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 6.80% and 12.44% by 2025 respectively [1] - As of December 26, 2025, the total market size of fixed income plus funds reached 21,730.41 billion, with 1,147 products, and 233 of these funds achieved historical net value highs last week [2][18] - The report highlights that 25 new products were launched last week, with median performance across various fund types showing divergence, such as mixed bond type I (0.09%), mixed bond type II (0.29%), and flexible allocation type (0.31%) [2][14] Group 2 - The macro environment forecast for Q4 2025 suggests an inflationary trend, with the CSI 300 index yielding 2.88% since December, while the total wealth index of government bonds yielded -0.10% [3] - The report recommends focusing on specific industry ETFs for December 2025, including Southern CSI Shenwan Nonferrous Metals ETF and Huabao CSI Bank ETF, with a combined return of 3.08% last week [3] - The absolute return strategy performance tracking indicates that the stock-bond 20/80 rebalancing strategy yielded 0.45% last week, while the stock-bond risk parity strategy yielded 0.28% [4] Group 3 - The report details that the small-cap growth style within the stock-bond 20/80 combination performed exceptionally well, achieving a year-to-date return of 12.44% [4] - The report also notes that the conservative, balanced, and aggressive fund median returns were 0.14%, 0.27%, and 0.39% respectively for the week ending December 26, 2025 [2][14] - The absolute return strategy performance tracking shows that the combined strategy of stock-bond and industry ETF rotation yielded returns of 0.68% and 0.31% respectively last week [4]

Core Insights - Index investing has experienced rapid development due to policy guidance, market evolution, and changing investor demands [1][4] - The past decade has shown a clear trend towards indexation and institutionalization in the A-share market, making it increasingly difficult to achieve excess returns [1][4] - Investors typically focus on two types of returns: Beta (market returns from volatility) and Alpha (returns that exceed the market), with a growing interest in absolute return strategies [1][4] Group 1: Index Investment Strategies - Changcheng Fund has systematically organized its index investment strategies, including replication index strategies, "Index+" strategies, and absolute return strategies to provide investors with a richer selection [1][4] - The replication index strategy covers various styles of return exposure, aiming to provide clients with foundational and diverse standard tools [1][4] - Recent products launched by Changcheng Fund include a series of standard replication index products such as the Low Volatility Dividend 100, High Dividend Hong Kong Stock Connect, and others [1][4] Group 2: "Index+" and Absolute Return Strategies - The "Index+" strategy aims to capture both Beta and Alpha, allowing products to follow the market while also generating excess returns [2][5] - The CSI 500 index is highlighted as a balanced style index that seeks to uncover investment opportunities through breadth and balance [2][5] - The absolute return strategy employs quantitative analysis to dynamically control exposure across different equity indices and markets, helping clients achieve absolute return through quantitative investment strategies [6] - Two main product directions are identified: passive investment strategies based on time and space distribution (e.g., barbell and grid strategies) and a fully quantitative process from strategic to tactical levels [6]

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 ...

Core Viewpoint - The article emphasizes the investment philosophy of Liu Zhihui, a fund manager at GF Fund, focusing on achieving absolute returns in various market conditions, particularly through the management of the GF Jiyuan Bond Fund, which has achieved positive returns for seven consecutive years [1][2]. Group 1: Investment Strategy - Liu Zhihui's investment strategy is centered around absolute return opportunities, avoiding extreme relative rankings, and aiming for positive returns regardless of market conditions [2]. - The GF Jiyuan Bond Fund has maintained a cumulative return rate in the top 20% of the market since February 2020, with a probability of achieving positive returns over the past year exceeding 98% [1][2]. - The investment framework consists of three main components: "Dao, Fa, Shu," reflecting a combination of strong and weak investment strategies developed over Liu's career [3][4]. Group 2: Risk Management - Liu emphasizes proactive risk management, focusing on preemptive measures rather than reactive ones, utilizing strategies such as trend-following, value investing, and position management [2][4]. - A three-tiered warning system for drawdowns is established within the fixed income team, allowing for timely adjustments to positions in response to market conditions [2][6]. - The approach includes avoiding long-term holdings of declining assets and ensuring investments have a safety margin and favorable potential returns [2][4]. Group 3: Market Adaptation - Liu's investment decisions are adaptable to changing market conditions, as demonstrated during the significant market fluctuations in 2022, where he shifted strategies based on macroeconomic scenarios [3][6]. - The GF Jiyuan Bond Fund will continue to apply the same absolute return focus as it transitions to the new GF Jihui Bond Fund, aiming for stable net value growth in various market environments [3][6]. - Liu's strategy includes dynamic adjustments to asset allocation, such as increasing exposure to high-growth sectors like AI and innovative pharmaceuticals during market downturns, while also managing bond positions to mitigate interest rate risks [6].

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]

- The report introduces a macro timing-driven stock-bond 20/80 rebalancing strategy and a stock-bond risk parity strategy, both enhanced by industry ETF rotation. The stock-bond 20/80 rebalancing strategy achieved a YTD return of 8.28%, while the stock-bond risk parity strategy achieved a YTD return of 3.40%[4][30][39] - The macro timing model predicts the Q4 macro environment as "Inflation". Based on this, the stock-bond 20/80 rebalancing strategy and risk parity strategy are constructed to optimize asset allocation under inflationary conditions[24][30][31] - The industry ETF rotation strategy is built using multi-factor models, including historical fundamentals, expected fundamentals, sentiment, technical indicators, and macroeconomic factors. The strategy recommends focusing on ETFs such as the Guolian Semiconductor ETF, Guotai Securities ETF, Guotai Communication Equipment ETF, GF New Energy Vehicle Battery ETF, and Huaxia Animation Game ETF[25][27][28] - The report evaluates the performance of quantitative fixed-income+ strategies, including PB profitability, high dividend yield, small-cap value, and small-cap growth factors. Under a non-timing 20/80 rebalancing strategy, small-cap value achieved a YTD return of 11.72%, while small-cap growth achieved a YTD return of 11.56%. When combined with macro timing, small-cap value achieved a YTD return of 12.32%, and small-cap growth achieved a YTD return of 13.17%[4][39][42] - The inverse cycle configuration strategy combines PB profitability and small-cap value or small-cap growth factors under a 20/80 quarterly rebalancing framework. Both combinations achieved a YTD return of 5.74%[39][42] - The report provides detailed backtesting results for various strategies, including annualized volatility, maximum drawdown, and Sharpe ratios. For example, the macro timing-driven stock-bond 20/80 rebalancing strategy has an annualized volatility of 3.53%, a maximum drawdown of 1.78%, and a Sharpe ratio of 1.72[30][39][42] - The quantitative fixed-income+ strategies are tested under different configurations, including non-timing 10/90 and 20/80 monthly rebalancing, macro timing 20/80 monthly rebalancing, and inverse cycle 20/80 quarterly rebalancing. The report provides net value curves and drawdown charts for these strategies[39][40][42]

Core Insights - The anticipated increase in equity allocation from wealth management funds is expected to exceed 100 billion yuan in the second half of the year and throughout 2026, driven by a strong performance in the A-share market and rising investor interest in asset allocation [1][2] Market Performance - The A-share market has shown significant strength, with the Shanghai Composite Index surpassing 3900 points and achieving a 1.32% increase, marking a ten-year high [1] - The total trading volume in the Shanghai, Shenzhen, and Beijing markets reached 26,718 billion yuan, an increase of 4,746 billion yuan from the previous trading day [1] Product Trends - The performance of bank wealth management "fixed income plus" products is closely linked to equity market trends, with mixed-asset products increasing from 6,470.76 billion yuan at the end of June to 6,548.11 billion yuan by the end of September, reflecting a growth of 77 billion yuan [2] - The issuance of equity-related wealth management products has significantly increased, with 12 equity products launched this year compared to only 2 last year, and 202 mixed products compared to 169 last year [4] Investment Strategies - Banks are employing various strategies for equity asset allocation, with a focus on sectors such as technology, manufacturing, gold, and dividend stocks, which have shown strong performance [2][3] - The use of multi-strategy and risk management approaches is becoming crucial, with strategies like "fixed income plus options" being implemented to mitigate risks while participating in equity markets [5][6] Future Outlook - The market for public REITs is expected to grow significantly, with projections indicating a total market value exceeding 200 billion yuan by 2025, driven by institutional demand and the unique advantages of certain assets in a low-interest-rate environment [6]

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: Fixed Income + Product Performance Tracking - As of September 5, 2025, the total scale of fixed income + funds in the market is 1,785.415 billion, with 1,179 products, of which 94 reached historical net value highs last week [2][18] - The median performance of various fund types for the week (September 1-5, 2025) is as follows: mixed bond type I (0.09%), mixed bond type II (0.05%), and bond type FOF (0.14%) [2][12] - The performance of conservative, stable, and aggressive funds for the week is 0.07%, 0.06%, and 0.05% respectively [2][12] Group 2: Major Asset Allocation and Industry ETF Rotation Strategy Tracking - The macro environment forecast for Q3 2025 indicates an inflation scenario, with the performance of major indices as follows: CSI 300 (-0.81%), national debt total wealth index (0.11%), and AU9999 contract (3.78%) [3][22] - Recommended industry ETFs for September 2025 include: Huafu CSI Artificial Intelligence Industry ETF, Guotai CSI All-Share Securities Company ETF, Guotai CSI All-Share Communication Equipment ETF, and GF CSI Media ETF [3][22] - The combined return for the recommended ETFs last week was -3.04%, with a cumulative return of -3.04% for September [3][22] Group 3: Absolute Return Strategy Performance Tracking - The macro-timing driven stock-bond 20/80 rebalancing strategy had a return of -0.15% last week, with a year-to-date (YTD) return of 3.77% [4] - The small-cap growth style in the stock-bond 20/80 combination showed the best performance with a YTD return of 10.99% [4] - The cumulative return for the small-cap growth combination based on a macro momentum model is 12.48% [4]