国泰海通金融工程2025年中期策略：量化赋能，多路径破局绝对收益

0102030405 /CONTENTS01020304 1.1 系列之二系列之一 系列之三 1.2 0.00.51.01.52.02.52013/12014/1 2015/1 2016/1 2017/1 2018/1 2019/1 2020/1 2021/1 2022/1 2023/1 2024/1 2025/1国内资产BL策略1国内资产BL策略2𝑤𝑚BLBL2023 1.3 PB2.110/90PB+201604-2016122.72%1.45%1.85%20176.40%1.50%1.87%20183.03%1.22%2.38%20196.89%1.64%2.22%20205.59%1.41%2.67%20217.34%1.12%2.22%20222.75%1.50%2.38%20233.86%0.87%1.33%20244.39%1.82%2.67%202501-2025040.73%0.89%2.15%4.80%1.82%10/901.71.61.51.41.31.21.110.90.82.22% 0.961.871.884.250.022.472.064.211.343.962.336.540.421.831.474.431.002.420.370.82201604-20161220172018201920202021202220232024202501-202504+小盘成长小盘价值优选高股息盈利PB2025/3/312024/3/312023/3/312022/3/312021/3/312020/3/312019/3/312018/3/312017/3/312016/3/311.192.64 4.96%1.79%3.52%9.67%3.00%3.65%0.94%3.21%4.76%10.35%3.43%4.43%8.86%3.06%5.33%11.51%2.48%4.36%3.33%3.13%4.73%4.43%2.14%2.64%5.71%3.79%5.35%1.03%2.02%4.40%6.65%3.91%4.41%20/80PB 2.210/90PB+201604-2016122.06%1.59%1.67%0.541.2920174.34%0.80%1.14%1.305.4220183.54%1.03%1.93%0.293.4320195.80%1.06%1.87%1.875.4720203.53%1.04%2.13%0.713.4020215.88%0.95%1.45%2.566.1720222.97%1.42%2.05%0.592.0920233.80%0.70%1.23%1.545.4520245.96%1.39%2.38%1.794.30202501-2025040.29%0.80%1.90%-0.304.20%1.59%1.81%1.132.640.36 201604-2016123.60%20175.50%20181.96%20198.12%20204.66%20218.53%20223.77%20234.31%20248.91%202501-2025040.16%20/805.43% 2.13%3.11%1.62%2.14%2.97%3.87%2.25%3.73%2.24%4.26%2.26%2.85%2.86%4.08%2.33%2.46%3.47%4.76%1.76%3.93%3.47%3.59%+ 100.951.691.233.40-0.260.661.553.610.622.082.233.780.501.320.981.851.512.57-0.250.090.911.56 2.310/90+201604-2016123.52%1.09%2.20%1.293.2220172.66%1.44%1.88%-0.101.8520182.69%1.40%2.49%-0.121.9120197.45%1.64%2.53%2.034.5420206.44%1.13%2.36%1.875.7220217.71%1.50%2.07%2.685.1520225.49%1.67%2.59%1.443.2920236.55%0.72%1.70%2.739.0920243.65%3.69%4.01%0.480.99202501-2025041.81%1.51%3.32%1.291.205.27%3.69%2.54%1.231.43 11201604-2016126.59%2.30%4.30%1.612.8620172.11%2.96%3.68%-0.200.7120180.26%4.49%5.00%-0.540.06201911.48%3.35%5.03%1.823.43202010.65%2.40%4.72%1.834.44202112.25%3.10%4.09%2.473.9520228.81%3.58%5.15%1.372.4620239.90%1.68%3.38%2.375.9020244.16%7.74%8.06%0.300.54202501-2025043.22%3.34%6.74%1.320.967.74%5.07%1.070.9820/80+7.59% 2.4201604-201612202501-202504 10/90+3.08%1.48%2.31%0.982.0820173.85%1.27%1.90%0.523.0320182.31%1.66%2.64%-0.251.3920197.64%1.73%2.64%2.024.4320207.17%1.23%2.66%1.945.8220217.97%0.98%2.05%2.828.1120224.14%1.56%2.66%0.902.6620235.94%0.78%1.78%2.287.5720243.54%3.86%4.02%0.450.921.72%1.49%3.48%1.141.155.21%3.86%2.63%201604-20161220172018201920202021202220232024202501-2025041.161.35 5.70%2.09%4.50%2.77%-0.48%5.03%11.87%3.54%12.15%2.57%12.82%2.14%6.07%3.28%8.65%1.81%3.90%8.07%3.02%3.35%8.30%20/807.45% 4.49%1.283.72%0.445.30%-0.655.25%1.825.31%1.914.05%2.635.27%0.823.52%1.928.08%0.277.05%1.175.25%1.01+ +2.5（按投资类区间收益（按投资类最大回撤 型）型） 2.6 3.1FOF 16 3.2 中长期纯债型基金短期纯债型基金86%,205814%,343中长期纯债型基金短期纯债型基金85%,65913.8515%,11444.3320254227766589.255.04.54.03.53.02.52.01.51.00.50.0+FOFFOFFOF1840% 短期纯债型基金中长期纯债型基金2025YTD20242023202220215+ 17 3.3 +FOF+FOF2025.05.091307+17320.96灵活配置型基金基金FOF混合型混合债券型二级基金902473173313148灵活配置型基金基金FOF混合型混合债券型二级基金混合债券型一级基金偏债混合型基金基金FOF债券型739.51,208.46,314.37,337.01,686.735.020255 942109.8596.46 混合债券型一级基金偏债混合型基金基金FOF债券型 18141 3.41)A2017/3/15,32020/6/5A2014/9/17,A2014/11/20,6A2020/3/25A2020/2/2543394 29.097.176.682.211.181.043.00%2.00%1.00%0.00%-1.00%-2.00%-3.00%-4.00%-5.00%0.69% 3.5 3.6A5"+" AA景顺长城价值领航两年持有期A天弘通利6050403020100 A大成睿享华商新趋势优选A华泰柏瑞富利 4 1.投资建议的比较标准300指数的涨跌幅。报告发布日后的12个月内的公司股价（或行业指数）的涨跌幅相对同期的沪深2.投资建议的评级标准公司股价（或行业指数）的涨跌幅相对同期的沪深300指数涨跌幅为基准。以报告发布后的12个月内的市场表现为比较标准，报告发布日后的12个月内的投资评级分为股票评级和行业评级。 23评级说明行业投资评级股票投资评级明显弱于沪深300指数减持基本与沪深300指数持平中性明显强于沪深300指数增持相对沪深300指数下跌5%以上减持相对沪深300指数涨幅介于-5%～5%中性相对沪深300指数涨幅介于5%～15%之间谨慎增持相对沪深300指数涨幅15%以上增持说明评级 THANKS FORLISTENING