1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Based on fund holdings, financial and real estate industry funds can be classified into three categories: "Finance and Real Estate + Satellite", "Sub - sector Tracks", and "Sector Rotation". Most fund managers adopt the "Sub - sector Tracks" strategy [4]. - Three aspects of the overall investment ability analysis of financial and real estate industry funds: 1) Compared with the sector index, financial and real estate industry funds perform slightly weaker, which is related to the low differentiation within the financial and real estate sectors; 2) The relatively good - at industries are banking and non - bank finance, while the relatively weak - at industry is real estate; 3) Fund managers of financial and real estate industry funds have stronger stock - picking abilities for financial and real estate stocks compared to those of all - industry funds [4]. - Seven dimensions to compare financial and real estate industry funds with different style characteristics: 1) There is a negative correlation between turnover rate and performance; 2) High - performing financial and real estate theme products pay more attention to ROE; 3) The market - value style of financial and real estate funds' stock holdings is generally large - cap; 4) The left - and right - side investment positions of financial and real estate funds are at the median level of the market; 5) Find fund managers with high - confidence stock - picking abilities through the skewness and kurtosis coefficients of stock - picking return distribution; 6) Characterize fund managers' environmental adaptability through finding similar funds and analyzing their performance in favorable and unfavorable environments; 7) The performance distribution of sub - sector rotation is scattered. There are no obvious similarities in the stock holdings of high - performing products in the past year, and the performance of each product in each quarter varies greatly [4]. - How to screen the observation list of financial and real estate industry funds: Screen with reference to the following quantitative indicators: 1) Excess performance momentum; 2) Performance in favorable and unfavorable environments; 3) Stock - picking ability; 4) Left - and right - side investment ability; 5) Other considerations: The tenure of the fund manager should be as long as possible, and the fund size should not be too large or too small [4]. 3. Summary According to Relevant Catalogs 3.1 Financial and Real Estate Industry Fund Classification - **Classification Methods**: Classify based on the allocation and rotation ratios of funds in the primary and secondary industries of the financial and real estate sectors in the past three years, including "Finance and Real Estate + Satellite" (average allocation ratio between 60% - 70%), "Sector Rotation" (average allocation ratio below 60%), "Sub - sector Tracks" (average allocation ratio of sub - sectors > 50% and the latest allocation ratio > 60%), "Financial and Real Estate Rotation" (average unilateral annualized turnover rate of primary industries within the financial and real estate sectors > 60%), and "Financial and Real Estate Equilibrium" (other financial and real estate industry funds) [12]. - **Classification Results and Representative Funds**: Financial and real estate industry funds mainly adopt the "Sub - sector Tracks" strategy, with prominent scale and quantity. Most of these funds are concentrated in large - finance and banking. There are also a small number of "Finance and Real Estate + Satellite" and "Sector Rotation" products. Currently, there are few products focusing on sub - sectors such as real estate, securities, and insurance [19]. - **Overall Situation of Financial and Real Estate Index Funds**: In the past year, the scale of financial and real estate index funds has been much larger than that of financial and real estate active equity funds. In 2025, the scale of financial and real estate index funds increased significantly, especially in Q3 of 2025. Most of the large - scale financial and real estate index funds are ETF products, and many of them track the securities company index, while some also track non - bank - related or Hong Kong - related financial indices [20][24]. - **Overview of All Tracked Indices of Financial and Real Estate Index Funds**: The report lists various indices tracked by financial and real estate index funds, including the scale, number of tracking funds, and the largest - scale tracking fund for each index [25]. 3.2 Holding Characteristics: Can Financial and Real Estate Industry Funds Create Positive Excess Returns? - **Overall Performance vs. Passive Index**: As a whole, financial and real estate industry funds cannot outperform passive indices. This is because the financial and real estate sectors have performed well since 2024, and the low differentiation within the sectors makes it difficult for industry funds to create higher Alpha in an upward environment [30]. - **Excess Returns at the Industry Level**: Financial and real estate industry funds are relatively good at banking and non - bank finance but relatively weak at real estate [31]. - **Stock - picking Ability for Financial and Real Estate Stocks**: Fund managers of financial and real estate industry funds have stronger stock - picking abilities for financial and real estate stocks compared to those of all - industry funds. The weaker performance of the funds compared to the index is mainly due to insufficient positions [35]. - **Holding Characteristics Compared with Balanced Funds**: Financial and real estate industry funds and balanced funds tend to have similar preferences for sub - sectors, but financial and real estate industry funds focus on banking and insurance earlier. In terms of individual stock allocation, financial and real estate industry funds and balanced funds focus on the same key stocks, but financial and real estate industry funds currently focus more on banking, while balanced funds also have relatively high allocations in some real estate and diversified finance stocks [41]. - **Cluster Analysis of Financial and Real Estate Industry Funds**: Through cluster analysis, financial and real estate industry funds can be roughly divided into five types, including those with rotation styles, real - estate - chain theme funds, large - finance theme funds with different港股 allocation ratios, etc. [45]. 3.3 Comparison of Financial and Real Estate Funds with Different Style Characteristics - **Turnover and Trading Dimension**: There is a negative correlation between turnover rate and performance. In the past year, high - performing products generally adopted low - turnover investment strategies. In the past two years, there are high - performing products in both moderate - turnover and low - turnover categories [48]. - **Stock - holding Style Dimension**: High - performing financial and real estate theme products pay more attention to ROE. The market - value style of financial and real estate funds' stock holdings is generally large - cap, and most high - performing products in the past two years are of large - cap or medium - large - cap styles [52][56]. - **Stock - holding Popularity Dimension**: The proportion of the financial and real estate sector in the market - preferred stocks has increased significantly since 2024, and the structure has changed significantly. Most high - performing products focused on market - preferred stocks in 25H1 [60]. - **Left - and Right - side Dimension**: The left - side buying coefficients of financial and real estate funds are at the median level of active equities. There are high - performing products in both left - side and right - side investment strategies [63]. - **Stock - picking Ability Dimension**: By calculating the stock - picking return distribution of financial and real estate funds, products with moderately right - skewed, moderately peaked, and high mean/standard - deviation values are selected. Funds such as E Fund Financial Industry A, BOC Financial and Real Estate A, and Fullgoal Financial and Real Estate Industry A have more suitable stock - picking ability indicators [69]. - **Favorable and Unfavorable Environment Dimension**: Different types of products show different market - environment adaptability results. Most financial and real estate theme funds perform better in favorable environments than in unfavorable environments, and there are also some products with balanced performance in both environments [72]. - **Sub - sector Rotation Dimension**: The sector - rotation performance of financial and real estate theme funds is highly polarized. There are actively rotating products, products that淡化 rotation, and products that rotate moderately [75]. - **High - performing Products in the Past Year**: The top - ten high - performing financial and real estate theme products in the past year mostly had a performance of over 15%, and some leading products achieved a return of over 20%. There are no significant similarities in the stock holdings of these products, and their performance in each quarter also varies greatly [79]. - **QDII Active Financial and Real Estate Funds**: There are currently three QDII active equity funds focusing on global real - estate investment opportunities, with different investment characteristics in terms of investment regions and stock - holding concentration [83]. 3.4 Financial and Real Estate Theme Fund Observation List - **Selection Criteria**: Select products based on quantitative indicators such as excess performance momentum, performance in favorable and unfavorable environments, stock - picking ability, left - and right - side investment ability, and also consider factors such as the tenure of the fund manager and fund size. For new fund managers, the time - length and size requirements can be appropriately relaxed [88]. - **Observation List and Data Summary**: The report lists the observation list of financial and real estate funds, including information such as fund classification, code, manager, scale, and performance indicators [89]. - **Short - term Supplementary List**: Considering products that have shifted towards the financial and real estate sectors in the short term, a supplementary list is added, which focuses more on the one - year performance of the funds [90].

Core Viewpoint - The sudden resignation of Hu Jie, the index investment director of Huabao Fund, who managed assets worth 101.36 billion yuan, raises concerns about the future of the company's passive investment strategy and highlights the contrasting performance between its ETF and active equity funds [1][19][20]. Group 1: Hu Jie's Departure - Hu Jie has served nearly 20 years at Huabao Fund, with over 13 years as a fund manager, and her departure is significant due to her management of 16 index funds totaling 101.36 billion yuan, which is over half of the company's index fund assets [1][3][19]. - Despite her contributions to the rapid expansion of the ETF scale, her funds underperformed, with a one-year return of 9.33%, significantly lagging behind the 20.4% increase of the CSI 300 index [19][24]. - Hu Jie's exit has exposed the long-standing structural issues within Huabao Fund's equity funds, where the passive investment segment has thrived while active equity funds have struggled [19][20]. Group 2: Performance of Funds - The non-cash ETF scale reached 127.88 billion yuan by the end of 2025, marking a 56.38% year-on-year growth, nearly doubling in two years [19][28]. - In contrast, the active equity fund management scale has remained below 20 billion yuan for the past two years, with several products being liquidated due to insufficient scale [20][31]. - Huabao Fund's ETF products have been successful, with 34 new funds launched since 2025, including 26 ETFs, covering various market hotspots [28][30]. Group 3: Management Changes - Huabao Fund has undergone significant management changes, including the resignation of its chairman and several executives, which may impact the company's strategic direction [14][33][36]. - The new leadership aims to strengthen passive equity funds while potentially sidelining active equity strategies, raising questions about how the company will fill the void left by Hu Jie [36][37]. - The overall fund management scale of Huabao Fund reached 416.53 billion yuan by the end of 2025, with the non-cash ETF contributing significantly to this growth [36].

Core Viewpoint - Hu Jie has resigned from multiple funds managed by Huabao Fund Management Co., Ltd., including the Huabao CSI Hong Kong-Shenzhen New Consumption Index and Huabao CSI Sci-Tech Innovation 50 ETF [1][5][9]. Fund Performance Summary - **Huabao CSI Hong Kong-Shenzhen New Consumption Index A/C**: Established on April 11, 2023, with a year-to-date return of -0.14% and a cumulative net value of 1.3040 yuan [1]. - **Huabao CSI Sci-Tech Innovation 50 ETF**: Established on August 25, 2021, with a year-to-date return of 0.84% and a cumulative net value of 1.0850 yuan [1]. - **Huabao Securities ETF**: Established on August 30, 2016, with a year-to-date return of -3.28% and a cumulative net value of 1.1206 yuan [2]. - **Huabao Medical ETF**: Established on May 21, 2015, with a year-to-date return of 3.68% and a cumulative net value of 0.4702 yuan [2]. - **Huabao Military Industry ETF**: Established on August 5, 2016, with a year-to-date return of 7.88% and a cumulative net value of 1.7146 yuan [2]. - **Huabao Consumer Leader ETF**: Established on September 28, 2021, with a year-to-date return of -0.95% and a cumulative net value of 0.7753 yuan [3]. - **Huabao Technology Leader ETF**: Established on July 22, 2019, with a year-to-date return of 3.85% and a cumulative net value of 2.0646 yuan [3]. - **Huabao Bank ETF**: Established on July 18, 2017, with a year-to-date return of -5.42% and a cumulative net value of 1.5586 yuan [4]. - **Huabao Technology ETF**: Established on August 30, 2019, with a year-to-date return of 3.61% and a cumulative net value of 1.7809 yuan [4]. Fund Manager Changes - Hu Jie has been replaced as the fund manager for several funds, including the Huabao CSI Hong Kong-Shenzhen New Consumption Index and Huabao CSI Sci-Tech Innovation 50 ETF, with new managers appointed [5][6][9][10].

Investment Rating - The report does not explicitly provide an investment rating for the industry or products discussed [1]. Core Insights - The total scale of the fixed income + funds market reached 23,558.32 billion, with 1,164 products, and 108 of these reached historical net value highs last week [2][20]. - The performance of various fund types showed divergence, with median returns for mixed bond funds (primary and secondary) at -0.08%, and flexible allocation funds at -0.03%, while bond FOFs and mixed FOFs had median returns of 0.26% and 0.35% respectively [2][13]. - The macro environment forecast for Q1 2026 indicates a slowdown, with the CSI 300 index and other indices showing returns of 1.65% and 0.39% respectively as of January 31, 2026 [3][23]. Summary by Sections 1. Fixed Income + Product Performance Tracking - As of January 30, 2026, the total number of fixed income + funds was 1,164, with a total scale of 23,558.32 billion [10]. - Last week, 6 new products were launched, and the median performance of various fund types was as follows: mixed bond type primary (-0.08%), secondary (-0.08%), and flexible allocation (-0.03%) [13][14]. - The conservative, stable, and aggressive fund median returns were 0.01%, -0.12%, and -0.12% respectively [13]. 2. Major Asset Allocation and Industry ETF Rotation Strategy Tracking - The macro environment forecast for Q1 2026 is a slowdown, with the CSI 300 index yielding 1.65% and the total wealth index of government bonds yielding 0.39% [3][23]. - The recommended industry ETFs for January 2026 include coal, steel, securities companies, and banking ETFs, with a combined return of 0.88% last week [3]. 3. Absolute Return Strategy Performance Tracking - The stock-bond 20/80 rebalancing strategy yielded 0.05% last week, while the stock-bond risk parity strategy yielded 0.04% [4]. - The small-cap value strategy showed the highest performance with a year-to-date return of 2.60%, while the combined strategy with macro momentum yielded a cumulative return of 3.82% [4].

- The report introduces a **macro timing model** for asset allocation, which predicts macroeconomic environments using proxy variables and selects optimal asset classes for absolute return portfolios. For Q1 2026, the model forecasts a "Slowdown" environment, with returns of 1.65% for CSI 300, 9.13% for CNI 2000, 8.61% for Nanhua Commodity Index, and 0.39% for ChinaBond Total Treasury Wealth Index[23][30] - A **macro momentum model** is constructed for monthly timing signals, considering factors such as economic growth, inflation, interest rates, exchange rates, and risk sentiment. This model is used for timing equities, bonds, and other major asset classes. Additionally, a multi-cycle gold timing strategy is built using macro, position, volume-price, and sentiment factors. For January 2026, the returns are 1.65% for CSI 300, 0.39% for ChinaBond Total Treasury Wealth Index, and 19.59% for AU9999 contract[23][30] - The **industry ETF rotation strategy** is based on a multi-factor model that incorporates historical fundamentals, expected fundamentals, sentiment, volume-price technicals, and macroeconomic factors. The strategy matches ETFs with their corresponding industry indices and selects ETFs from a benchmark pool of 23 first-level industries. For January 2026, the recommended ETFs include Guotai CSI Coal ETF, Guotai CSI Steel ETF, Guotai CSI All Securities ETF, and Huabao CSI Bank ETF, each with an initial weight of 25%[24][27][28] - The **20/80 stock-bond rebalancing strategy** driven by macro timing achieved a weekly return of 0.05% and a YTD return of 0.56%. The **stock-bond risk parity strategy** achieved a weekly return of 0.04% and a YTD return of 0.47%. When combined with the industry ETF rotation strategy, the enhanced 20/80 rebalancing strategy achieved a weekly return of 0.29% and a YTD return of 0.89%, while the enhanced risk parity strategy achieved a weekly return of 0.13% and a YTD return of 0.55%[4][30][33] - The **stock-bond-gold risk parity strategy** achieved a weekly return of 0.26% and a YTD return of 1.28%, with an annualized volatility of 2.96%, a maximum drawdown of 0.49%, and a Sharpe ratio of 6.90[4][30][35] - The **quantitative fixed-income plus strategy** includes stock-bond rebalancing models with different configurations. For the 10/90 monthly rebalancing strategy, the small-cap value style achieved a YTD return of 1.38%, while the small-cap growth style achieved 1.02%. For the 20/80 monthly rebalancing strategy, the small-cap value style achieved a YTD return of 2.60%, while the small-cap growth style achieved 1.88%. When combined with macro timing, the 20/80 monthly rebalancing strategy achieved a YTD return of 3.82% for the small-cap value style and 2.73% for the small-cap growth style. The 20/80 quarterly rebalancing strategy based on counter-cyclical allocation achieved a YTD return of 1.38% for the PB earnings + small-cap value combination and 1.02% for the PB earnings + small-cap growth combination[4][37][40]

Performance Overview - As of January 23, 2026, the total scale of fixed income + funds reached CNY 21,780.36 billion, with 1,157 products available, of which 824 achieved historical net value highs last week[2] - The median performance of various fund types for the week (January 19-23, 2026) was as follows: mixed bond type I (0.26%), type II (0.47%), partially bond mixed (0.56%), flexible allocation (0.37%), bond type FOF (0.42%), and mixed type FOF (0.63%) [2] Asset Allocation and Strategy - The macro environment forecast for Q1 2026 indicates a slowdown, with the Shanghai Composite Index, China Government Bond Index, and gold contract AU9999 yielding 1.57%, 0.36%, and 14.08% respectively for January[3] - The recommended industry ETFs for January 2026 include coal, steel, securities companies, and banking sectors, with a weekly return of 1.77% and a cumulative return of 1.41% for the month[3] Absolute Return Strategies - The stock-bond 20/80 rebalancing strategy yielded 0.00% last week, with a year-to-date (YTD) return of 0.51%, while the stock-bond risk parity strategy returned 0.13% last week (YTD 0.43%) [4] - The small-cap value strategy within the stock-bond 20/80 combination showed a notable YTD return of 2.95%, while the cumulative return for the small-cap value strategy with macro momentum model reached 4.36%[4] Risk Assessment - Risks identified include factor failure risk, model mis-specification risk, and historical statistical regularity failure risk[5] High-Performing Products - A total of 824 fixed income + products reached historical net value highs, categorized by risk type: conservative (443), balanced (143), and aggressive (238) [19] - Top-performing products include: - Guangfa Jiajia A with a 9.88% increase over the past year[20] - Qianhai Kaiyuan Yuyuan with a 57.69% increase over the past year[20]

Group 1 - The report indicates that as of January 23, 2026, the total scale of fixed income + funds in the market reached 21,780.36 billion, with 1,157 products, and 824 of them achieved historical net value highs last week [2][18] - The performance median of various fund types for the week of January 19-23, 2026, showed differentiation: mixed bond type I (0.26%), II (0.47%), and other types [14][16] - The conservative, stable, and aggressive fund median returns were 0.32%, 0.47%, and 0.59% respectively [14][16] Group 2 - The macro environment forecast for Q1 2026 indicates a slowdown, with the Shanghai and Shenzhen 300 index, the total wealth index of government bonds, and the AU9999 contract yielding 1.57%, 0.36%, and 14.08% respectively [3] - The industry ETF rotation strategy for January 2026 suggests focusing on coal, steel, securities, and banking ETFs, with a weekly return of 1.77% and a cumulative return of 1.41% for the month [3][4] Group 3 - The mixed stock-bond strategy's performance showed a 0.00% return for the week, with a year-to-date return of 0.51%, while the stock-bond risk parity strategy yielded 0.13% for the week and 0.43% year-to-date [4] - The small-cap value style in the stock-bond 20/80 combination performed best with a year-to-date return of 2.95%, while the PB earnings, high dividend, and small-cap growth strategies yielded 1.08%, 0.78%, and 2.31% respectively [4][10]

Fund Performance - As of January 16, 2026, the total scale of fixed income + funds in the market reached CNY 21,743.24 billion, with 1,152 products available, of which 461 achieved historical net value highs last week[2] - The median performance of various fund types for the week (January 12-16, 2026) was as follows: mixed bond type I (0.13%), mixed bond type II (0.21%), partially bond mixed type (0.28%), flexible allocation type (0.14%), bond type FOF (0.21%), and mixed type FOF (0.34%) [2] - The median returns by risk level were: conservative (0.16%), stable (0.24%), and aggressive (0.25%) [2] Asset Allocation and ETF Rotation - The macro environment forecast for Q1 2026 indicates a "Slowdown," with the returns of major indices as of January 16, 2026: CSI 300 (2.20%), China Government Bond Total Wealth Index (0.03%), and AU9999 contract (6.10%) [3] - The recommended industry ETFs for January 2026 include: China Coal ETF, China Steel ETF, China Securities Company ETF, and China Bank ETF, with a combined return of -2.65% for the week and -0.36% for January [3] Absolute Return Strategy - The macro-timed stock-bond 20/80 rebalancing strategy yielded a return of -0.04% last week, with a year-to-date (YTD) return of 0.51% [4] - The small-cap value style within the stock-bond 20/80 combination showed the best performance with a YTD return of 1.64%, while PB earnings, high dividend, and small-cap growth yielded 0.34%, 0.17%, and 1.23% respectively [4] - The cumulative return for the small-cap value combination based on a macro momentum model was 2.43%, while the PB earnings combined with small-cap value yielded a YTD return of 0.86% [4] Risk and Performance Insights - A total of 461 fixed income + products reached historical net value highs, including 195 mixed bond type I, 123 mixed bond type II, 80 partially bond mixed, 22 flexible allocation, 8 bond type FOF, and 33 mixed type FOF[19] - The performance of absolute return strategies is subject to risks such as factor failure, model mis-specification, and historical statistical regularity failure[4]

Group 1: Fixed Income + Product Performance Tracking - As of January 16, 2026, the total scale of fixed income + funds in the market reached 21,743.24 billion, with 1,152 products, of which 461 achieved historical net value highs last week [2][19] - The median performance of various fund types for the week of January 12-16, 2026, was as follows: mixed bond type I (0.13%), mixed bond type II (0.21%), partially bond mixed type (0.28%), flexible allocation type (0.14%), bond type FOF (0.21%), and mixed type FOF (0.34%) [2][12] - The median returns for conservative, stable, and aggressive funds were 0.16%, 0.24%, and 0.25%, respectively [2][12] Group 2: Major Asset Allocation and Industry ETF Rotation Strategy Tracking - The macro environment forecast for Q1 2026 indicates a "Slowdown," with the returns for the CSI 300, national bond total wealth index, and AU9999 contract as of January 16 being 2.20%, 0.03%, and 6.10%, respectively [3][23] - Recommended industry ETFs for January 2026 include: Guotai CSI Coal ETF, Guotai CSI Steel ETF, Guotai CSI All-Share Securities Company ETF, and Huabao CSI Bank ETF [3][23] - The combined return for the recommended ETFs last week was -2.65%, with a cumulative return of -0.36% for January [3][23] Group 3: Absolute Return Strategy Performance Tracking - The macro-timing driven stock-bond 20/80 rebalancing strategy had a return of -0.04% last week, with a year-to-date (YTD) return of 0.51% [4] - The small-cap value style within the stock-bond 20/80 combination showed the best performance with a YTD return of 1.64% [4] - The cumulative return for the small-cap value combination based on a macro momentum model was 2.43% [4]

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]