202[Table_ReportInfo] 6 年 02 月 25 日 证券研究报告•金融工程专题报告 资产配置研究系列三 基于 BLACK-LITTERMAN 模型 融合资产择时与风格轮动的资产配置研究 在全球经济周期缩短、地缘政治冲突与技术革命叠加的背景下，市场"不确定性" 已成为投资管理的核心挑战，构建抗脆弱的组合是资本稳健增值的关键。传统均 值-方差模型（MVO）虽为资产配置基石，却因输入参数敏感性高、难以系统融合 主观观点而受限。Black-Litterman（BL）模型通过贝叶斯方法将市场均衡收益与 投资者观点结合，在量化严谨性中兼容主观判断，为机构资产配置提供新范式。 本文基于 BL模型原理，构建"战略+战术"双轮驱动的资产配置模型。战略端以 资产择时与回归分析生成资产收益后验分布，提升配置决策的前瞻性；战术端设 计 A股风格轮动策略，动态跟踪市场风格切换优化投资组合，增强 A股资产收益 表现。模型实现了长期战略配置与短期战术调整的有机结合，为大类资产配置提 供了系统性解决方案。 资产择时层 债券端立足经济基本面（经济增长、地产周期）与市场利率（质押回购、国债利 率）择时中债国债；商品端围绕黄金 ...

Macro - Federal Reserve official Harmack stated that current interest rates are close to neutral levels and may remain unchanged for a long time [1] Central Bank - The central bank announced plans to lower bank liability costs to promote low comprehensive financing costs in society and will normalize government bond trading operations [2] Artificial Intelligence - The sell-side believes that AI safety and identification sectors are entering the early stages of regulatory catalysts, with the National Copyright Administration launching a special action for film copyright protection [2] - AI applications such as Doubao and Qianwen are launching Spring Festival activities and new features, including movie ticket purchases and red envelope distribution [2] - New image generation model Seedream 5.0 has been launched by Jianying [2] - A legendary programmer proposed the idea of using ultra-long optical fibers to replace memory; Amazon plans to launch an AI content trading market; Google intends to issue a century bond [2] Robotics - Alibaba's Damo Academy has open-sourced the embodied brain model RynnBrain, granting robots the ability to have spatiotemporal memory [2] Satellite - Zhejiang Province proposed exploring the construction of a multi-dimensional computing power integration system and forward-looking layout of spatiotemporal intelligence and space computing infrastructure [3] Semiconductor - IPO progress: Shenghe Jingwei's Sci-Tech Innovation Board IPO will be reviewed on February 24 [3] - Price increase dynamics: LianYade has raised prices for most LED display products; the latest performance guidance from SMIC and TSMC indicates stable industry demand [3] Future Industries - Qiushi Network published an article outlining six major directions for future industries, covering metaverse, brain-computer interfaces, quantum information, humanoid robots, generative artificial intelligence, biomanufacturing, future networks, and new energy storage [4] Strategy Observation - On Tuesday, trading volume was 2.11 trillion, further shrinking; the index is in a shrinking oscillation pattern before the holiday, with clear pressure above and support below [5] - The media sector (AI applications, copyright, film), home appliances, and coal led the gains, showing a mixed rotation characteristic [5] - After a broad market rally, funds quickly focused on the most short-term attention-grabbing ByteDance AI applications and computing power sectors, driving the entire media sector [5] - However, there is internal logic differentiation within the media sector, and caution is advised regarding chasing high [5] - Other sectors that surged yesterday, such as optical modules and space photovoltaics, mostly adjusted moderately, but the trend remains intact [5] - Robotics and other sectors are experiencing a rebound in the rotation [5] - The market lacks unexpected catalysts before the holiday, maintaining structural rotation; the strategy should focus on familiar main lines or seize low-buy opportunities during rotation [5]

Core Viewpoint - The recent upward trend in the net value curve of the CSI 2000 Enhanced ETF (159552) indicates a market-driven style shift, with investors recognizing a wave of capital inflow [1] Group 1: Market Trends - Historical data shows that each significant increase in trading volume is accompanied by a strong rise in small-cap stocks, with the CSI 2000 outperforming the CSI 300 by 196% during the 2014-2015 market surge [2] - Since January, the average daily trading volume of A-shares has stabilized above 2.5 trillion, signaling the start of a new style rotation [3] Group 2: Performance and Strategy - Past trends indicate that small-cap outperformance typically lasts 2-3 months following a breakthrough in trading volume, suggesting potential for continuation in the current cycle [5] - The current macroeconomic environment, characterized by loose monetary policy and supportive policies for emerging industries, provides a solid foundation for the continuation of small-cap performance [5] - The CSI 2000 Enhanced ETF serves as an effective tool to capture this historical opportunity, tracking the CSI 2000 index closely and benefiting from liquidity premiums, with an annualized excess return of 19.87% since inception [5] Group 3: Future Outlook - The ongoing macro liquidity supports small-cap stocks, while emerging industry transformations open growth opportunities for small enterprises, particularly in dynamic sectors like AI and high-end manufacturing [6] - The CSI 1000 Enhanced ETF (159680) has also shown strength recently, with an annualized excess return of 10.49%, allowing investors to build a "high elasticity + stable growth" small-cap portfolio based on their risk preferences [6]

Core Viewpoint - The article discusses the rapid changes in the A-share market style, highlighting the influence of recent government policies on emergency management equipment innovation and the implications for investment strategies in the technology sector [1][3][4]. Group 1: Government Policies and Initiatives - The Ministry of Emergency Management and the Ministry of Industry and Information Technology issued guidelines to accelerate innovation in emergency management equipment, aiming to tackle over 20 key core technologies and develop more than 20 innovative equipment types by the end of 2027 [3]. - Recent favorable policies from various government departments aim to enhance the investment in technology innovation, including the promotion of artificial intelligence in manufacturing [4]. Group 2: Market Dynamics and Trends - The A-share market has experienced rapid style shifts, with funds rotating between technology, cyclical, and dividend sectors, leading to uncertainty among investors [1][6]. - The market is currently influenced by three main variables: the impact of deleveraging on bullish sentiment, the adjustment of large-cap stocks affecting theme speculation, and the potential for earnings surprises as the reporting season approaches [5][8]. - As of January 26, the financing balance in the Shanghai and Shenzhen stock exchanges remained high, indicating sustained market activity despite recent adjustments [7].

1月23日，小盘持续强势。数据显示，截至14时53分，中证2000增强ETF(159552)涨1.07%，盘中冲击三连升；资金热度不减，据Wind Level2实时行情结合均 价预估，盘中净流入约3700万，截至发稿，该基金获资金连续4日净流入。 | 分时 多日 1分 5分 15分 30分 60分 日 周 月 1 | 综合屏 F9 前复权 超级叠加 画线 工具 6 2 >> | 4 159552.SZ[中证2000增强ETF] 2026/01/23 收2.275 幅1.07%(0.024) 开2.262 高2.276 低2.245 均2.260 量 33.13万 -- | | | | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 2 275 +0.024 +1.07% | 2024/06/28-2026/01/23(384日)▼ | 3+ 159552.SZ(中证2000增强ETF) 932000.CSI(中证2000) | 图 | ...

Core Viewpoint - The China Securities 2000 Enhanced ETF (159552) experienced a decline of 1.24% as of the midday close on January 15, with a trading volume of 24.8 million yuan [1] Group 1: ETF Performance - The China Securities 2000 Enhanced ETF (159552) closed at 2.155 yuan, with a year-to-date return of 117.44% since its inception on June 19, 2024 [1] - The ETF has shown a monthly return of 10.54% [1] Group 2: Top Holdings Performance - Among the top holdings, Haopeng Technology increased by 0.55%, Asia-Pacific Shares rose by 5.29%, and Fuchun Environmental gained 0.40% [1] - Conversely, Spring Autumn Electronics fell by 1.52%, Hailide fell by 1.71%, Junya Technology dropped by 3.96%, and StarNet RuiJie decreased by 3.81% [1] - Notably, Focus Technology saw a significant decline of 8.12% [1]

Macro - The People's Bank of China plans to implement a moderately loose monetary policy by 2026, establishing a mechanism to provide liquidity to non-bank institutions under specific scenarios to support capital markets [1] Satellite Internet - The first commercial rocket company in China, Kegong Rocket, is set to change ownership with an overall valuation of approximately 11.2 billion yuan [2] Semiconductor - NVIDIA's BlueField-4 is expected to reconstruct the AI storage hierarchy, potentially opening up new demand for NAND [3] - NVIDIA's CEO Jensen Huang announced at CES that the era of "physical AI" has arrived [7] Pricing Strategies - Seagate plans to increase product prices by 10% each quarter [4] Non-ferrous Metals - China has announced a ban on all dual-use items for military purposes to Japan, affecting critical metal materials such as rare earths, tungsten, molybdenum, indium, lithium, and titanium alloys [5] Artificial Intelligence - Market discussions regarding NVIDIA's next-generation Rubin platform specifications indicate no issues with downgrading [6] Robotics - Tesla's official recruitment platform has posted job openings related to "covering materials and soft products" for the Optimus robot [8] New Energy - A meeting for the power and energy storage battery industry is scheduled for January 7 [9] - Feedback from the industry indicates extremely low inventory levels of lithium carbonate and strong demand, with two listed companies in lithium iron phosphate confirming price increases [10] - Australia has significantly increased subsidies for home battery systems [11] - The organic silicon industry plans to intensify production cuts [12] Brain-Computer Interface - The brain-computer interface "unicorn" Qiangna Technology has completed a financing round of 2 billion yuan [13] Intelligent Driving - NVIDIA has released an open-source model family for autonomous driving, aimed at addressing long-tail issues and accelerating the implementation of intelligent driving [14] Market Dynamics - Guosheng Technology and Jiamei Packaging are under suspension for verification; Fenglong Co. has issued a warning about stock fluctuations; several commercial aerospace and brain-computer interface companies have released announcements regarding stock movements [15] - In December 2025, the number of new A-share accounts opened on the Shanghai Stock Exchange increased by approximately 9% month-on-month and surged by 30.55% year-on-year [15] Strategy Observation - On Tuesday, trading volume reached 2.81 trillion yuan, with a significant increase in market sentiment; however, rapid gains and the activation of financial sectors may raise concerns about the "healthy bull" rhythm [16] - The regulatory authorities have released signals of concern through suspensions and announcements, which may provide divergence opportunities for the market, but substantial cooling requires sustained measures [16] - Sectors such as non-ferrous metals, non-bank financials, and chemicals led the gains, indicating active institutional investment [16] - The thematic sectors, particularly those related to Musk's industries (intelligent driving and robotics), performed actively; while the semiconductor sector (e.g., storage) has solid logic, it has not yet become a focal point, with potential for future attention [16] - Currently, large funds tend to operate around mainline capacity varieties [16]

Group 1 - The core viewpoint of the article highlights the performance of the Zhongzheng 2000 Enhanced ETF (159552), which rose by 0.53% to 2.073 yuan with a trading volume of 23.31 million yuan as of the midday close [1] - The fund's performance benchmark is the Zhongzheng 2000 Index return, managed by China Merchants Fund Management Co., with a return of 106.10% since its establishment on June 19, 2024, and a monthly return of 3.78% [1] Group 2 - Key stocks in the Zhongzheng 2000 Enhanced ETF include Haopeng Technology, which increased by 1.04%, and Asia-Pacific Shares, which rose by 3.66% [1] - Other notable stock performances include Fuchun Environmental up by 0.81%, while StarNet Ruijie fell by 5.20% and Junya Technology decreased by 0.83% [1]

Core Viewpoint - The China Securities 2000 Enhanced ETF (159552) experienced a slight decline of 0.19% as of the midday close on November 14, with a trading volume of 23.94 million yuan [1] Group 1: ETF Performance - The China Securities 2000 Enhanced ETF (159552) closed at 2.056 yuan [1] - Since its inception on June 19, 2024, the fund has achieved a return of 105.89% [1] - The fund's performance over the past month has been a return of 3.56% [1] Group 2: Top Holdings Performance - Among the top holdings, Haopeng Technology increased by 1.51% [1] - Asia-Pacific Shares decreased by 1.45% [1] - Fuchun Environmental rose by 0.74% [1] - Fosda increased by 0.82% [1] - Spring Autumn Electronics fell by 1.35% [1] - Hailide maintained a stable price with no change [1] - Junya Technology increased by 0.55% [1] - StarNet Ruijie decreased by 1.24% [1] - New Asia Electronics fell by 0.04% [1] - Focus Technology declined by 1.61% [1]

Core Viewpoint - The China Securities 2000 Enhanced ETF (159552) has shown a positive performance with a 1.38% increase, indicating strong market interest and potential investment opportunities in the underlying stocks [1] Group 1: ETF Performance - The China Securities 2000 Enhanced ETF (159552) closed at 2.063 yuan with a trading volume of 24.8063 million yuan [1] - Since its inception on June 19, 2024, the fund has achieved a return of 103.80%, with a monthly return of 1.91% [1] Group 2: Top Holdings - Key stocks in the ETF include: - Haopeng Technology up 4.34% - Asia-Pacific Shares up 1.39% - Fuchun Environmental up 0.19% - Fostar up 1.79% - Spring Autumn Electronics up 1.29% - Hailide up 2.49% - Junya Technology up 0.63% - StarNet RuiJie up 2.29% - New Asia Electronics up 1.24% - Focus Technology up 0.50% [1]