● 本报记者 林倩 随着债券市场波动加剧和资管新规的深入推进，券商资管面临着前所未有的转型压力和发展机遇。在接 受中国证券报记者采访的业内人士看来，券商资管需要加速转型，减少对固收业务的依赖，积极发力进 行多元资产配置，创新产品和服务，提升主动管理能力，以适应市场变化和客户需求的多样化，打造差 异化竞争力。同时，券商资管还要加强对投资组合的风险管理。 市场波动与竞争加剧 去年多数券商资管呈现较强韧性，固收类产品发挥了重要作用。但是今年以来，债券市场告别过去几年 单边走强态势，步入高波动震荡格局。如何在复杂多变的市场环境中寻找新的增长点，成为券商资管亟 待解决的关键问题。 华金证券副总裁华一在接受记者采访时表示，今年以来，券商资管在固收类产品方面面临多重挑战，市 场波动加剧了投资难度，收益获取难度增加，产品净值化管理压力增大，信用风险防控难度也在提升。 "当前利率中枢下行至历史低位附近，叠加信用利差收窄，新配置债券票息下降，而存量高收益资产逐 步到期，产品收益面临'再投资'等压力。"国金资管助理总经理杨静涛表示，部分机构通过加久期、加 杠杆增厚收益，但久期拉长至5年以上的产品在利率波动中净值回撤风险陡增。 资管 ...

Group 1 - Bridgewater Associates has become more optimistic about the Chinese stock market following a 14% return in the first half of the year, aided by government stimulus policies related to tariffs [1][2] - The firm has moderately increased its allocation to Chinese equities, citing policy support, an AI investment boom, and relatively low valuations compared to developed markets [1][2] - The All Weather Plus strategy has outperformed many local peers, contributing to a 40% growth in Bridgewater's onshore Chinese assets, reaching over 55 billion RMB (approximately 7.7 billion USD) [2][3] Group 2 - Sovereign wealth funds are increasingly interested in Chinese assets, with 59% of surveyed funds indicating a high or medium priority for investment in China over the next five years, up from 44% the previous year [4][5] - The sentiment is driven by a fear of missing out on the next wave of innovation, particularly in the technology sector, as evidenced by the rise of AI applications and other tech-driven industries [4][5][6] - Goldman Sachs has a bullish outlook on the CSI 300 index, predicting a rise of over 10% by year-end, supported by AI-driven market enthusiasm and improving corporate earnings [7][8]

Group 1 - The core idea of the article revolves around the All-Weather Strategy, which is favored by investors for its robust performance and ability to withstand cyclical fluctuations [1][3] - The All-Weather ETF launched by Bridgewater and State Street in March 2025 has a scale of approximately $204 million as of the end of May, with a leverage level of about 1.8 times [1] - The asset allocation of the All-Weather ETF as of March includes approximately 25% in stocks, 20% in commodities, and 55% in bonds, which is similar to the target allocation of the risk parity product RPAR [3][4] Group 2 - The All-Weather ETF has shown characteristics of a Beta strategy, primarily holding long positions, and has experienced significant fluctuations in the market, with a maximum drawdown of 8.78% shortly after its launch [3][4] - The maximum drawdown of the risk parity ETF RPAR with a leverage level of 1.2 times was about 8%, while the UPAR with a leverage level of 1.7 times had a maximum drawdown of approximately 11% [3] - The All-Weather ETF's drawdown is between the two risk parity ETFs, indicating a strong correlation with similar strategy products [3] Group 3 - The report explores various construction methods for the All-Weather Strategy, starting from the basic risk parity strategy and considering the application of All-Weather thinking within high-correlation equity assets [4][12] - The core idea of risk parity is to equalize the risk contribution of each asset in the portfolio, with a focus on achieving a balanced risk exposure across different macroeconomic scenarios [4][12] Group 4 - The article discusses the concept of "Scenario Parity," which involves identifying asset combinations that benefit from different macroeconomic conditions and allocating them based on risk parity [12][14] - The asset allocation for different macro scenarios includes stocks and commodities during economic growth, nominal bonds and gold during economic downturns, and inflation-protected bonds during rising inflation [12][13] Group 5 - The performance of the "Scenario Parity" strategy has been superior to traditional risk parity, with a static scenario parity combination yielding an annualized return of 5.01% compared to 4.00% for risk parity [17][18] - Dynamic combinations based on macroeconomic factors have shown even better performance, with the dynamic scenario parity strategy achieving an annualized return of 6.57% [17][18] Group 6 - The article emphasizes the importance of macro sensitivity in constructing portfolios, suggesting that using sensitivity measures can lead to more effective asset allocation compared to traditional regression methods [23][24] - The results indicate that portfolios constructed using macro sensitivity measures have better explanatory power and stability compared to those based solely on regression analysis [25][36] Group 7 - The All-Weather strategy can also be applied internally within equity assets, similar to a "barbell strategy," by calculating the exposure of sectors and stocks to various macroeconomic variables [28][29] - The performance of sector-based All-Weather combinations has shown significant improvement, with the scenario parity approach yielding higher returns and lower drawdowns compared to traditional risk parity [34][50]

证 券 研 究 报 告 金融工程周报 华鑫量化全天候策略连续三周新高 ——指数基金投资+ 2025年06月15日 n 分析师：吕思江 n 联系人：刘新源 n SAC编号：S1050522030001 n SAC编号：S1050123100011 n 联系人：武文静 n SAC编号：S1050123070007 市场观点和ETF交易机会 p 【国内市场跟踪】本周市场日均成交放量至1.37万亿，A股4月8日以来忽视经济下行趋势积极交易中美关 系，大盘走至核心点位抛压较大，市场低波动窄幅震荡下情绪较为脆弱，核心指数中仅创业板指小幅上涨 0.22%收红，北证50和科创板领跌，量化基金形成赚钱效应后增量资金持续进入支撑小盘延续领涨，当前 小微盘均在高位且拥挤度持续处于风险提示信号。2025年6月13日至15日，伊朗与以色列爆发激烈军事冲 突，双方互相发动多轮导弹和无人机袭击，伊朗核设施及以色列境内目标遭重创，局势持续升级，风险资 产承压。港股创新药本周大涨11%，南向资金在本周后两个交易日开始卖出ai科技追涨创新药，周买入前 10个股有3只为创新药个股：信达生物、石药集团、三生制药，港股创新药进入泡沫化区间短期转为看空 ...

2025 年 06 月 09 日 全天候策略再思考：多资产及权益 内部的应用实践 联系人 沈思逸 (8621)23297818× shensy@swsresearch.com 本研究报告仅通过邮件提供给 中庚基金 使用。1 ——数说资产配置系列之十二 证券分析师 沈思逸 A0230521070001 shensy@swsresearch.com 邓虎 A0230520070003 denghu@swsresearch.com 权 益 量 化 研 究 请务必仔细阅读正文之后的各项信息披露与声明 量 化 策 略 证 券 研 究 报 告 ⚫ 全天候策略再思考：提到全天候策略，大家首先会想到的便是风险平价模型，但从境内实 践来看，由于我国债券的波动率较低，直接按照资产收益波动作为风险分配标准时债券的 仓位偏高，这也和全天候策略分散宏观风险的想法有一定出入。本报告中，我们从最基础 的风险平价策略出发，探讨全天候策略的各种可能构建方式，除了在大类资产之间进行尝 试，我们也探索在相关性较高的权益资产内部应用全天候思想的可能性。 ⚫ 从风险平价到"场景平价"：从桥水官方对全天候策略的说明来看，该策略是基于增长、 通胀两个维度 ...

文 ｜ 刘方 王子雄 杨洋 刘笑天 赵文荣 美国道富-桥水全天候ETF已于3月5日在美国纳斯达克交易所上市，由道富环球发起并直接管理，由桥水基金作为Su b - a d v is o r，将知名的桥 水全天候策略以ETF形式提供给更广泛的投资者。桥水全天候策略分散投资股票、债券、TIPS、商品等，基于不同经济环境平均分配风 险，寻求跨周期的风险分散。该产品上市后恰逢美股阶段调整，体现了较好的抗波动性。研究启示如下：1）主动管理型的多资产ETF，是 海外产品创新的重要方向；2 ） 在美国ETF降费趋势下，多资产ETF管理费率高于平均水平，多资产配置能力获得了管理费溢价；3 ） 全 天候策略的分散程度高、避免单一市场风险；尤其在波动加大的市场环境下更为适用。 ▍ 产品特征："直接管理人+Sub- adv is o r "双重管理模式，综合费率处于较高水平。 道富-桥水全天候ETF（SPDR Bri d g ewa t e r All We a t h e r ETF，ALLW）于2 0 2 5年3月5日在美国纳斯达克交易所上市，为主动管理、全球 多资产配置型产品。该产品由道富环球基金管理公司发行并直接管理，同时由 ...