绝对收益产品及策略周报（260224-260227） [Table_Authors] 郑雅斌(分析师) 上周 179 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 2.03%和 3.78%。 投资要点： 金 融 工 程 周 报 固收+产品业绩跟踪。截至 2026 年 02 月 27 日，全市场固收+基金 规模 23798.59 亿元，产品数量 1172 只，其中 179 只上周净值创历 史新高。上周（20260224-20260227，下同）共新发 0 只产品，各类 型基金业绩中位数表现分化：混合债券型一级（0.00%）、二级 （0.23%）、偏债混合型（0.32%）、灵活配置型（0.29%）、债券型 FOF （0.26%）及混合型 FOF（0.38%）。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%、0.21%、0.37%。 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测结果为 Slowdown，截 至 2026 年 ...

Group 1 - The article discusses the significant development of the ETF market in China, highlighting its diverse product offerings that cater to various investment needs across different asset classes and markets [2] - The ETF market includes coverage of domestic and international markets, with products spanning stocks, bonds, and commodities, providing a comprehensive toolset for investors [2] - The article emphasizes the evolution of the ETF ecosystem, which supports refined and diversified asset allocation strategies for investors [2] Group 2 - The absolute return strategy pool aims to construct portfolios with low correlation among different asset classes, presenting five specific strategies with varying target volatility and historical annualized returns [3] - The relative return strategy focuses on style rotation, capturing market opportunities through switching among growth, value, large-cap, and small-cap styles, with five strategies showing significant annualized returns [4] - Additionally, the article outlines industry rotation strategies designed to exploit structural market opportunities, detailing two specific strategies with their respective annualized returns [4] Group 3 - The article reports on China's successful test of the Long March 10 rocket and the Dream Chaser spacecraft, marking a significant milestone in the country's manned lunar exploration efforts [7] - It outlines the planned timeline for China's lunar exploration program, aiming for a manned moon landing by 2030, with a series of missions leading up to that goal [9] - The article suggests that the space exploration projects, particularly the manned lunar program, are expected to drive growth in new sectors such as space tourism and commercial space ventures during the 14th Five-Year Plan period [9]

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 ...

Investment Rating - The report does not explicitly provide an investment rating for the industry or products discussed [1]. Core Insights - The total scale of the fixed income + funds market reached 23,558.32 billion, with 1,164 products, and 108 of these reached historical net value highs last week [2][20]. - The performance of various fund types showed divergence, with median returns for mixed bond funds (primary and secondary) at -0.08%, and flexible allocation funds at -0.03%, while bond FOFs and mixed FOFs had median returns of 0.26% and 0.35% respectively [2][13]. - The macro environment forecast for Q1 2026 indicates a slowdown, with the CSI 300 index and other indices showing returns of 1.65% and 0.39% respectively as of January 31, 2026 [3][23]. Summary by Sections 1. Fixed Income + Product Performance Tracking - As of January 30, 2026, the total number of fixed income + funds was 1,164, with a total scale of 23,558.32 billion [10]. - Last week, 6 new products were launched, and the median performance of various fund types was as follows: mixed bond type primary (-0.08%), secondary (-0.08%), and flexible allocation (-0.03%) [13][14]. - The conservative, stable, and aggressive fund median returns were 0.01%, -0.12%, and -0.12% respectively [13]. 2. Major Asset Allocation and Industry ETF Rotation Strategy Tracking - The macro environment forecast for Q1 2026 is a slowdown, with the CSI 300 index yielding 1.65% and the total wealth index of government bonds yielding 0.39% [3][23]. - The recommended industry ETFs for January 2026 include coal, steel, securities companies, and banking ETFs, with a combined return of 0.88% last week [3]. 3. Absolute Return Strategy Performance Tracking - The stock-bond 20/80 rebalancing strategy yielded 0.05% last week, while the stock-bond risk parity strategy yielded 0.04% [4]. - The small-cap value strategy showed the highest performance with a year-to-date return of 2.60%, while the combined strategy with macro momentum yielded a cumulative return of 3.82% [4].

- The report introduces a **macro timing model** for asset allocation, which predicts macroeconomic environments using proxy variables and selects optimal asset classes for absolute return portfolios. For Q1 2026, the model forecasts a "Slowdown" environment, with returns of 1.65% for CSI 300, 9.13% for CNI 2000, 8.61% for Nanhua Commodity Index, and 0.39% for ChinaBond Total Treasury Wealth Index[23][30] - A **macro momentum model** is constructed for monthly timing signals, considering factors such as economic growth, inflation, interest rates, exchange rates, and risk sentiment. This model is used for timing equities, bonds, and other major asset classes. Additionally, a multi-cycle gold timing strategy is built using macro, position, volume-price, and sentiment factors. For January 2026, the returns are 1.65% for CSI 300, 0.39% for ChinaBond Total Treasury Wealth Index, and 19.59% for AU9999 contract[23][30] - The **industry ETF rotation strategy** is based on a multi-factor model that incorporates historical fundamentals, expected fundamentals, sentiment, volume-price technicals, and macroeconomic factors. The strategy matches ETFs with their corresponding industry indices and selects ETFs from a benchmark pool of 23 first-level industries. For January 2026, the recommended ETFs include Guotai CSI Coal ETF, Guotai CSI Steel ETF, Guotai CSI All Securities ETF, and Huabao CSI Bank ETF, each with an initial weight of 25%[24][27][28] - The **20/80 stock-bond rebalancing strategy** driven by macro timing achieved a weekly return of 0.05% and a YTD return of 0.56%. The **stock-bond risk parity strategy** achieved a weekly return of 0.04% and a YTD return of 0.47%. When combined with the industry ETF rotation strategy, the enhanced 20/80 rebalancing strategy achieved a weekly return of 0.29% and a YTD return of 0.89%, while the enhanced risk parity strategy achieved a weekly return of 0.13% and a YTD return of 0.55%[4][30][33] - The **stock-bond-gold risk parity strategy** achieved a weekly return of 0.26% and a YTD return of 1.28%, with an annualized volatility of 2.96%, a maximum drawdown of 0.49%, and a Sharpe ratio of 6.90[4][30][35] - The **quantitative fixed-income plus strategy** includes stock-bond rebalancing models with different configurations. For the 10/90 monthly rebalancing strategy, the small-cap value style achieved a YTD return of 1.38%, while the small-cap growth style achieved 1.02%. For the 20/80 monthly rebalancing strategy, the small-cap value style achieved a YTD return of 2.60%, while the small-cap growth style achieved 1.88%. When combined with macro timing, the 20/80 monthly rebalancing strategy achieved a YTD return of 3.82% for the small-cap value style and 2.73% for the small-cap growth style. The 20/80 quarterly rebalancing strategy based on counter-cyclical allocation achieved a YTD return of 1.38% for the PB earnings + small-cap value combination and 1.02% for the PB earnings + small-cap growth combination[4][37][40]

Performance Overview - As of January 23, 2026, the total scale of fixed income + funds reached CNY 21,780.36 billion, with 1,157 products available, of which 824 achieved historical net value highs last week[2] - The median performance of various fund types for the week (January 19-23, 2026) was as follows: mixed bond type I (0.26%), type II (0.47%), partially bond mixed (0.56%), flexible allocation (0.37%), bond type FOF (0.42%), and mixed type FOF (0.63%) [2] Asset Allocation and Strategy - The macro environment forecast for Q1 2026 indicates a slowdown, with the Shanghai Composite Index, China Government Bond Index, and gold contract AU9999 yielding 1.57%, 0.36%, and 14.08% respectively for January[3] - The recommended industry ETFs for January 2026 include coal, steel, securities companies, and banking sectors, with a weekly return of 1.77% and a cumulative return of 1.41% for the month[3] Absolute Return Strategies - The stock-bond 20/80 rebalancing strategy yielded 0.00% last week, with a year-to-date (YTD) return of 0.51%, while the stock-bond risk parity strategy returned 0.13% last week (YTD 0.43%) [4] - The small-cap value strategy within the stock-bond 20/80 combination showed a notable YTD return of 2.95%, while the cumulative return for the small-cap value strategy with macro momentum model reached 4.36%[4] Risk Assessment - Risks identified include factor failure risk, model mis-specification risk, and historical statistical regularity failure risk[5] High-Performing Products - A total of 824 fixed income + products reached historical net value highs, categorized by risk type: conservative (443), balanced (143), and aggressive (238) [19] - Top-performing products include: - Guangfa Jiajia A with a 9.88% increase over the past year[20] - Qianhai Kaiyuan Yuyuan with a 57.69% increase over the past year[20]

长城基金魏建： 获取多元、稳健的投资收益 ◎记者 何漪 在低利率环境延续、权益市场走牛的背景下，纯债资产收益空间持续压缩，市场对"固收+"基金的关注 度不断抬升。 基金公司陆续推出"固收+"基金，长城基金旗下长城兴怡债券正在发行。 长城兴怡债券拟任基金经理魏建表示，投资上，将以债券资产打底，并采取红利中波策略，"当市场出 现机会时，我将用少量基金仓位投资股票、转债，追求进一步增厚基金组合收益"。 坚持"绝对收益策略" 自2008年起，魏建就在公募基金行业，曾从事企业年金、专户组合管理，覆盖了股票、可转债、私募 债、基金、ABS等各类资产研究，拥有丰富的投资研究经验。"尤其是负责企业年金管理后，大部分客 户都追求稳健收益，让我逐渐形成了绝对收益投资策略框架。"魏建说。 魏建认为，投资者须关注风险偏好变化、长债承接情况、物价走势三大变量，这些变量将直接影响债券 市场走势。当前，债券市场已具备一定配置价值。其中，中短端信用债受到资金青睐，叠加摊余成本法 产品到期再配置等因素的影响，其表现相对强势。 2020年，魏建转战长城基金后，开始管理固收基金产品。在魏建看来，相较于非公募产品，公募基金的 受众范围更广，市场对固 ...

Fund Performance - As of January 16, 2026, the total scale of fixed income + funds in the market reached CNY 21,743.24 billion, with 1,152 products available, of which 461 achieved historical net value highs last week[2] - The median performance of various fund types for the week (January 12-16, 2026) was as follows: mixed bond type I (0.13%), mixed bond type II (0.21%), partially bond mixed type (0.28%), flexible allocation type (0.14%), bond type FOF (0.21%), and mixed type FOF (0.34%) [2] - The median returns by risk level were: conservative (0.16%), stable (0.24%), and aggressive (0.25%) [2] Asset Allocation and ETF Rotation - The macro environment forecast for Q1 2026 indicates a "Slowdown," with the returns of major indices as of January 16, 2026: CSI 300 (2.20%), China Government Bond Total Wealth Index (0.03%), and AU9999 contract (6.10%) [3] - The recommended industry ETFs for January 2026 include: China Coal ETF, China Steel ETF, China Securities Company ETF, and China Bank ETF, with a combined return of -2.65% for the week and -0.36% for January [3] Absolute Return Strategy - The macro-timed stock-bond 20/80 rebalancing strategy yielded a return of -0.04% last week, with a year-to-date (YTD) return of 0.51% [4] - The small-cap value style within the stock-bond 20/80 combination showed the best performance with a YTD return of 1.64%, while PB earnings, high dividend, and small-cap growth yielded 0.34%, 0.17%, and 1.23% respectively [4] - The cumulative return for the small-cap value combination based on a macro momentum model was 2.43%, while the PB earnings combined with small-cap value yielded a YTD return of 0.86% [4] Risk and Performance Insights - A total of 461 fixed income + products reached historical net value highs, including 195 mixed bond type I, 123 mixed bond type II, 80 partially bond mixed, 22 flexible allocation, 8 bond type FOF, and 33 mixed type FOF[19] - The performance of absolute return strategies is subject to risks such as factor failure, model mis-specification, and historical statistical regularity failure[4]

Group 1: Fixed Income + Product Performance Tracking - As of January 16, 2026, the total scale of fixed income + funds in the market reached 21,743.24 billion, with 1,152 products, of which 461 achieved historical net value highs last week [2][19] - The median performance of various fund types for the week of January 12-16, 2026, was as follows: mixed bond type I (0.13%), mixed bond type II (0.21%), partially bond mixed type (0.28%), flexible allocation type (0.14%), bond type FOF (0.21%), and mixed type FOF (0.34%) [2][12] - The median returns for conservative, stable, and aggressive funds were 0.16%, 0.24%, and 0.25%, respectively [2][12] Group 2: Major Asset Allocation and Industry ETF Rotation Strategy Tracking - The macro environment forecast for Q1 2026 indicates a "Slowdown," with the returns for the CSI 300, national bond total wealth index, and AU9999 contract as of January 16 being 2.20%, 0.03%, and 6.10%, respectively [3][23] - Recommended industry ETFs for January 2026 include: Guotai CSI Coal ETF, Guotai CSI Steel ETF, Guotai CSI All-Share Securities Company ETF, and Huabao CSI Bank ETF [3][23] - The combined return for the recommended ETFs last week was -2.65%, with a cumulative return of -0.36% for January [3][23] Group 3: Absolute Return Strategy Performance Tracking - The macro-timing driven stock-bond 20/80 rebalancing strategy had a return of -0.04% last week, with a year-to-date (YTD) return of 0.51% [4] - The small-cap value style within the stock-bond 20/80 combination showed the best performance with a YTD return of 1.64% [4] - The cumulative return for the small-cap value combination based on a macro momentum model was 2.43% [4]

Group 1 - The A-share market has initiated a "spring rally" in 2026, with sectors such as commercial aerospace, brain-computer interfaces, and semiconductors showing significant activity, while humanoid robots and innovative drug concept stocks remain vibrant [1] - In this active market environment, investment strategies should include both high-risk, high-reward instruments and those that control drawdowns and reduce volatility, focusing on stable returns and expert-managed thematic funds in sectors like integrated circuits [1][2] - The new fund, Silver Hua Smart Mixed Fund, aims to balance aggressive growth in technology sectors with absolute return strategies, emphasizing risk control and investor experience [3][4] Group 2 - The investment philosophy of the fund manager, Fang Jian, is to buy good companies with growth potential at reasonable prices and hold them long-term, aiming to share in the growth dividends of these companies [2] - Fang Jian emphasizes the importance of selecting growth stocks with strong performance and certainty over the next 3 to 5 years, focusing on core leading companies that have room for growth [2][3] - The fund manager believes that the AI sector represents a significant long-term investment opportunity, driven by the need for technological advancements to address core human challenges [6][7] Group 3 - The AI revolution is seen as a major industrial opportunity, with essential tasks involving efficient data processing reliant on semiconductors and integrated circuits, which are crucial for computational power [7] - Fang Jian identifies robotics and automotive applications as secondary growth industries benefiting from AI, with a particular focus on innovative drug development in China, which has seen significant advancements [8] - The fund manager expresses concerns about potential risks in 2026, particularly regarding the commercialization of AI technology in the U.S. and geopolitical uncertainties that could impact market confidence [8]