2025 年 12 月 16 日 ， 2026 年宏观对冲策略年度行情展望 ---2026 年宏观对冲策略年报 报告导读： 货 研 究 所 我们的观点：2025 年下半年内外政策不确定性情况有所改善。随着全球流动性改善与国内经济企稳，股债商之间的分散化 效果自年中以来明显恢复，资产配置的有效性抬升。海外政策路径逐步明朗，美联储进入降息周期、主要经济体财政扩张发 力，带动全球经济呈现温和复苏迹象并支撑新兴市场需求。在经济和流动性双端改善的背景下，市场风险偏好回升、资产共 振风险下降，宏观对冲策略所处的外部环境较年初显著改善，也在下半年实现盈利。 我们的逻辑：今年宏观对冲管理人整体较为分化。上半年由于宏观波动率较大以及全球宏观不确定因素，风险平价指数的回 撤与波动都大于资产轮动，清明行情中风险平价策略因其净多头的属性，相较资产轮动策略回撤较大，而部分资产轮动类管 理人能实现部分盈利。但在下半年的行情中，由于风险平价类的管理人被动持有资产的特质，因此在权益的牛市和避险情绪 集中释放带来的黄金新高中收益明显，实现较大的收益增幅，表现比资产轮动类管理人更为强劲。 投资展望：2026 年宏观对冲策略的配置性价比提升，风险 ...

Core Viewpoint - The article discusses the rising popularity of multi-asset strategies, including macro hedging, which have shown strong performance in recent months, indicating a potential shift in investment trends [4][5][6]. Performance Summary - Macro strategies have achieved an average return of nearly 25% by September 30, while multi-asset strategies returned approximately 19%, outperforming most mainstream strategies except for equities [6]. - In the first quarter, the performance of various strategies was as follows: equity strategies at 31.19%, multi-asset strategies at 18.92%, and bond strategies at 9.26% [7]. Market Context - The article notes that market distortions caused by policy fluctuations have led to temporary asset mispricing, but as market sentiment stabilizes, the correlation between assets is returning to normal, revitalizing macro and multi-asset strategies [8][11]. - The current market environment is compared to the rise of quantitative strategies in 2018 and 2019, suggesting that multi-asset strategies are at a similar critical point of recognition and acceptance [12][17]. Advantages of Multi-Asset Strategies - Multi-asset strategies are highlighted for their diversified sources of returns, controlled drawdowns, rapid recovery, and adaptability across market cycles, which contribute to stable absolute returns [10]. - The article emphasizes that while multi-asset strategies may not perform as well in a strong upward market compared to pure equity assets, they offer a better risk-return profile overall [10]. Transition in Investment Approaches - There is a noted shift among asset managers from single-asset strategies to multi-asset strategies, driven by the need for risk diversification and multiple sources of returns [17]. - Various private equity firms are adopting multi-asset strategies, with examples including macro hedging strategies that utilize a combination of beta and alpha approaches to capture excess returns globally [18][19][20]. Specific Strategy Examples - Longxue employs a macro strategy with 70% in beta and 30% in alpha, using a risk parity approach for global asset allocation [18]. - Shida Xinghui focuses on an all-weather allocation strategy, with a similar beta/alpha split [18]. - Yuanchuang uses a risk budgeting model to allocate assets across different strategies, including economic and sentiment cycles [19]. - Zhaorong Hu emphasizes a quantitative approach to stock selection while incorporating convertible bonds and futures for enhanced returns [20]. - Guoyuan has developed a multi-asset strategy that combines top-down and bottom-up approaches to optimize risk-adjusted returns [21].

Core Viewpoint - The article presents a metaphorical exploration of various investment strategies in the private equity space, likening them to legendary weapons, each with unique strengths and weaknesses, suitable for different market conditions and investor preferences [2][6]. Group 1: Investment Strategies - The first strategy, "Qinglong Yanyue Dao" (Subjective Long), relies heavily on the fund manager's ability to select stocks and time the market, performing well in bullish markets with clear themes [9][10][15]. - The second strategy, "Xuedizi" (Quantitative Long), utilizes complex algorithms to identify stocks based on specific metrics, excelling in active markets with high trading volumes [18][20][23]. - The third strategy, "Zhuge Lian" (Macro Hedging), involves top-down asset allocation across stocks, bonds, and commodities, generally effective in diverse market conditions but can fail during extreme events [26][30][31]. - The fourth strategy, "Fang Tian Hua Ji" (CTA Strategy), focuses on futures markets, capturing trends regardless of price direction, suitable for markets with significant price movements [33][35][39]. - The fifth strategy, "Taiji Shuang Jian" (Market Neutral), aims to generate absolute returns by hedging market risks, effective in bear and volatile markets but may underperform in bull markets [41][45][48]. - The sixth strategy, "Ruan Wei Jia" (Fixed Income +), combines high-quality bonds with a small allocation to riskier assets, providing stability but vulnerable to rising interest rates [50][53][56]. - The seventh strategy, "Xiu Hua Zhen" (Arbitrage), exploits price discrepancies across markets, generating small but cumulative profits, effective in volatile conditions but reliant on market efficiency [58][61][63]. Group 2: Strategy Suitability - Each strategy is designed for specific market conditions, with subjective long strategies thriving in bullish environments, while quantitative strategies excel in active trading scenarios [15][23]. - Macro hedging strategies are versatile but can falter during extreme market events, while CTA strategies benefit from significant price trends [31][39]. - Market neutral strategies provide a buffer against market downturns, whereas fixed income plus strategies are contingent on interest rate movements [48][56]. - Arbitrage strategies are most effective in volatile markets but depend on the quick correction of price discrepancies [63]. Group 3: Conclusion - The article concludes by encouraging investors to choose strategies that align with their risk preferences, highlighting the importance of understanding each strategy's unique attributes and market applicability [67][69].

Core Viewpoint - The private equity fund industry has seen significant growth over the past decade, with its management scale increasing from 1.73 trillion to over 3 times that amount, indicating a strong demand and interest in this investment category [2]. Group 1: Growth of Private Equity - Ten years ago, there were only 21 private equity firms with over 10 billion in assets, while today that number has increased to 81 [4]. - Despite the high entry barriers for ordinary investors, private equity continues to attract attention and favor due to its flexibility [6]. Group 2: Flexibility of Private Equity - Private equity funds are highly flexible, catering to diverse and personalized investment needs, contrasting with public funds which are more standardized [8]. - The flexibility of private equity is attributed to several key "superpowers" [13]. Group 3: Key Advantages of Private Equity - **Flexible Positioning**: Unlike public funds, which have strict position limits (minimum 80% in stocks), private equity funds can adjust their positions freely, allowing for better performance in volatile or bear markets [15]. - **Broader Investment Scope**: Private equity funds can invest in a wider range of assets, including commodities and foreign exchange, beyond just stocks and bonds [19]. - **Use of Financial Derivatives**: Private equity funds can utilize various financial derivatives, which are often restricted for public funds, allowing for more complex strategies such as hedging and short selling [23]. - **Leverage Investment**: Private equity funds commonly use leverage, enhancing capital efficiency by borrowing to invest, which is less common in public funds [32].

Core Insights - The report indicates that from the beginning of 2025, macro hedge strategies, particularly risk parity strategies, face significant challenges due to increased policy uncertainty and market volatility, leading to a higher correlation among asset classes compared to the end of the previous year [2][3] - The performance of risk parity strategies has been notably poor, with a net value index of 0.989 as of May 16, 2025, reflecting a slight loss, while asset rotation strategies have shown better performance with a net value index of 1.013 [19][20] - The report suggests a cautious outlook for macro hedge strategies in the second half of 2025, recommending a reduction in allocations to risk parity managers and a focus on their ability to manage tail risks and dynamically adjust positions [3][19] Group 1: Performance Review and Strategy Classification - Macro hedge strategies are categorized into two primary types: "risk parity" and "asset rotation," with further distinctions based on subjective versus quantitative trading approaches [6][8] - The risk parity strategy aims for balanced risk allocation across various macroeconomic environments, while asset rotation strategies focus on actively trading based on economic conditions and market predictions [9][13] - In the first half of 2025, risk parity strategies experienced a maximum drawdown of -4.09%, while asset rotation strategies had a maximum drawdown of -3.46%, indicating that risk parity strategies underperformed [19][20] Group 2: Market Correlation and Asset Class Analysis - The correlation between major asset classes has increased in 2025, with the report noting a significant positive correlation between commodities and equity indices, while the negative correlation between bonds and equities has weakened [29][30] - The risk parity index showed the highest correlation with the commodity index at 0.607, while the asset rotation index had a higher correlation with the mid-cap index at 0.675, indicating differing dependencies on asset classes [30][31] - The report highlights that risk parity strategies are more reliant on bond performance compared to asset rotation strategies, which are more dependent on equity performance [39][44] Group 3: Investment Outlook and Recommendations - The report advises investors to maintain a cautious stance on macro hedge strategies, particularly risk parity strategies, due to anticipated continued volatility and potential negative returns [3][19] - It emphasizes the importance of evaluating managers' capabilities in managing tail risks and their flexibility in adjusting positions in response to market conditions [3][19] - The report also suggests focusing on asset rotation strategies that demonstrate advantages in specific asset classes to enhance portfolio resilience [3][19]