广发证券 资深宏观分析师 陈礼清 博士 chenliqing@ gf.com.cn 广发宏观郭磊团队 报告摘要 第⼀， 在前期报告《如何看宏大叙事对资产定价的影响》中，我们提出过⼀个框架：今年的大类资产定价，不仅取决于基本面，还非常典型地受到流行叙事的影 响，比如美元信用体系重构、全球供应链重塑、新⼀轮科技革命、算力是 AI 时代的基础设施、有⾊⾦属是 AI 时代的⽯油等。从量化⾓度也能观测到叙事的影响， 以黄⾦和科技资产为例，两者的低频与⾼频相关性明显背离。年度视⾓下，两者趋势⻬扬；⽇度视⾓下，两者却保持低相关，相关系数处 0~0.1 区间。这意味着⻓ 期 beta 与短期 beta 出现了"非线性定价"，这背后实际上就是"叙事交易"。 第六， 怎么样把上述规律策略化？首先，我们尝试将"羊群因子"与前期构建的宏观因子风险平价框架融合，形成考虑了"羊群效应"的全面平价模型。 2016 年以 来"增⻓ + 通胀 + 羊群"平价策略年化收益为 9.4% ，年化波动率为 10.3% ，夏普比率为 0.76 ；较经典"增⻓ + 通胀"因子风险平价获得约 1.5% 的年化超额，较简 单资产风险平价获得约 4.9% 的年 ...

广发宏观周度述评（第37期） 广发宏观周度述评 （ 第1-36期，复盘必读 ） 内容 第一， 全球资产主流叙事：一致预期松动但尚未逆转 。 在前期报告《年初以来大类资产在定价什么》、《如何看宏大叙事对资产定价的影响》中，我们指出今年 全球大类资产中有五类资产整体跑赢，背后是定价几大主流叙事：美元信用弱化、黄金从避险资产变为新货币"锚"、全球产业链供应链重塑、 AI 是新一轮技术革 命的基础设施、有色金属是新一轮技术革命的原油等。 从席勒《叙事经济学》的框架来看，叙事的客观性并不是关键，叙事的传播规律和强度是它影响宏微观现象的根本。所以我们认为要识别核心叙事，建立叙事分析 框架，评估"叙事生命周期"。按照叙事对资产的影响路径，可以量化叙事强度，把叙事分为萌芽期、认同期、狂热期、消退期，在不同阶段赋予不同的投资策略。 从 10 月以来的资产定价环境来看，主流叙事背后的一致预期有阶段性松动的迹象： 一是美元反弹。年初以来美元一直震荡下行，至 9 月 16 日达到 96.6 的低位，此后悄然开始一轮低斜率反弹，至 10 月 31 日已达阶段性高点的 99.7 。相对于之前 的"去美元化"，市场也开始探讨一些新的逻辑， ...

广发证券 资深宏观分析师 王丹 bjwangdan@ gf.com.cn 广发宏观郭磊团队 摘要 第一， 10 月制造业 PMI 环比下行 0.8 个点至 49.0 。制造业 PMI 的回落背后是工作日偏少、外部贸易环境不确定性扰动、地产继续走弱等因素共同影响形 成。前期报告《 10 月 PMI 、宏观面与股债定价》中我们已经基于宏观视角做出过分析，本篇围绕中观行业视角做进一步拆解分析。 第二， 10 月位于景气扩张区间的细分制造业行业个数为 8 个，持平前值。景气改善的制造业行业包括新兴制造（计算机通信电子、医药、汽车、通用设备）、消 费（农副食品、纺服）、部分原材料行业（化工、黑色）。（ 1 ）新兴制造景气环比上行与"十五五"规划[1] 政策红利升温、 AI 产业趋势、新能源车购置税抵免 窗口期等因素有关；（ 2 ）农副食品、纺服等消费品景气改善主要受益于假期出行活动增加、降温换季、"双十一"电商促销活动带动；（ 3 ）黑色产需均有小幅 改善，包含一定季节性影响，与下游基建、汽车等领域带动也有一定关系；化工本月新订单和生产指标均回落，行业 PMI 可能与原材料价格波动对库存的影响有 关。 第三， 从绝对景 ...

Group 1 - The core consumption data during the National Day and Mid-Autumn Festival holiday shows stability, with service consumption outperforming goods consumption. Daily sales revenue in consumption-related industries increased by 4.5% year-on-year, with goods and service consumption growing by 3.9% and 7.6% respectively. Notable sales growth was observed in mobile phones (18.8%), automobiles (12.6%), and jewelry (41.1%) [1][6][7] - The power generation growth rate in October significantly exceeded that of September, attributed to high temperatures in southern regions. Cumulative power generation from coal-fired power plants increased by 8% year-on-year, compared to a decline of 12.6% in September [1][7] - Industrial operating rates showed mixed results, with most year-on-year growth rates lower than previous values due to elevated bases. The operating rate of blast furnaces increased by 0.7 percentage points month-on-month, with a year-on-year growth of 2.8 percentage points [2][8][9] Group 2 - The crude steel production growth rate declined year-on-year, with key enterprises reporting a decrease of 2.3%. The production of rebar fell by 13.8% year-on-year, indicating a divergence in demand from the real estate and manufacturing sectors [2][10][11] - The photovoltaic industry continues to improve, with the Solar Manager Index (SMI) rising to 126.08 points, marking a 7.0 percentage point increase month-on-month and a 1.8 percentage point increase year-on-year [3][13][14] - Infrastructure physical workload indicators have not shown significant recovery. The funding availability rate for construction sites increased by 0.2 percentage points, while the asphalt operating rate recorded a year-on-year increase of 4.5% [3][16][17] Group 3 - Real estate sales remain weak, with a year-on-year decline of 29.0% in daily transactions across 30 major cities. The sales in first, second, and third-tier cities fell by 39.6%, 21.0%, and 29.6% respectively [4][18][19] - Retail sales of passenger cars experienced a year-on-year decline of 7% during the first 26 days of October, influenced by high bases and subsidy reductions [4][21] - Home appliance sales and production growth rates continued to decline, with offline sales of air conditioners, refrigerators, and washing machines dropping significantly [5][22][23] Group 4 - Port container throughput growth remained stable, with a year-on-year increase of 6.6% from September 29 to October 26 [5][24] - The overall economic resilience is observed in the export sector, while industrial operating rates show little change, and durable consumer goods sales have entered a high base period [5][28]

广发证券 资深宏观分析师 贺骁束 hexiaoshu@ gf.com.cn 广发宏观郭磊团队 摘要 第一， 10月生意社BPI小幅回升。有色金属的产业"叙事"仍在延续，叠加美联储降息和印尼供给扰动，有色 指数表现相对偏强。截至10月30日，生意社BPI指数录得870点，相较9月末环比回升0.6%。其中能源、有 色价格（月环比）分别为-0.6%、2.2%。 第二， 10月内需定价大宗商品涨跌互现。其中动力煤、焦煤期货价涨幅靠前，月环比涨幅分别录得9.2%、 19.1%； 螺 纹 钢 期 货 价 格 环 比 上 涨 0.3%； 化 工 产 品 、 水 泥 、 玻 璃 价 格 指 数 仍 明 显 偏 弱 ， 月 环 比-1.9%、-3.1%、-10.6%。南华综合指数月末值环比持平；月均值同比录得-0.3%（前值6.0%）。 第三， 一线城市房价多数延续调整。截至10月20日（最新数据），四大一线城市二手房挂牌价格指数相较9 月最后一周环比录得-1.2%、-0.7%、-1.7%、-0.9% 。 第四， 存储芯片、碳酸锂等新兴产业链价格偏强，光伏行业价格回落。10月光伏行业综合指数（SPI）环比 回 落 0.5% （ ...

Core Viewpoint - The October PMI data indicates a slight decline below expectations, with the manufacturing PMI at 49.0, down 0.8 points month-on-month, reflecting a lack of consistent economic signals in the short term [1][5][15]. Summary by Sections PMI Data Overview - The manufacturing PMI for October is reported at 49.0, lower than the previous value of 49.8, while the service PMI is at 50.2, slightly up from 50.1. The construction PMI stands at 49.1, down from 49.3 [5][11]. - The October EPMI (Emerging Industries PMI) saw a significant increase of 7.3 points to 59.7, marking the largest historical increase for this month [5][6]. Production and Economic Signals - A notable contraction in the production sector is observed, with production, procurement, new orders, and backlog orders indices decreasing by 2.2, 2.6, 0.9, and 0.7 points respectively [8][11]. - The production index fell sharply from 51.9 in September to 49.7 in October, attributed to uncertainties in tariffs and shipping environments, leading companies to adopt a more cautious production approach [8][10]. Recent Developments in Trade - Recent negotiations between China and the U.S. in late October resulted in the cancellation of certain tariffs and a pause on additional tariffs, which may positively influence the PMI production index in November [2][10]. Construction Sector Insights - A positive signal from the October PMI series is the rebound in new orders and business activity expectations in the construction sector, with increases of 3.7 and 3.6 points respectively, reaching the highest levels since March and February [3][11]. - The National Development and Reform Commission reported that 500 billion yuan has been fully allocated to support over 2,300 projects, with a total investment of approximately 7 trillion yuan, focusing on digital economy, AI, and urban infrastructure [3][11]. Market Implications - The October PMI reflects a manufacturing PMI retreat and a decline in the construction index, indicating that the rise in infrastructure has not fully offset the decline in real estate investment, which is favorable for the bond market [4][15]. - The central bank's resumption of bond purchases suggests a potential decrease in interest rates, although the space for significant rate cuts may be limited due to the ongoing fiscal policies and rising construction orders [4][15].

Core Viewpoint - The Federal Reserve's recent decision to lower the federal funds rate by 25 basis points to a range of 3.75%-4% is seen as a response to economic conditions, with market focus shifting towards guidance for December's rate decisions and the end of the balance sheet reduction plan [1][8]. Summary by Sections Federal Reserve Rate Decision - The Federal Open Market Committee (FOMC) voted to reduce the federal funds rate by 25 basis points, marking the second rate cut since the resumption of easing in September 2025 [1][8]. - Stephen Miran, a board member, voted against the decision, advocating for a 50 basis point cut, but this view did not gain widespread support [1][8]. FOMC Statement and Economic Indicators - The FOMC statement indicated that economic activity is expanding at a moderate pace, with a slight adjustment in language regarding employment risks, suggesting a softening labor market despite data gaps due to government shutdowns [2][10]. - The FOMC announced the end of the balance sheet reduction (QT) starting December 1 and will reinvest proceeds from mortgage-backed securities (MBS) into U.S. Treasury bills [2][10]. Powell's Press Conference Insights - Jerome Powell's comments reflected a hawkish stance regarding potential rate cuts in December, highlighting significant internal disagreements within the Fed about the direction of monetary policy [3][12]. - Powell acknowledged a slowdown in job growth, attributing part of this to a decline in labor force growth, while maintaining an optimistic view on inflation, estimating core inflation to be around 2.2%-2.3% when excluding tariff impacts [3][15]. Balance Sheet Reduction and Market Liquidity - Powell emphasized that the Fed would halt balance sheet reduction when bank reserves exceed the level deemed "ample," noting rising repo rates and increased use of the standing repo facility (SRF) as indicators of liquidity pressures [4][16]. - The Fed's experience from the September 2019 liquidity crisis informs its current approach, as it seeks to avoid a repeat of that situation by monitoring liquidity conditions closely [5][18]. Market Reactions and Economic Outlook - Following the FOMC meeting, market expectations for a December rate cut decreased, with a two-thirds probability now estimated based on futures markets [7][37]. - U.S. Treasury yields rose, with the 10-year yield increasing by 9 basis points to 4.07% and the 2-year yield rising by 12 basis points to 3.59%, reflecting a repricing of short-term policy expectations [7][37].

Core Viewpoint - The article discusses the key changes and focuses in the "15th Five-Year Plan" (2026-2030) compared to the "14th Five-Year Plan" (2021-2025), highlighting shifts in development goals, industry focus, and policy priorities. Development Environment - The "15th Five-Year Plan" emphasizes the complexity of the development environment, including unilateralism and hegemonism, while also recognizing favorable long-term trends. It highlights issues such as insufficient effective demand and pressures on employment and income growth, indicating a greater focus on total demand during this period [1][14][16]. Development Goals - The "15th Five-Year Plan" sets seven goals, with a clear emphasis on "significant achievements in high-quality development," which includes maintaining reasonable economic growth, improving total factor productivity, and increasing the resident consumption rate. The plan also introduces a new goal of significantly enhancing self-reliance in technology [2][17][18]. Industry Development - The plan includes a focus on optimizing traditional industries and nurturing emerging and future industries. It highlights the importance of traditional sectors like mining and manufacturing while also emphasizing new industries such as quantum technology and hydrogen energy [3][19][20]. Technological Innovation - The "15th Five-Year Plan" aims for decisive breakthroughs in key core technologies through a new national system and extraordinary measures, particularly in areas like integrated circuits and advanced materials. It also proposes increased R&D tax deductions and greater government procurement of innovative products [4][20][21]. Expanding Domestic Demand - The plan shifts from a supply-driven approach to one that emphasizes demand, aiming to stimulate consumption and investment. It includes measures to enhance consumer spending and streamline government investment processes [5][22][23]. Systemic Reform - The "15th Five-Year Plan" focuses on enhancing the vitality of various business entities and improving the market-oriented allocation of resources. It emphasizes the need for stronger protection of property rights and the optimization of asset structures [7][24][25]. Opening Up - The plan advocates for a steady expansion of institutional openness, aiming to align with international high-standard trade rules and enhance the internationalization of the Renminbi, reflecting a proactive approach in the context of global economic changes [8][26]. Rural Revitalization - The "15th Five-Year Plan" continues to prioritize rural revitalization, incorporating lessons from previous initiatives to improve rural infrastructure and public services, thereby promoting agricultural modernization [9][27][28]. Regional Development - The plan emphasizes the role of key regions in driving economic growth and proposes measures to enhance public services based on residency registration, reflecting a focus on urbanization and regional advantages [10][29]. Green Development - The "15th Five-Year Plan" aims to accelerate the establishment of a new energy system, focusing on increasing the share of renewable energy and implementing dual control over carbon emissions, indicating a commitment to sustainable development [11][30]. Social Welfare - The plan places a strong emphasis on high-quality employment and income distribution, introducing measures to enhance social security and housing supply, reflecting a shift in the perception of housing as a social issue [12][31][32].

Core Viewpoint - The People's Bank of China (PBOC) will resume open market operations for government bonds, indicating a shift towards stabilizing economic growth and enhancing liquidity in the banking system [1][2][4]. Group 1: Resumption of Government Bond Trading - The PBOC's resumption of government bond trading is primarily aimed at supplementing liquidity in the banking system and supporting fiscal efforts, with a total of 3.6 trillion yuan in MLF and reverse repos maturing in November and December [2][7]. - The decision aligns with the central government's goal to achieve economic and social development targets, reinforcing counter-cyclical adjustments [2][4]. - The 10-year government bond yield has increased from an average of 1.64% in January to 1.84% in October, indicating a correction in the expectation of unilateral interest rate declines [2][7]. Group 2: Future Operations and Market Impact - In the second half of 2024, the PBOC is expected to focus on purchasing short-term bonds, with two potential strategies: either continuing to buy short-term bonds or expanding purchases to other maturities like 5-year bonds [3][8]. - The resumption of bond trading sends a strong signal of prioritizing economic stability, especially as economic growth has slowed significantly in the third quarter [3][9]. - The effectiveness of the resumption will depend on whether broad fiscal measures can stimulate fixed asset investment and inflation, which are critical for sustaining a bull market driven by earnings [4][11]. Group 3: Broader Economic Context - The PBOC's actions are part of a broader strategy to ensure that fiscal and monetary policies work in tandem to stimulate demand and stabilize liquidity [3][9]. - The anticipated policies may include rate cuts or reserve requirement ratio reductions to provide cheaper liquidity and lower financing costs for banks and the real economy [3][9]. - The market's short-term focus will likely remain on risk appetite, influenced by trade negotiations and industrial policy benefits, while the long-term outlook hinges on fiscal measures driving nominal growth [4][11].

Core Viewpoint - The article highlights a significant rebound in economic indicators for October, driven by the implementation of new policy financial tools, suggesting a recovery in the economy after a challenging period in July and August [1][4][15]. Economic Indicators - The October EPMI (Emerging Purchasing Managers Index) rose sharply by 7.3 points to 59.7, indicating strong seasonal characteristics typical of autumn [4][22]. - The BCI (Business Confidence Index) increased by 0.9 points to 52.0, confirming a positive trend in economic performance from September to October [1][4]. Sales and Profit Expectations - Sales and profit indices showed a slight pullback in October but remained at the second-highest level since May, indicating sustained autumn demand [6][8]. - The sales forecast index for October was 59.7, down from 60.9, while the profit forecast index was 47.4, down from 48.3, reflecting a weaker outlook compared to previous months [6][8]. Investment and Employment Outlook - Investment and employment forward-looking indices reached their highest levels of the year, attributed to the positive impact of policy financial tools on corporate expectations [2][8]. - As of October 17, new policy financial tools had injected 189.35 billion yuan, expected to stimulate a total project investment of 2.8 trillion yuan [2][8]. Financing Environment - The corporate financing environment index saw a significant increase, indicating improved credit conditions due to policy financial tools being used to supplement project capital [11]. - The October financing environment index was 52.4, surpassing the previous value of 47.6, with only three months in the year exceeding 50 [11]. Price Expectations - Price indices for intermediate and consumer goods showed varying degrees of decline, influenced by commodity price fluctuations [12]. - The consumer price forecast index for October was 44.7, down from 47.9, while the intermediate goods price forecast index was 33.4, down from 38.0, indicating uncertainty in future price trends [12]. Policy Implications - The rebound in EPMI and BCI data suggests that the economy is sensitive to investment, with the primary challenge for macroeconomic policy being the expansion of demand rather than merely lowering interest rates [15]. - If construction projects are prioritized in 2026, there is a high probability of a gradual recovery in nominal growth throughout the year, potentially leading to a second phase of a profit-driven bull market [15].