华商量化进取灵活配置混合型证券投资基金2020年第3季度报告查看PDF公告
华商量化进取灵活配置混合型
证券投资基金
2020 年第 3 季度报告
华
商量商量化进取灵量活华
华
华
华
华
华
华
华
华
华
华
华
配置混合型 证券配置混合投资基金华
配置2混型
0年第券3季度报投资基金 华
告 活! 商量商量化"量取商#活华
华商量化进取灵活 2020配置 3混合型
置 2 证 券 13 证
$1华%&'(
华商量化进取灵活配置灵活混合型 证券投资基金20年第3投 季度报告 !"#$%
&'()*取+,告季-.告/01告2345置67取89:;<==
华商>量进?@ABCDEFGHIJKL型华商MNOP%QRSRSTUSVRWXYZ[型
证?取\]^_ 季`abc/d资eM 证f) *%混合YZ)*金20年第3投 季度报告
g!"#$<=
华商量化进2hij,kl季mno:取pq量化/rl华商资s%t金混合华商uPvw<=
华商取xyz{&金|b(}~bc
置 3 证 券 13 证
?QT?-华商/???ù华商%t?QEY-华
商%?Q合?d资华商?取???/?????ā
s?<=
华商量化进= ?B华商量化GHIJ=
华商>量进= ?@ABCDEFGHIJ=
===
$3华-&./012配置3456
3.1 华商量化进取
???进???=
¤?\]^_=
证? ē RSRSTWVUX ē RSRST?V?SX=?=
U1型??,c?ā= R|?·US2·?U?1?W=
R1型?w?= U|?·22U·S?21|S=
?1???ě华商F′型?w?= S1U2U?=
|1?3华商资s`a= U·UUR·UWU·2?U1RW=
21?3华商F′`a= U1R?|=
ě?U1型??,c?ā^华商型?w???季d资?ā季(???ē金?I?óa???ā??
?ì??l?取?′%型?w??型??,c?ā?a型?I?óa???ā<=
R1券华商z{^_金?īêG进ī? §¨华商取???l%???l?,??ā???
?Q券???<==
3.2 灵活配置混合
3.2.1 灵活型 配置证券投资基金20年第3季灵度报告投3 季
??=
`a??ā
?=
`a??ā
_-??=
z{??华
-?āā?=
z{??华-
?āā_-?
?=
?ē?= ?ē?=
x??4V= ?12W?= R1SU?= ?1?2?= S1?W?= ?1RR?= U1S|?=
x??4V= ??1?|?= U1???= U|1W2?= S1W??= RU1???= S1?S?=
x?uT= 2?1???= U1???= U|1R??= S1???= |21US?= S1???=
x??T= W?1R??= U1|??= U?1U??= S1?S?= 2|1SW?= S1???=
x??T= US|1US?= U1???= ?W1S??= S1WW?= ?W1SU?= S12??=
?华商MN
°±???=
R?1|S?= U1???= UW1?U?= S1?R?= UU1W??= S1WU?=
===
华商量化进取灵活 2020配置 3混合型
置 4 证 券 13 证
3.2.2 灵活 2!"#$灵活%&配置证券投'(资基金20年第3季灵度报告投
'(3季
=
ě??型华商MN°±X?RSU2T|V?X<=
?KL??B???¢????£M-合?d资华商华商MNń取OP%型华商取d资??
?ī@)?8òDa?取EYē?ī?ň?季?z?置(???@合?配Z-a?取EY?季?合季
E^??f?āō商àAá季T?fōP?āō商àAáē?ī@T季?DYL季商àT季?z
T季IJT季??T季?ň?z??T季????T?季??YL季???T?ē???§¨?
?T?季×?à资?季资s?ê合?季T???季CD2?f ?置898O ?@合?配??华商
d资取(?商àAáēt??M?@合?配取ì?OP?<=型华商取d资eM????EYē?
??ň?季?z?置(???@合?配Z-a?取EY?d资???华商资s取S??2?éT?季
?合季c商季???ùAá/资s?ê合?置898O ?@合?配??华商d资取(?商àA
á?华商资s取2??USS?%(??合?华商资s`a取S????%?ň?z??T?华商资s`a
取??金?Q US?%?4§¨XX?0??E^??M????取§¨混合商? %混êc商 g
??X0uTi)取??T?取??M?金?Q华商资s`a取 2?%(?c商金?īí???
商季2?混合商 季??ū??f%E^??取d资???ū898O ?量?÷取OP?D
置 5 证 券 13 证
L华商MN取OP·?华商MN°±?X? 4?V)华商??资s??????M华商MN??<
型华商0???í?? %??资s?????M华商MNG?d资??取?P<==
$4华混合型告
4.1 灵活)*+,灵活)*-./01
??= ?]=
;型华商取华商?化?H=
合??zTH= ??=
;?X?= ?;X?=
??=
华 商 ?
化%??
d资?μ
?化%I
JI?z
]?ād
资???
?配??=
RSU2T?V
?X=
?= ?1?=
?%?@?%???
?%áG华商?z资
?
置 6 证 券 13 证
取华商?化éRSU?T
?VUWX???3;
?B??Dz??E
Y-ò?a合?d资
华商取华商?化é
RSU?TUSV?SX?
??3;?B???
Dz??EY-ò?
a合?d资华商取华
商?化<=
===
4.2 2*3456078灵活9:;<=>?@AB
0型 证?) %华商量化进金20??华商F′êG进wā取D? <华商量化进mno:?
?华商F′êG进??wā%????[?华商8ń置(?G?898O季华商MN取OP<=
4.3 CDEFGHAB
4.3.1 CDEFIJKL?@
证?) %型华商量化进???D[?合?d资华商量化IJI?§¨èe^报?üń/I
J)?I?§¨èe%0???ò 季d资??季§¨?Df?4??%I?'??é券Gd资e
M<=
IJ??d?量化??&P??Dd??配季d???配f%??í?d资??èe%.混
?d资eMI?????资?%?GI?取d资???配<=
?'IJ?é券Gd资eM取§¨券I??ó§¨%?x§¨ó??取I?§¨??%'Q
金Nd资eMNXN???Nu合?取^????D????% 证?) %ó?取I?§¨??
r???%}?c????'ù??駨z]%IJ?ū?合?d资华商量化IJI?§
¨èe^报?üń/IJ)?ù?季?駨z]取ì?OP%.混?d资eM?GI?取§¨
?D?配<'QiIJ???D取§¨???ūòD??取pq ó???季????取pq0
?d资eM??D??<型 证?) %ù?季?éz]I?§¨èe?D????%}?c??
??<=
IJ'?é?d资eM取§¨D??D??/?ò%'?d资eM金N????ēUX季?
X季2X?)取N?§¨取?ó商′??óā?D[???%??[?óā????<型 证?
)%}?c??I?§¨èe取??%IJ?é?华商金20wā?∥取D? <=
4.3.2 MNEFLOGHAB
?O?d资D?%I?'?d资eM%IJèP[???§¨量化?8ń%'?ī????
华商量化进取灵活 2020配置 3混合型
置 7 证 券 13 证
???ùó?季??报?金I?§¨季????wā?∥f??§¨D???[?P置ì?取ǎ
?季?èǎǐ<=
证?)???DIJì?èe %}òc型华商20??§¨D?
RSRS=T?ǘe%ǚE?ù1úbc?????取ǚǜ%WVǜ"?a???%?ù????
????%?V??????<14ǘe~?%a合^???W1?R?%tǒ^??W1???%?z?
^??21??
??RSRST?V?SX%型华商F′`a?U1R?|?%F′??`a?U1R?|?<型ǘe华
商F′`a??ā??12W?%N?华商z{??华-取?āā??1?2?%型华商F′`a??ā?
Qz{??华-?āā?1RR4???<=
4.6 5607灵活WX3Y,灵活QZ配置[\AB
型 证? %型华商}?c6???4A?X华商F′êG进??金???进 g华商资s`
a?Q????取??<=
$5华789:告
5.1 560]灵活QZ. ?@
??= ?o= 商′ē??= ?华商μ资s取??ē??=
华商量化进取灵活 2020配置 3混合型
置 8 证 券 13 证
U= ?ād资= ??S·WRR·R?S1?W= ??1S?=
= (??EY== ??S·WRR·R?S1?W= ??1S?=
R= 华商d资= ?= ?=
?= ōP?ād资== R·?|?·?W21?S= S1R2=
= (??T?== R·?|?·?W21?S= S1R2=
= 资s?ê合?华华= ?= ?=
|= ?商?d资= ?= ?=
2= 商à?°?d资= ?= ?=
=? ????商à资s== ?= ?=
=
(???úa??取????
商à资s==
?= ?=
W= CD2?/í???商M? == U|?·???·SWW1?U= U?1UU=
?= (?资s== ?·U??·R?W1SR= S12|=
?= M?==== U·U??·URU·SSS1?S=== USS1SS=
===
5.2 560]^L年U_`aPQ.
5.2.1 560]^L年U_b7`aPQ.
|¥= Dzō5= I?óaē??= ?华商资s`a?????=
ǚ= ?季?季?季?z= ?= ?=
?= ??z= ?= ?=
?= è?z= ??W·S?U·|S?1||= W21RW=
?=
??季??季??置?°s/??
z=
?= ?=
?= ??z= U?·SR?1UR= S1SS=
?= ?ò/??z= R?·R?|1S?= S1SS=
?= §?r?季??/ɑ?z= U?·?2?1??= S1SS=
?= ??/??z= ?= ?=
?= k???季??/k????]z= ?2U·2SS1??= S1S?=
?= 商àz= W?·?W?·2|W1RS= ?1?2=
?= ??sz= W·?SW·?UW1?R= S1??=
?= ??/B]?]z= R?·2R?·?R21?|= R1??=
?= ????/???]z= U?·R|?·R?U1?S= U1U?=
ɡ= ?w季??/I??ǐ量化z= UU?·?SW1?|= S1SU=
?= ???]季?化/(??]z= ?= ?=
?= ??= ?= ?=
?= ?°/?配A?= U?·WS?·2??1SS= U1??=
?= ??季ú?/??z= |2·U??1R?= S1SS=
?= ?M= ?= ?=
= M?= ??S·WRR·R?S1?W= ??1U?=
==
华商量化进取灵活 2020配置 3混合型
置 9 证 券 13 证
5.2.2 560]^L年U_ c`dPQ`aPQ.
KL型华商取华商MN?P%型华商取d资??金?ī?E?EY<==
5.3 560]^Cef置g灵活QZ配置3hi-jklmn`aPQBo
??= EY|¥= EY??= ??ēE?= I?óaē??=
?华商资s`a
??ē??=
U= ?SS2U?= ????= 2?·SWW= ??·22?·?W|12S= W1??=
R= SSR|W2= ????= U·|U?·??|= S·?2R·R?21?R= W1R?=
?= ?SUSUR= ?华EF= W??·R22= ?·W2U·?2W122= 21R?=
|= SSS?2?= ???= R??·?|R= 2R·??|·U?R1SS= |1WU=
2= SSR2?|= ???= |U?·W?2= |?·W?2·?S?1|S= |1??=
=? ?SSW2S= ???|= R?S·??U= |?·R|?·SS21RS= |1?|=
W= SSRR|U= ??EF= U·UW?·USS= |W·2|?·WR?1SS= |1R?=
?= ?SSURR= ??°?= ??S·?SS= |?·S22·???1SS= |1U|=
?= ?SSS?U= ?u!A= U·|?U·|||= ??·?W?·U|U1U?= ?1?R=
US= SSS2??= ????= R|2·?S?= 2·R?2·SRS1?2= ?1UW=
=====
5.4 560]^pqrsU_pqPQ.
??= T???= I?óaē??= ?华商资s`a??ē??=
U= @?T?= ?= ?=
R= ?DYL= ?= ?=
?= 商àT?= ?= ?=
= (????告商àT= ?= ?=
|= ?zT?= ?= ?=
2= ?z×?à资?= ?= ?=
=? ??YL= ?= ?=
W= ??Tē?§?T?= R·?|?·?W21?S= S1R?=
?= Nz2? = ?= ?=
?= (?= ?= ?=
US= M?= R·?|?·?W21?S= S1R?=
===
5.5 560]^ Cef置g灵活QZ配置3hi- jkltnpqPQBo
??= T?|¥= T???= ??ē??= I?óaē??=
?华商资s`a?
?ē??=
U= UU?S??= ?RS?T= U?·2RS= R·?|?·?W21?S= S1R?=
ě?型华商型 证?3?êG U?T?<==
5.6 560]^ Cef置g灵活QZ配置3hi- jklmnQZuWvqPQB
o
型华商型 证?3}êG资s?ê合? <=
华商量化进取灵活 2020配置 3混合型
置 10 证 券 13 证
5.7 560]^Cef置g灵活QZ配置3hi-jkltnw活xPQBo
型华商型 证?3}êG?商?d资 <=
5.8 560]^Cef置g灵活QZ配置3hi- jkltnyvPQBo
型华商型 证?3}êG?合d资 <=
5.9 560]8灵活PQ`进0zEF?@AB
5.9.1 560]8灵活PQ`进0zW{T|告Bo
型华商型 证?3}êGE^?? <=
5.9.2 8灵活PQ`进0zPQ}R
型华商0E^??d资??i?è??pq %i??混a?o取%型???pq%ǒ?E
^??取d资%&?ū?@商à??§¨券??混a量化取G?OP?D<=
型华商取E^??d资华Q?ùó???-取?×???ú%0???ù??"? %
?l??'è?D%?0混GEYù?金?取??é g??????? %0?ù??é???
????^M??D??混a%ǘE????????^M?????<ǘ?ù???%量化进
???0E^???ù??????eM ?aìP取ù??ü??c?????7~取??告è
?%??0混êeM???金?取??é %0??取c??ù??x??G??????ù?
????%??wlE^????资商?l±ā<=
5.10 560]8灵活PQ~p0zEF?@AB
5.10.1 80~p0zPQ}R
KL型华商取华商MN?P%型华商取d资??金?ī@T??<=
5.10.2 560]8灵活PQ~p0zW{T|告Bo
KL型华商取华商MN?P%型华商取d资??金?ī@T??<=
5.10.3 80~p0zPQf
KL型华商取华商MN?P%型华商取d资??金?ī@T??<=
5.11 PQ. 56??
5.11.1 8灵活PQlmnvq?L华?80????#资???@AB
型华商d资取???合?取òD¤ú型?}??量??????%?0型 证?èX?uT
)}??I??:季??<=
5.11.2 灵活PQlmn`a??灵活 2??`a??@AB
型华商d资取???EY}ǖ?华商MNOP取?êEY?<=
华商量化进取灵活 2020配置 3混合型
置 11 证 券 13 证
5.11.3 基?QZ??
??= ??= 商′ē??=
U= 2?混合商 = U·RRS·?S?1??=
R= ??合????= |·??R·??W1WS=
?= ??Ew= ?=
|= ??w?= RW·2?R1SR=
2= ??ū??= ?·2??1|W=
=? (????= ?=
W= ???l= ?=
?= (?= ?=
?= M?= ?·U??·R?W1SR=
===
5.11.4 560]WX???`0???pqBo
型华商型 证?3}êG?Q?E?取?? ?T?<==
5.11.5 560]lmn`a????d???@AB
型华商型 证?3???EY?金20???H取?? <=
5.11.6 PQ. 56??基??????U
?Q????取p?%???/?M??????20?? <=
$6华;<=配置报>?@
???F=
证??ǜ华商F′μ′ = U·R?W·2?S·R?U12?=
证???华商μū?F′ = R?·?S|·RR?1?2=
?
?证???华商μ??F′ = |2W·?WW·SS?1??=
证???华商????F′ ēF′?ǔi ???
???=
?=
证??3华商F′μ′ = ?2?·??W·2UW1|?=
ě?μū?F′??w?d季???F′éμ??F′????F′<=
$7华配置混合型ABC投8置78D配置E,
7.1 灵活2*3WX8灵活型 '(?@
型 证?华商量化进}rlōG资商d资型华商 <=
华商量化进取灵活 2020配置 3混合型
置 12 证 券 13 证
7.2 灵活2*39?¢XQ活PQ8灵活EFBo
型 证?)华商量化进}rlōG资商ū? 季??季??型华商F′<=
=
$8华FG78HIJKLM%&NO
8.1 5607£¤PQ¥WX灵活型 3h|?,?§ 20%?@
型华商型 证?)}ò°?ud资gêG华商F′???? ǖx RS?取??<=
$9华PQRSTU
9.1 ???¨?a
U1?@合?配?-?B???¢????£M-合?d资华商??取??é=
R1??B???¢????£M-合?d资华商华商MNńé=
?1??B???¢????£M-合?d资华商>量??ńé=
|1??B???¢????£M-合?d资华商?????ńé=
21华商量化进z]资???季?z?ūé=
?1 证?)?B???¢????£M-合?d资华商0OP??a??取??I证取p
?<=
9.2 ???-
华商量化进季华商>量进?<=
9.3 ??ˉ°
华商量化进?I?????????????"?R???ˇ@???U??=
华商>量进????@??????Yˉ?)"?22?=
d资g'型 证?ˊGˋ? %???华商量化进?B华商量化GHIJ<=
???]?????|SSWSS???Sē?????%SUSē2?2W??SS=
华商量化进?????????????1??˙???1???=
?@合?配华商???????=??????????1????1???1???˙???=
华
华
华商量化进取灵活 2020配置 3混合型
置 13 证 券 13 证
商量化进取灵活配置混华
合型合型 证型券合投资华