[Table_Page] 金融工程|专题报告 2026 年 3 月 1 日 证券研究报告 [Table_Title] 金融工程：大类资产及权益风格月 报（2026 年 2 月） 权益资金流边际改善，小盘成长风格有望占优 [Table_Summary] 报告摘要： 图：大类资产最新观点(20260228) 表：权益风格最新观点(20260228) | 权益风格 | 宏观视角 最新得分 | 技术视角 最新得分 | 最新 总得分 | 最新观点 | | --- | --- | --- | --- | --- | | 大盘川盘 | -1 | -2 | -3 | 看好小盘 | | 成长/价值 | 1 | 2 | 3 | 看好成长 | [分析师： Table_Author]李豪 SAC 执证号：S0260518070001 021-38003569 lhao@gf.com.cn 分析师： 安宁宁 SAC 执证号：S0260512020003 SFC CE No. BNW179 0755-23948352 anningning@gf.com.cn 请注意，李豪并非香港证券及期货事务监察委员会的注册 持牌人，不可在香港从事受监 ...

Macro Perspective - The macro perspective indicates a bullish outlook on equity assets, a bearish outlook on bond assets, a neutral stance on gold assets, and a bullish outlook on industrial products [23][25]. - The latest scores for major asset classes are: Equity (2), Bonds (-3), Gold (0), and Industrial Products (4) [2]. Technical Perspective - The technical perspective shows a neutral view on equity assets, a bullish outlook on bond assets, a bullish outlook on gold assets, and a bullish outlook on industrial products [25]. - The technical scores for major asset classes are: Equity (0), Bonds (1), Gold (1), and Industrial Products (1) [2]. Equity Style Analysis - The macro perspective favors small-cap stocks over large-cap stocks, while both perspectives support a balanced allocation between growth and value styles [36][40]. - The latest scores for equity styles are: Large-Cap/Small-Cap (-1), Growth/Value (0) [40]. Asset Allocation Strategy - The asset allocation strategy includes a fixed weight for equities (20%), bonds (60%), commodities (10%), and cash (5%), with adjustments based on macro and technical indicators [29]. - Historical performance shows that the combination of fixed proportions with macro and technical indicators yielded an annualized return of 10.20% since 2007 [31]. Performance Metrics - The performance metrics for the asset allocation strategies indicate that controlling annualized volatility at 6% yielded a return of 10.46%, while the risk parity strategy yielded 8.29% [33]. - The historical performance of the small-cap rotation strategy shows an excess return of 2.54% since 2013 [43].

Quantitative Models and Construction Methods Macro Indicator Trend Model - **Model Name**: Macro Indicator Trend Model - **Construction Idea**: Establish the relationship between macro indicators and asset performance by analyzing the trend of macro indicators and their impact on monthly asset returns[17][18] - **Construction Process**: - Use monthly moving averages of macro indicators to classify them into upward or downward trends - Apply T-test to determine whether the distribution of monthly returns of assets differs significantly under upward and downward trends - Formula: $ t = \frac{\overline{R_1} - \overline{R_2}}{\sqrt{\frac{(n_1-1)S_1^2 + (n_2-1)S_2^2}{n_1+n_2-2}(\frac{1}{n_1} + \frac{1}{n_2})}} \sim t_{n_1+n_2-2} $ - $\overline{R_1}$ and $\overline{R_2}$: Average monthly returns under upward and downward trends - $S_1$ and $S_2$: Standard deviations of monthly returns under upward and downward trends - $n_1$ and $n_2$: Number of months under upward and downward trends[17][18] - **Evaluation**: Effectively identifies macro indicators with significant impacts on asset returns[17][18] Technical Perspective Model - **Model Name**: Technical Perspective Model - **Construction Idea**: Evaluate asset trends, valuation, and fund flows using historical data and specific calculation methods[22][23][25] - **Construction Process**: - **Trend**: Use closing prices or LLT indicators to calculate trend indicators. Assign +1 for upward trends and -1 for downward trends[22] - **Valuation**: Calculate equity risk premium (ERP) as the reciprocal of PE(TTM) minus the 10-year government bond yield. Define historical 5-year percentile as: $ (Current ERP - Historical 5-year ERP Minimum) / (Historical 5-year ERP Maximum - Historical 5-year ERP Minimum) $ Assign scores based on percentile levels: +2 for >90%, +1 for 70%-90%, 0 for 30%-70%, -1 for 10%-30%, -2 for <10%[23][25] - **Fund Flows**: Calculate monthly active net inflows for indices and assess marginal changes. Assign +1 for positive changes and -1 for negative changes[26] - **Evaluation**: Provides a comprehensive view of asset trends, valuation, and fund flows[22][23][25] Fixed Proportion + Macro Indicators + Technical Indicators Combination Model - **Model Name**: Fixed Proportion + Macro Indicators + Technical Indicators Combination Model - **Construction Idea**: Adjust asset weights based on macro and technical indicators while maintaining a fixed proportion baseline[36][40] - **Construction Process**: - Set baseline weights for equity, bonds, commodities, and currency assets - Adjust weights monthly based on macro and technical indicator signals[36][40] - **Evaluation**: Balances fixed proportion allocation with dynamic adjustments for improved performance[36][40] Controlled Volatility + Macro Indicators + Technical Indicators Combination Model - **Model Name**: Controlled Volatility + Macro Indicators + Technical Indicators Combination Model - **Construction Idea**: Limit annualized volatility to 6% while dynamically adjusting weights based on macro and technical indicators[46][50] - **Construction Process**: - Use risk parity as the baseline weight - Adjust weights monthly based on macro and technical indicator signals[46][50] - **Evaluation**: Reduces volatility while maintaining competitive returns[46][50] Equity Style Rotation Models - **Model Name**: Equity Style Rotation Models (Large/Small Cap and Growth/Value) - **Construction Idea**: Adjust weights between equity styles based on macro and technical indicators[57][58] - **Construction Process**: - Set baseline weights for large/small cap and growth/value styles - Adjust weights monthly based on macro and technical indicator signals[57][58] - **Evaluation**: Captures style rotation opportunities for enhanced returns[57][58] --- Model Backtesting Results Macro Indicator Trend Model - **Annualized Return**: Not explicitly provided - **Maximum Drawdown**: Not explicitly provided - **Annualized Volatility**: Not explicitly provided Technical Perspective Model - **Annualized Return**: Not explicitly provided - **Maximum Drawdown**: Not explicitly provided - **Annualized Volatility**: Not explicitly provided Fixed Proportion + Macro Indicators + Technical Indicators Combination Model - **Annualized Return**: 10.20%[40] - **Maximum Drawdown**: 9.27%[40] - **Annualized Volatility**: 6.14%[40] Controlled Volatility + Macro Indicators + Technical Indicators Combination Model - **Annualized Return**: 10.46%[50] - **Maximum Drawdown**: 7.37%[50] - **Annualized Volatility**: 5.54%[50] Large/Small Cap Rotation Model - **Annualized Return**: 14.30%[61] - **Maximum Drawdown**: 49.10%[61] - **Annualized Volatility**: 22.30%[61] Growth/Value Rotation Model - **Annualized Return**: 14.43%[68] - **Maximum Drawdown**: 45.18%[68] - **Annualized Volatility**: 21.57%[68]

Investment Rating - The industry investment rating is "Recommended" with expectations of exceeding the benchmark index by more than 5% in the next 3-6 months [21]. Core Insights - The report emphasizes the need for insurance companies to adjust their asset allocation strategies in response to interest rate fluctuations, advocating for an increase in long-term bonds and a focus on equity style rotation [2]. - It highlights the shift in asset allocation among listed insurance companies, with a notable increase in the proportion of FVOCI (Fair Value Other Comprehensive Income) assets in their equity investments, aimed at stabilizing net profit [3][8]. - The report also discusses the performance of major insurance companies, predicting a continued focus on dividend strategies to mitigate pressure on net investment returns [7]. Summary by Sections Industry Overview - The total market capitalization of the insurance sector is approximately 27,935.74 billion, with a circulating market value of 19,257.54 billion [4]. - The report notes a mixed performance in the relative index, with a 1-month absolute performance of 2.5% and a 12-month performance of 37.0% [5]. Asset Allocation Trends - Insurance companies have increased their allocation to long-term bonds in response to declining interest rates, with the 10-year government bond yield dropping to 1.68% by the end of 2024 [7]. - The report details the asset allocation changes for major insurance companies, indicating a general trend of increasing bond holdings while adjusting equity positions [7]. Company-Specific Insights - China Life has increased its fund allocation while slightly decreasing its stock proportion, with fixed-income assets rising by 2.7 percentage points to 74.3% [7]. - China Ping An has increased its stock allocation while reducing its fund holdings, with fixed-income assets rising to 76.2% [7]. - China Taiping has also increased its stock allocation, with fixed-income assets now at 82.3% [7]. - New China Life has increased both stock and fund allocations, with equity assets rising to 20.7% [7]. - China Re has increased its stock allocation while reducing funds, with equity assets now at 28.4% [7]. - Sunshine Insurance has increased its stock allocation while maintaining fund levels, with equity assets rising to 23.7% [7]. Performance Forecasts - The report provides earnings per share (EPS) forecasts for major companies, with China Ping An expected to have an EPS of 7.56 in 2025, while China Life is projected at 3.09 [9]. - The price-to-earnings (PE) ratios for these companies are also provided, with China Ping An at 6.83 and China Life at 12.16 for 2025 [9].