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 ...

浙商国际表示，看好行业相对景气且受益于政策利好的新能源、创新药、AI科技等；业绩和股价走势 稳健且受益于政策利好的低估值国央企红利板块；基本面相对独立且受益于降息周期的香港本地银行、 电信及公用事业红利股。另外，我们认为港股2026春季表现将由"AI应用+PPI改善+扩大内需"三轮驱 动，建议关注相关优质标的。 值得关注的标的： 1月28日盘中，港股短线走高，恒生指数涨超1%创4年多新高，恒生科技指数涨超0.7%。消息面上，阿 里通义开源Qwen3-TTS，百度、腾讯先后宣布旗下AI应用春节发放数亿元现金。花旗预计阿里巴巴的 通义千问也将加入红包促销行列。从历史上看，春节活动能有效帮助互联网公司为其消费级应用吸引大 量关注。花旗预计2026年活动后，中国AI助手应用的采用将快速推进。 网罗港股消费核心资产：港股消费ETF（513230）； 全球医药全产业链代表：恒生医药ETF（159892）； 汇集中国AI科技概念公司：恒生互联网ETF（513330）。 港股核心宽基：恒生ETF（159920）； AI+平台经济：恒生科技指数ETF（513180）； ...

Market Strategy - The index is expected to maintain a volatile trend, with a focus on mid-cap blue chips as the direction for investment [2][6] - The market is currently in a phase of adjustment, with a long-term upward trend anticipated. A shift away from high-risk preferences is seen as beneficial for a healthy market recovery [2][6] Industry Strategy: Coal - The coal industry is transitioning from scale expansion to quality improvement, with a positive long-term outlook for the sector [3][6] - Recent developments include the strategic merger of Henan Energy Group and China Pingmei Shenma Group, indicating significant progress in industry consolidation [6] - The National Development and Reform Commission has released guidelines for the clean and efficient use of coal, emphasizing systematic and refined regulation [6] - Policies aimed at replacing outdated capacity with advanced production capacity signal a shift towards technological and institutional innovation in the energy sector [6] Industry Strategy: Real Estate - The effectiveness of real estate policies is more about their intensity rather than quantity, with expectations for impactful measures such as interest rate cuts and direct financial support for households and enterprises [4][6] - Recent publications have reinforced the signals for stabilizing expectations in the real estate market, suggesting a stronger policy combination may emerge in 2026 [4][6]

Group 1 - The Hong Kong stock market indices opened higher, with the Hang Seng Index rising by 0.66%, the Hang Seng China Enterprises Index increasing by 0.58%, and the Hang Seng Tech Index up by 0.55% [1] - The Federal Reserve's decision to lower interest rates by 25 basis points in December 2025 aligns with market expectations, indicating a pause in rate cuts in January 2024, while maintaining a target rate midpoint of 3.4% for next year [1] - Citic Securities anticipates that the Federal Reserve will pause rate cuts in January, with potential for two more cuts totaling 25 basis points under Powell's leadership, while the market expects a positive outlook for the economy and AI's impact on productivity [1] Group 2 - China's economy is undergoing a critical transformation, with the "14th Five-Year Plan" emphasizing the strengthening of the real economy, promoting technological innovation, and expanding domestic demand [2] - The recent interest rate cut by the Federal Reserve is expected to lead to a resurgence of global capital flows into Hong Kong, which is seen as an attractive investment destination due to its valuation advantages and high dividend characteristics [2] - According to Jianyin International, the investment logic for Hong Kong stocks has shifted from traditional valuation recovery to a revaluation based on new productive forces and high-quality development, with moderate expansion expected in valuations and earnings by 2026 [2] Group 3 - Notable investment targets include the core broad-based Hong Kong stocks: Hang Seng ETF (159920), AI and platform economy: Hang Seng Tech Index ETF (513180), and focusing on Chinese enterprises in Hong Kong: Hang Seng China Enterprises ETF (159850) [3]

Core Viewpoint - The Hong Kong stock market is experiencing a notable decline, with the Hang Seng Index falling below the 26,000-point mark, influenced by internal policy focus and expectations for a year-end rally [1] Group 1: Market Performance - The Hang Seng Index opened down 0.44%, while the Hang Seng Tech Index decreased by 0.51% [1] - Popular ETFs such as the Hang Seng ETF (159920) and the Hang Seng China Enterprises ETF (159850) also saw slight declines of around 0.5% [1] Group 2: Economic Outlook - The market is shifting focus from external factors to internal policies, particularly looking forward to the Central Economic Work Conference in mid-December [1] - The "14th Five-Year Plan" is expected to be further detailed, setting the tone for fiscal measures leading up to 2026 [1] Group 3: Global Economic Influences - The U.S. labor market showed significant cooling in September, with the unemployment rate reaching 4.4%, the highest since October 2021 [1] - Expectations for a rate cut by the Federal Reserve in December have increased, which may improve market sentiment in Hong Kong [1] - A decrease in global risk-free interest rates is anticipated to release more liquidity, potentially attracting overseas funds back to the Hong Kong market [1] - The decline of the U.S. dollar index is expected to support the appreciation of the Renminbi, benefiting Hong Kong's Renminbi-denominated assets [1] Group 4: Notable Investment Targets - Key investment targets include the core broad-based Hang Seng ETF (159920), the AI and platform economy-focused Hang Seng Tech Index ETF (513180), and the Hang Seng China Enterprises ETF (159850) [2]

Group 1: Report Industry Investment Rating - No information provided regarding the industry investment rating Group 2: Core Viewpoints of the Report - In the recent week, most A - share ETFs declined, while gold ETFs led the gains with a 3.26% increase, and the technology sector mostly fell. Funds were deployed in the science - innovation sector against the trend, and the ETFs targeting SGE Gold 9999 had the largest net inflow of funds [2][9] Group 3: Summary by Directory 1. Index Product Establishment, Raising, and Application - **Product Establishment and Listing**: Five products were listed, with a concentration on Hong Kong Stock Connect products. Eight products were established, including index - enhanced products such as Zhongjia Beizheng 50 Component Index Enhanced A and Huatai Baorui Shanghai Stock Exchange Science and Technology Innovation Board Comprehensive Index Enhanced A [1][4] - **Product Issuance Information**: Two index products ended their fundraising in the coming week, and no index products were set to start fundraising [6] - **Product Application Information**: A total of 28 index products were applied for in the recent week, maintaining the diversified characteristics of industry themes, including 18 theme funds and 6 linked funds [7] 2. ETF Market Review - **Overall ETF Performance**: Most A - share ETFs declined, with the declines of Kechuang 50ETF, ChiNext 50ETF, and CSI 500ETF being - 3.83%, - 3.67%, and - 1.24% respectively. Among Hong Kong - stock ETFs, only the Hang Seng ETF rose by 1.30%, and among US - stock ETFs, the S&P 500ETF rose by 2.68%. In commodity ETFs, the non - ferrous ETF rose by 1.26%, and gold rebounded strongly by 3.26% [2][9] - **Industry - based A - share ETF Performance**: The medical category rose significantly, with the Chinese medicine ETF having the highest increase of 3.61%. The chemical ETF also had a relatively high increase of 3.38%. The technology category declined significantly, with the communication ETF, electronic ETF, and chip ETF having declines of - 6.99%, - 5.62%, and - 4.81% respectively [2][13] - **Cross - border ETF Performance**: In the recent week, the major broad - based indices of cross - border markets had mixed performance. The France CAC40 had the highest increase of 2.77%. Among corresponding ETFs, Boshi Hang Seng Healthcare ETF and Hua'an France CAC40ETF rose significantly, while Huatai Baorui CSI Korea Exchange Sino - Korean Semiconductor ETF declined by 4.20% [16] 3. ETF Fund Flow - **Overall ETF Scale**: As of November 14, 2025, there were 1304 ETFs in the entire market, with a total scale of 563.3719 billion yuan, a decrease of 3.914 billion yuan from the previous week. A - share and cross - border ETFs ranked first and second in scale [22] - **Non - monetary ETF Fund Inflow and Outflow**: Among non - monetary ETFs, the ETFs targeting SGE Gold 9999 had the largest net inflow of 5.567 billion yuan, while the ETFs of CSI A500 had the largest net outflow of 4.04 billion yuan [24] - **High - Inflow and High - Liquidity ETFs**: Huaxia Shanghai Stock Exchange Science and Technology Innovation Board 50ETF and Southern ChiNext Artificial Intelligence ETF had high fund inflows of 2.495 billion yuan and 2.028 billion yuan respectively. Haifutong CSI Short - term Financing ETF and E Fund CSI Hong Kong Securities Investment Theme ETF had high liquidity [26]

Core Viewpoint - The Hong Kong stock market will be closed for one day due to the Chung Yeung Festival holiday, with trading resuming on October 30 [1] Group 1: Market Impact - The suspension of trading affects ETFs related to Hong Kong stocks, such as the Hang Seng Tech Index ETF (513180), Hang Seng Internet ETF (513330), and Hang Seng Healthcare ETF (159892), although they can still be traded in the secondary market due to their listing on mainland exchanges [1] - A-shares experienced a significant rise in early trading, with the ChiNext 50 Index increasing by nearly 2% and the Hang Seng ETF (159920) rising by nearly 1%, driven by expectations of a Federal Reserve interest rate cut and trade talks [1]

Group 1 - The "Second Golden Unicorn Best Investment Advisor Selection" event is currently ongoing, with over 3,000 professional investment advisors participating in simulated trading competitions [1] - The event aims to provide a platform for investment advisors to showcase their capabilities, expand services, and enhance skills, thereby promoting the healthy development of China's wealth management industry [1] Group 2 - The top ten most frequently bought ETFs as of September 15 include Communication ETF, Broker ETF, and Sci-Tech Chip ETF, indicating strong interest in these sectors [2] - The top ten ETFs by purchase amount include the China Concept Internet ETF and Broker ETF, suggesting significant capital flow into these investment vehicles [3] Group 3 - The data for the top bought stocks/ETFs is based on the frequency of purchases by all participating advisors, while the purchase amount data reflects the total investment amounts in the top ten stocks/ETFs [4] - The competition includes categories for stock simulation, on-site ETF simulation, and public fund simulation, with specific trading rules regarding holding proportions, maximum drawdown, and rebalancing frequency [4]

Core Viewpoint - The article discusses the current state of the bond market amidst fluctuations in the stock market, emphasizing a long-term low interest rate environment and its implications for investment strategies in bonds and equities [1][2]. Group 1: Bond Market Analysis - The bond market experienced a decline, with 30-year government bonds dropping over 3 basis points, influenced by the cooling stock market and external interventions affecting bond futures [1][2]. - The article argues that the low interest rate environment is expected to persist, suggesting that there is no significant upward pressure on interest rates in the medium to long term [4][6]. - It highlights that government bonds saw a substantial increase in issuance, with a reported 7.656 trillion yuan in new government bonds in the first half of the year, marking a year-on-year growth of 21.3% [8][12]. Group 2: Investment Strategies - The article advises investors to align their investment choices with their risk tolerance, suggesting that low-risk funds should consider short-term bond funds and fixed-income products as viable options [15]. - It emphasizes maintaining a balanced portfolio between stocks and bonds, indicating that a diversified approach remains a cost-effective strategy [16]. - The article also encourages embracing high-quality equity investments in a low interest rate environment, while recognizing the challenges in identifying and diversifying quality stocks [16]. Group 3: Market Trends and Insights - The article notes the ongoing volatility in the Hong Kong stock market, particularly highlighting the decline of Meituan's stock, which has reached a new low for the year [19]. - It discusses the launch of a new technology-focused ETF by Huaxia, aimed at capturing opportunities in the tech sector amidst market fluctuations [21][22]. - The article concludes with a mention of a global asset allocation strategy that remains open for investment, despite recent market downturns [25].

Core Viewpoint - The Hong Kong stock market is experiencing a significant influx of capital, particularly in the technology sector, driven by valuation advantages and growth certainty, leading to a re-evaluation of Chinese assets globally [1][2][3] Group 1: Capital Inflow and ETF Performance - Southbound capital has seen a net inflow exceeding 900 billion HKD this year, marking a historical high and surpassing the total inflow for the previous year [1][2] - The net subscription amount for Hong Kong-themed ETFs has also exceeded 100 billion HKD, with over 500 billion HKD flowing into these ETFs since July [2] - The launch of the Hong Kong Stock Connect Technology ETF on August 18 provides investors with a convenient tool to invest in leading technology stocks in Hong Kong [1][8] Group 2: Market Dynamics and Valuation - The Hong Kong stock market is benefiting from three main factors: improved cost-effectiveness after adjustments from 2021 to 2023, global capital reallocation from dollar assets to non-dollar assets, and the resilience of new economy sectors like AI and innovative pharmaceuticals [2][3] - The valuation pressure on the Hong Kong technology sector has been released, setting a solid foundation for potential price increases [2] - The Hang Seng Index's price-to-earnings ratio has risen from approximately 7.5 to 11.6, indicating ongoing valuation recovery [3][6] Group 3: Index and Sector Analysis - The Guozheng Hong Kong Stock Connect Technology Index has gained significant market attention, with its ETF product size increasing from 7.7 billion to 27.8 billion HKD, a growth of 259% [5] - The index focuses on 30 large-cap technology stocks with high R&D investment and revenue growth, ensuring a selection of top-performing companies [5][6] - The index's top five stocks account for 57% of its weight, including major players like Tencent and Alibaba, providing investors with a concentrated exposure to leading technology assets [6] Group 4: Future Outlook and Investment Opportunities - The Hong Kong market is positioned as a bridge for global capital to access Chinese assets, with a favorable environment for quality companies to list [3][6] - The ongoing repurchase of shares by major companies like Tencent and Meituan, exceeding 100 billion HKD, enhances shareholder returns and supports valuations [6] - The launch of the Hong Kong Stock Connect Technology ETF is seen as an excellent opportunity for investors to capitalize on the revaluation of Chinese technology assets [8]