以下文章来源于中泰证券资管 ，作者文/唐军 中泰证券资管 . 中泰证券（上海）资产管理有限公司官方公众订阅号，投资路上的好朋友。 唐军在"多元资产配置"的路上越来越动作丝滑。 回看一季度，他降低可转债仓位，对黄金略有加持；二季度则加大美元债的配置，增加电力、高股息类 的 ETF 品种，在利率下行空间不大的背景下减持短期国债 ETF …… 隐含了他的宏观判断，也非常匹配他的三段式框架逻辑：一看信用扩张与流动性趋势，二看市场预期是 否过度，三看资产之间是否足够 " 分散且互补 " 。 唐军管这套方法叫 " 配置先行 " ，这是他从量化、宏观研究一路走来的总结。 从最初用复杂模型选因子，到如今更在意 " 逻辑是否稳得住 " ，这位数学出身的 FOF 经理，逐渐把 投资变成一件关于框架和节奏的事儿。 在最新撰写的这篇文章中，唐军抛出一个很有意思的观点： 为什么就连诺奖加持的组合优化模型，也 难逃 " 追涨杀跌 " 的宿命？ 他的分析很逻辑，结论很简单，就是我们不要被历史数据、"易得性"数据牵着鼻子走。 唐军的研究和配置方式是 " 反人性 " 的，像桥水那样复杂又克制；但他给普通投资者的建议，却意外 地朴素好用。 上半 ...

Core Viewpoint - The article discusses the relationship between asset allocation and chasing gains, highlighting that both concepts often appear intertwined in investment practices, despite their theoretical differences [2][3]. Group 1: Asset Allocation and Chasing Gains - The observation that "allocation" is often linked with "chasing gains" suggests that high perceived value in certain assets typically occurs during price increases, while assets with prolonged losses are rarely considered for allocation [2]. - Traditional investment theories, such as Markowitz's Modern Portfolio Theory (MPT), indicate that asset allocation can lead to chasing gains due to reliance on historical data for expected returns and volatility [7][12]. - The tendency to chase gains is not solely a flaw in the models but arises from using past performance to predict future outcomes, which can lead to higher allocations in assets that have recently performed well [14]. Group 2: Behavioral Finance and Subjective Expectations - Behavioral finance concepts, such as availability bias, explain why investors may chase gains based on easily accessible information rather than comprehensive data [18]. - The influence of social media and real-time information can amplify the tendency to chase gains, as investors react to trending assets without thorough analysis [18]. Group 3: Strategies to Avoid Chasing Gains - Establishing an objective analytical framework is crucial for independent judgment and avoiding the common behavior of chasing gains [20]. - Differentiating between long-term logic and short-term variables can help investors avoid misapplying long-term trends to short-term market movements [27]. - Diversifying asset allocation can provide a buffer against the pressure to chase gains, allowing investors to maintain their strategies even when market conditions are unfavorable [29]. - Understanding the distinction between style beta and alpha is essential for evaluating fund performance and avoiding the impulse to chase funds based solely on past performance [32].

近期与投资者交流，多次被问及标题中的这个问题，因此特别整理成文，希望能帮助大家理解我们的策 略。 首先想说的是，和纯债类产品相比，"固收+"的回撤并不必然更大。 看到"固收+"这个词，很多投资者的第一反应是，都加了预期收益和风险更高的资产，"固收+"的回撤自然 会大一点。事实上，这种想法并不准确。所谓"固收+"产品，指的是在资产组合理论的支持下，基于股、 债等大类资产具有的不同机会，以及对国债期货的对冲工具运用，在控制组合回撤风险的基础上，力争实 现长期收益高于固收平均收益目标的产品。由于不同资产的表现并不趋同，通过大类资产配置的变化，是 有可能让组合的风险收益特征变得平缓，叠加对冲工具的进一步运用，实现组合波动降低的目标。 以我和商园波管理的中泰双利债券为例，我们的目标是做出回撤控制（净值下跌）水平接近于纯债、甚至 与中短债基金相近、但长期收益又能比纯债基金更好一点的"固收+"产品。自2022年9月27日成立以来，截 至2025年3月31日，中泰双利债券A份额的份额净值增长率为9.97%（同期业绩基准收益率5.93%）。更重 要的是， 该产品A份额的最大回撤为0.66%，回撤幅度不仅显著优于混合债券型二级指 ...