对固收 + 与多资产组合而言，股债弱相关意味着"债券对冲权益"的效率偏低 ，单纯依赖股债负相关来提供稳健性的确定性下降。因此， 组合构建上应有意识 下调对"股债对冲"的单一依赖 ，把稳健性更多交给久期结构、曲线配置与品种分散来实现；含权仓位强调可控风险暴露与组合波动管理，让收益更多来自结 构轮动与精选，而非依赖负相关"兜底"。 风险提示：数据统计遗漏、偏误；政策理解不到位；理论推演理解有别；等等。 2025 年以来股债关系由显著"跷跷板"逐渐走向"脱敏"。 25 年上半年"跷跷板"的形成，更多来自风险资产比价与估值再定价 ： 此前利率下行过快、债券价 格偏贵、后续空间被透支；同时权益在科技主线带动下自低位修复、风险偏好回升，资金在股债之间的相对性价比再配置对利率形成阶段性压制。 25 年下半 年，联动强度的削弱更像是低利率约束下债市回归区间震荡的自然结果 ： 利率上端受权益偏强与供给扰动牵制，下端又受资金面稳定与政策预期呵护约束， 债市缺乏触发单边行情的定价力量；在"股强债震荡"的组合下，股债联动向弱相关区间收敛。 股债关联强度的变化显著影响股债组合的对冲效率。 我们发现： 股债相关性绝对值的变化，与股息率的 ...

债券研究 /[Table_Date] 2026.02.05 如何择时股债对冲效率 [Table_Authors] 唐元懋(分析师) 寻找跨资产定价的共振系数 本报告导读： 对冲效率看联动强度，联动强度看风险溢价。股息率是适合跟踪的风险溢价信号， 关键看股息率的边际变动。 投资要点： | | 0755-23976753 | | --- | --- | | | tangyuanmao@gtht.com | | 登记编号 | S0880524040002 | | | 孙飞帆(研究助理) | | | 021-23185647 | | | sunfeifan@gtht.com | | 登记编号 | S0880125042242 | [Table_Report] 相关报告 "做陡曲线"还是"宏观对冲"，基金参与国债期 货的两面 2026.02.01 如何理解 ONRRP 类工具与双向隔夜回购 2026.01.30 承接"存款搬家"，理财投了什么，收益如何 2026.01.30 债券 ETF 规模跃升之后：业绩归因、策略优化与 未来挑战 2026.01.29 强者恒强，关注业绩筑底走向 2026.01.27 证 券 研 究 ...

Core Viewpoint - Gold prices reached a new historical record at the end of 2025, reflecting a robust gold market supported by structural factors. Although the growth rate may slow down in 2026, the overall upward trend is clear. Gold recorded its strongest annual performance since 1979 in 2025, and Moneta Markets expects a continuation of this bull market in 2026, with a target price range of $4,500 to $4,600 [1][2]. Market Trends - The next significant trend opportunity is leaning towards bullish, with a probability of gold prices increasing by 20% to 25% towards the $5,000 mark being much higher than a drop to $3,000. A solid structural support exists at the $3,600 to $3,700 level, providing a strong bottom for gold prices [3][4]. Debt and Inflation Impact - The global debt total has reached $340 trillion, with government debt accounting for over 30%, serving as a long-term driver for gold price increases. In an environment of persistent inflation and high long-term yields, gold's role as a core asset for hedging duration risk and currency depreciation is becoming increasingly irreplaceable [3][4]. Changes in Investment Strategies - The traditional "stock-bond hedge" model's failure has led to increased demand for gold. Investors are reassessing the 60/40 asset allocation ratio, significantly enhancing gold's strategic value in investment portfolios. In 2025, global gold ETF inflows exceeded 700 tons, with notable increases in SPDR Gold Shares holdings. Despite high gold prices, the proportion of global gold ETFs in total assets remains below 3%, far below the historical peak and the recommended allocation of 5% to 10%, indicating substantial room for institutional capital to increase [2][4]. Strategic Support Levels - Moneta Markets identifies $3,000 as a new strategic support level for gold prices. Despite potential short-term disturbances from a strong rebound in the U.S. economy that may boost the dollar and suppress Federal Reserve rate cut expectations, the extent of any price pullback will be limited due to heavy debt burdens and global fiscal pressures. The status of gold as a long-term safe-haven asset will be further solidified with the evolution of global trade patterns and monetary systems [4].

Group 1 - The report highlights two main challenges for asset allocation in 2026: a long-term challenge of reduced hedging effectiveness between stocks and bonds due to low interest rates, and a short-term challenge of market risk preferences returning to the middle from extremes [10][15][16] - The report emphasizes the importance of increasing income and reducing volatility in a low interest rate environment, suggesting that income can be enhanced by broadening asset types, while volatility can be managed through refined risk management tools [17][18][29] Group 2 - The report discusses the shift in risk preferences, noting that in recent years, investor sentiment has polarized, but there is now a trend of returning to a more balanced risk appetite [15][42] - It suggests that low-volatility strategies should incorporate more flexibility, while high-volatility strategies need to focus on risk control, indicating a shift in investment focus towards mid-cap blue-chip stocks and commodities like gold [44][45] Group 3 - The report outlines a dual approach to asset allocation: passive strategies as a shield for risk diversification and active strategies as a sword for enhancing returns, particularly in the context of low interest rates and changing market dynamics [46][47] - It recommends focusing on commodities, overseas assets, and alternative investments like REITs to achieve better risk-adjusted returns in the current market environment [52][54]

Group 1 - The public fund industry in China has reached a historic milestone, with total assets surpassing 34 trillion yuan as of June 30, marking a significant growth in the market [1] - Fund manager Yu Jianfeng from Dongfanghong Asset Management has demonstrated strong performance, with his three managed products achieving notable returns, including a net value growth rate of 26.79% for the Dongfanghong Mingjian Youxuan Fund [1][2] - Yu Jianfeng emphasizes the importance of risk premium in asset pricing, advocating for scientific risk management to achieve excess returns [2][3] Group 2 - Yu Jianfeng's investment strategy focuses on stock-bond hedging, utilizing the low or negative correlation between these asset classes to construct a high Sharpe ratio portfolio [2] - The target volatility model is crucial in Yu's approach, with a specific example of setting a 5% target volatility for the Dongfanghong Anying Zhenxuan Fund, allowing for dynamic adjustments based on market conditions [2][3] - Yu's risk management strategy involves comprehensive monitoring and adjustment throughout the investment process, ensuring that the fund can respond effectively to market fluctuations [3] Group 3 - Yu Jianfeng recognizes the unique characteristics of the Chinese market, such as the differences in market capitalization metrics, and incorporates macroeconomic factors into his investment considerations [3] - For the second half of the year, Yu maintains a cautiously optimistic outlook, suggesting that falling bond yields may increase risk appetite, while emphasizing the need for policy catalysts in the bond market [3] - In a low-interest-rate environment, Yu believes that "fixed income plus" or mixed products can better meet investors' needs for stable growth, leveraging stock-bond hedging and convertible bond strategies [3][4]