Rebalancing**: - Weekly Return: -0.57% - Monthly Return: -0.16% - YTD Return: 9.91% - Annualized Volatility: 7.14% - Max Drawdown: 7.74% - Sharpe Ratio: 0.60[41]

Group 1: Core Insights - The report highlights that the stock side employs a small-cap growth portfolio combined with a non-timing stock-bond monthly rebalancing strategy, projecting cumulative returns of 5.93% and 11.15% by 2025 [1][4] - As of August 15, 2025, the total market size of fixed income plus funds reached 1,784.66 billion, with 1,177 products, of which 412 achieved historical net value highs last week [2][9] - The report indicates a divergence in performance among various fund types, with median returns for mixed bond type funds being -0.07% for level one, 0.17% for level two, and 0.33% for mixed bond type funds [2][12] Group 2: Asset Allocation and ETF Rotation - The macro environment forecast for Q3 2025 suggests an inflationary trend, with the CSI 300 index, the total wealth index of government bonds, and AU9999 contracts yielding 3.11%, -0.32%, and 1.03% respectively since August [3][4] - Recommended industry ETFs for August 2025 include those focused on artificial intelligence, semiconductors, non-ferrous metals, banking, and major consumer sectors, with a weekly return of 4.01% and a cumulative return of 5.81% for the month [3][4] Group 3: Absolute Return Strategy Performance - The macro-timing driven stock-bond 20/80 rebalancing strategy yielded a return of 0.47% last week, while the stock-bond risk parity strategy returned -0.02% [4][9] - The small-cap growth style within the stock-bond 20/80 combination showed the most significant performance, with a year-to-date return of 11.15% [4][9] - The report notes that the cumulative return for the small-cap growth portfolio, when adjusted for timing strategies, reached 12.81% [4][9]

Group 1 - The report indicates that the stock side employs a small-cap value portfolio combined with a non-timing stock-bond monthly rebalancing strategy of 10/90 and 20/80, with cumulative returns of 4.97% and 9.28% respectively by 2025 [1][4] - As of July 25, 2025, the total market size of fixed income + funds reached 1,775.714 billion, with 1,173 products, and 136 of them reached historical net value highs last week [2][9] - The performance of various fund types showed divergence, with median returns for mixed bond type funds being -0.15% for level one, 0.09% for level two, and 0.19% for biased bond mixed funds [2][14] Group 2 - The macro environment forecast for Q3 2025 suggests an inflationary trend, with the CSI 300 index rising by 4.85% since July, while the China Government Bond Index fell by 0.43% [3] - Recommended industry ETFs for July 2025 include those focused on securities companies, semiconductors, non-ferrous metals, and major consumer sectors, with a weekly return of 4.72% and a cumulative return of 6.97% for the month [3][4] - The absolute return strategy performance showed that the macro-timing driven stock-bond 20/80 rebalancing strategy yielded a return of 0.20% last week, while the stock-bond risk parity strategy had a return of -0.20% [4][16] Group 3 - The small-cap value style within the stock-bond 20/80 combination performed notably well, achieving a year-to-date return of 9.28%, while other strategies like PB earnings and high dividend stocks yielded 4.01% and 2.65% respectively [4][16] - The report highlights that 136 fixed income + products reached historical net value highs, with a breakdown of 30 level one mixed bond funds, 41 level two mixed bond funds, and 35 biased bond mixed funds [18][20] - The report also provides insights into the performance of conservative, balanced, and aggressive funds, with median returns of -0.09%, 0.09%, and 0.29% respectively [14][18]