基金分析专题报告(深度) 证券研究报告 数说公募主动权益基金四季报 ——规模/份额双降、周期/金融配置权重上升 王子薇 分析师SAC执业编号：S1130524010001 王聃聃 分析师SAC执业编号：S1130521100001 2026/2/2 主动权益基金2025年四季报总结 ◼ 基金市场概况：2025年四季度A股在经历了近一年的上涨趋势后开始横盘震荡，宽基指数涨跌互现。风格上，大、中盘价值指数均显著跑赢成长，小 盘成长与价值收益差距不大，大盘价值领跑，反映机构资金在进攻与防守之间切换、风险暴露选择性收敛的同步推进；行业指数方面，四季度申万31 个行业除医药生物、美容护理等9个行业外，其余各行业指数均取得正收益，其中，资源和军工表现较好，医药整体偏弱。主动权益基金规模和份额 下降，发行数量和发行规模小幅提升。 ◼ 基金持仓情况：权益基金平均股票仓位小幅收缩，为88.05%；港股仓位也有所下降。重仓股板块配置方面，权益基金集中增持周期品方向，主要为 稳增长政策托底下宏观预期边际改善、顺周期盈利弹性重新获得资金定价，以及年末时点资金对组合确定性与波动控制要求提升的合力结果，机构在 周期与金融板块抬升配比，同 ...

事件 1 月 30 日，证监会发布《关于修改〈《上市公司证券发行注册管理办法》第九条、第十条、第十一条、第十三条、第 四十条、第五十七条、第六十条有关规定的适用意见——证券期货法律适用意见第 18 号〉的决定（征求意见稿）》， 并公开征求意见。 核心内容 战略投资者类型扩围：中长期资金体系全面进场。修订稿明确，全国社保基金、基本养老保险基金、企业（职业）年 金基金、商业保险资金、公募基金、银行理财等机构投资者可以作为战略投资者。同时，在规则上将该类投资者界定 为资本投资者，将其他实业投资者界定为产业投资者。"产业战投"提供技术、市场等硬资源，"资本战投"则需发挥 改善治理、优化决策、推动整合等软实力。 2025 年出台的《中长期资金入市方案》提到，"允许公募基金、商业保险资金、基本养老保险基金、企（职）业年金 基金、银行理财等作为战略投资者参与上市公司定增"，推动提升保险、公募、养老金、理财等权益投资比例。本次 修订将"入市方案"的原则安排正式嵌入再融资法律适用意见，从操作层面打通中长期资金参与再融资的供给端，大 幅扩展战投的资金来源；同时，与"并购六条"中鼓励发行股份购买资产、配套融资和战投参与的安排形成组 ...

过去一周，国内主要市场指数上涨，其中上证 50、沪深 300、中证 500 和中证 1000 涨跌幅分别为 1.13%、0.09%、- 2.55%和-2.55%。 微盘股指标监控：轮动策略方面，由于目前微盘股对茅指数的相对净值为 2.33，仍高于其 243 日均线（1.87）；但万 得微盘股 20 日收盘价斜率为正，而茅指数斜率收负。量价轮动子策略部分仓位切换回微盘股指数；而从 M1 高点轮动 的角度来看，12 月份 M1 指标的 6 个月移动平均值已经下行，M1 轮动子策略中期配置从微盘股切换至茅指数。所以综 合两个子策略来看目前轮动策略处于均衡配置。而从中期微盘股择时角度来看，目前风控信号还没触发。对于持有微 盘板块投资者建议做好风险控制，以及密切跟踪相对净值、动量及中期风险指标的动态。 过去一周，国内政策端围绕制度松绑与内需提质进行发力。 一方面，地产供给侧的监管硬约束迎来破局，监管部门 取消了房企每月上报"三道红线"指标的硬性要求，这一举措意味着政策逻辑已从过去几年的"高压去杠杆"果断转向"信 用修复"，通过给予房企更大的财务自主权来换取市场流动性的内生性恢复，这将直接利好地产链的资金面改善；另一 方 ...

Macroeconomic Liquidity - The US dollar index continued to decline, and the degree of "inversion" in the China-US interest rate spread deepened. The nominal and real interest rates of 10Y US Treasuries rose and fell respectively, indicating a rebound in inflation expectations [1][15]. - Offshore dollar liquidity tightened marginally, while the domestic interbank funding remained balanced. The yield spread between 10Y and 1Y bonds narrowed [1][22]. Market Trading Activity, Volatility, and Liquidity - Market trading activity has rebounded, with trading heat in sectors such as non-ferrous metals, media, military industry, chemicals, and steel exceeding the 90th percentile [2][26]. - The volatility of major indices has increased, with the military sector's volatility reaching above the 80th percentile [2][33]. - Market liquidity indicators have improved, although all sectors remain below the 60th historical percentile [2][37]. Institutional Research - The banking, electronics, machinery, computing, and automotive sectors are leading in research activity, with a rising trend in research heat for banking, petrochemicals, machinery, non-ferrous metals, and building materials [3][44]. Analyst Forecasts - Analysts have raised net profit forecasts for the entire A-share market for 2026/2027. The proportion of stocks with upward revisions in net profit forecasts has continued to increase [4][17]. - Specific sectors such as non-ferrous metals, telecommunications, retail, home appliances, and real estate have also seen upward adjustments in their 2026/2027 net profit forecasts [4][21]. - Major indices including the ChiNext Index, CSI 300, and SSE 50 have had their 2026/2027 net profit forecasts raised, while the CSI 500 saw a decrease in its forecasts [4][23]. Northbound Trading Activity - Northbound trading activity has increased, although there has been a continued net sell-off of A-shares. The ratio of buy/sell totals in sectors like non-bank financials, non-ferrous metals, and food and beverage has risen [5][31]. - For stocks with northbound holdings of less than 30 million shares, there were significant net purchases in sectors such as food and beverage, electricity, and public utilities, while net sales were observed in computing, pharmaceuticals, and machinery [5][33]. Margin Financing Activity - Margin financing activity has continued to decline, reaching its lowest level since mid-July 2025. The net purchases were mainly in non-ferrous metals, finance, and food and beverage sectors, while net sales were seen in electronics, military, and computing sectors [6][35]. Long-Short Trading Activity - Long-short trading activity has continued to rise, with sectors like non-ferrous metals, agriculture, forestry, animal husbandry, and food and beverage showing relatively high trading volumes [7][41]. Active Equity Fund Positions - Active equity funds have increased their positions in sectors such as non-ferrous metals, petrochemicals, and electronics, while reducing positions in pharmaceuticals, media, and food and beverage sectors [8][46]. - The correlation between active equity funds and small-cap growth, as well as large/mid-cap value, has increased, while the correlation with large/mid-cap growth and small-cap value has decreased [8][48].

Investment Ratings - The report indicates a positive outlook for copper and aluminum sectors, with expectations of stable production and demand recovery [2][3][13] Core Insights - Copper prices increased by 3.98% to $13,650.5 per ton on LME, while domestic prices rose by 2.31% to 103,700 CNY per ton. Supply constraints and stable production rates are noted, with a slight decrease in operating rates expected due to seasonal demand fluctuations [2][14] - Aluminum prices rose by 1.75% to $3,229.0 per ton on LME, with domestic prices at 24,600 CNY per ton. The report highlights a seasonal decline in production rates and a high operating rate in alumina plants, despite a slight increase in inventory levels [3][15] - Gold prices surged by 8.58% to $5,410.8 per ounce, driven by geopolitical risks and market volatility. The report emphasizes the impact of U.S. monetary policy on gold prices [4][16] - The rare earth sector shows a positive trend, with prices for praseodymium and neodymium oxide increasing by 11.30%. The report anticipates a favorable demand outlook due to easing export restrictions [5][34] - Tungsten prices rose by 12.99%, supported by strategic stockpiling initiatives in the U.S. and increasing demand in military applications [5][36] Summary by Sections Copper - LME copper price increased by 3.98% to $13,650.5 per ton, with domestic prices at 103,700 CNY per ton. Supply constraints are evident, with a decrease in copper processing fees [2][14] - Operating rates for copper cable enterprises increased to 59.46%, indicating stable production driven by prior orders [2][14] Aluminum - LME aluminum price rose by 1.75% to $3,229.0 per ton, with domestic prices at 24,600 CNY per ton. The report notes a decrease in operating rates due to seasonal factors [3][15] - The overall aluminum processing rate recorded at 59.4%, reflecting a seasonal decline in demand [3][15] Precious Metals - Gold prices increased significantly due to geopolitical tensions, with COMEX gold price reaching $5,410.8 per ounce. The report discusses the implications of U.S. monetary policy on gold market dynamics [4][16] Rare Earths - The price of praseodymium and neodymium oxide rose by 11.30%, with expectations of increased demand due to favorable export conditions [5][34] - The report highlights the potential for price increases in the rare earth sector driven by supply constraints and demand recovery [5][34] Tungsten - Tungsten prices increased by 12.99%, supported by strategic stockpiling initiatives and military demand [5][36] - The report suggests that the tungsten sector may benefit from ongoing geopolitical tensions and increased defense spending [5][36]

Investment Rating - The report indicates a positive outlook for copper and aluminum sectors, with expectations of stable production and demand recovery in the near term [2][3][13]. Core Insights - Copper prices increased by 3.98% to $13,650.5 per ton on LME, while domestic prices rose by 2.31% to 103,700 CNY per ton. The overall production stability in the copper industry is noted, with a slight decrease in operating rates expected due to seasonal demand fluctuations [2][14]. - Aluminum prices saw a 1.75% increase to $3,229.0 per ton on LME, with domestic prices at 24,600 CNY per ton. The report highlights a seasonal decline in aluminum processing rates, indicating a shift towards the off-peak season [3][15]. - Gold prices surged by 8.58% to $5,410.8 per ounce, driven by geopolitical risks and market volatility. The report emphasizes the impact of U.S. monetary policy on gold prices [4][16]. - The rare earth sector shows a positive trend, with prices for praseodymium and neodymium oxide rising by 11.30%. The report anticipates a favorable demand outlook due to easing export restrictions [5][32][34]. Summary by Sections Copper - LME copper price increased by 3.98% to $13,650.5 per ton, with domestic prices at 103,700 CNY per ton. Copper inventory decreased by 2.24% week-on-week, while total inventory increased by 4.97% year-on-year [2][14]. - The operating rate for copper cable enterprises rose to 59.46%, indicating stable production driven by prior orders [2][14]. Aluminum - LME aluminum price rose by 1.75% to $3,229.0 per ton, with domestic prices at 24,600 CNY per ton. The overall aluminum processing rate recorded a decline to 59.4% [3][15]. - Domestic aluminum oxide production capacity remains high, but the operating rate decreased by 1.66% to 77.31% [3][15]. Precious Metals - Gold prices increased significantly due to geopolitical tensions, with a notable rise in SPDR gold holdings remaining stable at 1,086.53 tons [4][16]. - The report discusses the implications of U.S. monetary policy on gold price fluctuations, particularly in light of recent geopolitical developments [4][16]. Rare Earths - The price of praseodymium and neodymium oxide rose to 748,700 CNY per ton, reflecting a strong demand outlook. The report notes a 7% year-on-year increase in rare earth permanent magnet exports [5][32][34]. - The report suggests that the rare earth sector is poised for growth, driven by easing export restrictions and increased global demand [5][32][34]. Tungsten - Tungsten prices increased by 12.99%, with strategic reserves being a focus in the U.S. market, indicating a potential for continued price support [5][36]. Tin - Tin prices showed a slight decrease of 0.03%, but the report maintains a positive long-term outlook due to supply constraints from Indonesia and Myanmar [5][37]. Lithium - Lithium carbonate prices increased by 7.15% to 171,000 CNY per ton, with production slightly declining. The report highlights a robust demand outlook despite recent price fluctuations [5][57]. Cobalt - Cobalt prices increased by 1.8% to 445,000 CNY per ton, with supply constraints expected to support price stability in the near term [5][58].

1. Report Industry Investment Rating - No relevant information provided 2. Core View of the Report - The "Guojin Securities Fixed Income - Bond Market Micro - trading Thermometer" reading continued to rise to 57%, up 3 percentage points from the previous period. Some indicators' positions increased, while others decreased. The proportion of indicators in the over - heated range remained at 35% [15][21]. 3. Summary According to Relevant Catalogs 3.1. Micro - trading Thermometer Reading - The micro - trading thermometer reading continued to rise to 57%. The positions of institutional leverage, policy spread, bond fund profit - taking pressure, stock - bond ratio, and overall market turnover rate increased by 48, 18, 18, 16, and 12 percentage points respectively. The TL/T long - short ratio and commodity ratio positions also rose by 11 percentage points. However, the position values of fund - small and medium - sized bank buying volume, long - term treasury bond trading volume ratio, and listed company wealth management buying volume decreased by 33, 18, and 15 percentage points respectively [3][15]. 3.2. Proportion of Indicators in the Over - heated Range - Among the 20 micro - indicators, 7 (35%) were in the over - heated range, 7 (35%) were in the neutral range, and 6 (30%) were in the cold range. The long - term treasury bond trading volume ratio and listed company wealth management buying volume dropped from the over - heated range to the cold range; institutional leverage and policy spread rose from the neutral range to the over - heated range; the overall market turnover rate rose from the cold range to the neutral range [4][21]. 3.3. Long - term Treasury Bond Trading Volume Ratio - In the trading heat indicators, the proportion of indicators in the over - heated range remained at 67%, the proportion in the neutral range rose to 33%, and the proportion in the cold range dropped to 0%. The overall market turnover rate position increased by 12 percentage points, rising from the cold range to the neutral range; institutional leverage position increased by 48 percentage points, rising from the neutral range to the over - heated range; the long - term treasury bond trading volume ratio position decreased by 18 percentage points, dropping from the over - heated range to the neutral range [6][22]. 3.4. Bond Fund Profit - taking Pressure - In the institutional behavior indicators, the proportion of indicators in the over - heated range dropped to 25%, the proportion in the neutral range remained at 13%, and the proportion in the cold range rose to 63%. The listed company wealth management buying volume position decreased by 15 percentage points to 58%, dropping from the over - heated range to the neutral range; the fund - small and medium - sized bank buying volume position decreased by 33 percentage points to 31%, dropping from the neutral range to the cold range [7][26]. 3.5. Policy Spread - The yield of 3 - year treasury bonds continued to decline, the policy spread narrowed by 2bp to 0bp, and the position value rose slightly by 18 percentage points to 76%, rising from the neutral range to the over - heated range. The credit spread and agricultural development - state - owned development spread remained the same as the previous period, the IRS - SHIBOR 3M spread widened by 3bp, and the average spread of the three widened slightly by 1bp to 17bp. Its position value decreased by 4 percentage points to 61%, still in the neutral range [8][32]. 3.6. Stock - Bond Ratio - Among the ratio indicators, the proportion of indicators in the cold range remained at 75%, and the proportion in the neutral range remained at 25%. The position values of stock - bond, commodity, and real estate ratios increased by 16, 11, and 18 percentage points to 57%, 56%, and 51% respectively, all still in the neutral range [9][34].

Investment Rating - The report suggests focusing on themes of intelligence and overseas expansion, highlighting potential investment opportunities in companies like BYD and Geely Automobile, as well as in the intelligent and robotics sectors such as Li Auto-W and Xpeng Motors-W [3][16]. Core Insights - Tesla is shifting its focus from traditional vehicle production to AI and robotics, planning to stop the production of Model S and Model X to allocate resources for the Optimus humanoid robot, with a target production capacity of 1 million units annually by 2026 [1][13]. - Li Auto is restructuring its R&D department to enhance its humanoid robot development, indicating a strong commitment to AI competition and innovation in robotics [2][14]. - The passenger car market has shown weak sales performance in early 2026, but there is optimism for recovery in Q1 2026 due to anticipated policy support and seasonal demand [2][15]. Industry Data Tracking - The Shanghai Composite Index increased by 0.08%, while the automotive index decreased by 5.08%, ranking 29th among 31 sectors [4][17]. - In the second week of January 2026, wholesale passenger car sales were 359,000 units, down 28% year-on-year, with a significant increase in new energy vehicle penetration to 50% [5][26]. - In December 2025, the total wholesale passenger car sales were 2.787 million units, a year-on-year decrease of 9.3%, while new energy vehicle sales increased by 3.4% [6][34]. Industry Dynamics - Tesla's transition to focus on AI and robotics is part of a broader trend in the automotive industry, with companies like Xpeng and Li Auto also investing heavily in intelligent driving and robotics [1][3][66]. - The report highlights the importance of new energy vehicle exports, which have shown a consistent growth rate of over 20% year-on-year, indicating a long-term trend towards international markets [3][15]. - The introduction of mandatory standards for advanced driver assistance systems in China marks a significant regulatory shift that will impact the automotive landscape [68].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - As of January 30, the weighted average transaction terms of urban investment bonds and industrial bonds were 2.26 years and 2.43 years respectively. Among commercial bank bonds, the weighted average transaction terms of secondary capital bonds, bank perpetual bonds, and general commercial financial bonds were 4.00 years, 3.52 years, and 2.05 years respectively, with secondary capital bonds at a relatively high historical level. The durations of other financial bonds, such as securities company bonds, securities subordinated bonds, insurance company bonds, and leasing company bonds, were 1.70 years, 2.09 years, 3.26 years, and 1.44 years respectively. The overall duration of other financial bonds was slightly shorter than the previous week, and the historical quantile of the duration of leasing company bonds was at a relatively high historical level [2][9]. - The coupon duration congestion index has increased. After reaching its highest value in March 2024 and then declining, the index rose this week compared to last week and is currently at the 64% level since March 2021 [11]. 3. Summary by Relevant Catalog 3.1 All - Variety Term Overview - The weighted average transaction terms of urban investment bonds and industrial bonds were 2.26 years and 2.43 years respectively. Among commercial bank bonds, the weighted average transaction terms of secondary capital bonds, bank perpetual bonds, and general commercial financial bonds were 4.00 years, 3.52 years, and 2.05 years respectively. The durations of securities company bonds, securities subordinated bonds, insurance company bonds, and leasing company bonds were 1.70 years, 2.09 years, 3.26 years, and 1.44 years respectively [2][9]. - The coupon duration congestion index increased this week compared to last week and is currently at the 64% level since March 2021 [11]. 3.2 Variety Microscope Urban Investment Bonds - The weighted average transaction term of urban investment bonds hovered around 2.26 years. The duration of Shaanxi provincial - level urban investment bonds extended to 9.16 years, while the transaction duration of Hebei provincial - level urban investment bonds shortened to around 1.19 years. The historical quantiles of the durations of prefecture - level cities in Hunan, district - level counties in Jiangsu, and district - level counties in Beijing have exceeded 90%, and the duration of prefecture - level cities in Anhui is approaching the highest since 2021 [3][15]. Industrial Bonds - The weighted average transaction term of industrial bonds remained the same as last week, generally around 2.43 years. The transaction duration of the coal industry extended to 2.25 years, and the transaction duration of the public utilities industry shortened to 2.75 years. The transaction durations of the food and beverage and real estate industries are in the neutral historical quantile range, while those of the non - ferrous metals and pharmaceutical and biological industries are at relatively high historical quantiles [3][21]. Commercial Bank Bonds - The duration of general commercial financial bonds extended to 2.05 years, at the 53.3% historical quantile, higher than the same period last year. The duration of secondary capital bonds shortened to 4.00 years, at the 80.2% historical quantile, higher than the same period last year. The duration of bank perpetual bonds shortened to 3.52 years, at the 56.9% historical quantile, higher than the same period last year [3][24]. Other Financial Bonds - In terms of the weighted average transaction term, insurance company bonds > securities subordinated bonds > securities company bonds > leasing company bonds, at historical quantiles of 65.4%, 46.6%, 60.4%, and 86.9% respectively. The overall duration of other financial bonds was slightly shorter than last week [3][27].

一、组合策略收益跟踪 本周信用风格模拟组合收益普遍下滑，部分利率风格组合表现有所改善。利率风格组合中，城投超长型、城投久期策 略收益领先，周度读数分别为 0.19%、0.18%；信用风格组合中，城投超长型、城投久期策略收益相对靠前，分别达 到 0.15%、0.13%。 从重仓券种看，利率、城投长债重仓策略具有一定优势。信用风格存单重仓组合周度收益均值下行 5.2bp 至 0.06%； 城投重仓组合平均收益回落 7.4bp 至 0.1%，较对应利率风格组合均值落后约 8bp，其中，久期策略、哑铃型策略表 现占优，收益有所增厚；二级资本债重仓组合收益均值降低 18.7bp 至-0.01%，3-4 年二级债成分均对组合收益有小 幅负贡献，而 10 年二级债成分成为更大拖累项，混合哑铃型策略收益降至-0.07%；超长债重仓策略收益均值下行近 30bp，城投、产业及二级超长型策略收益分别为 0.15%、0.04%和-0.2%。 收益来源方面，城投长债重仓组合 60%以上收益来自资本利得。模拟组合票息持续下行，目前城投、二级超长型策略 年化收益距离 2025 年以来最低点仍在 33.5bp、41.1bp 的较高水平，二永 ...