大类资产每周观察 正信期货大类资产周报 20240825 研究员：蒲祖林 投资咨询证号：Z0017203 Email：puzl@zxqh.net PPT模板：www.1ppt.com/moban/ PPT素材：www.1ppt.com/sucai/ PPT背景：www.1ppt.com/beijing/ PPT图表：www.1ppt.com/tubiao/ PPT下载：www.1ppt.com/xiazai/ PPT教程： www.1ppt.com/powerpoint/ 资料下载：www.1ppt.com/ziliao/ 范文下载：www.1ppt.com/fanwen/ 试卷下载：www.1ppt.com/shiti/ 教案下载：www.1ppt.com/jiaoan/ PPT论坛：www.1ppt.cn PPT课件：www.1ppt.com/kejian/ 语文课件：www.1ppt.com/kejian/yuw en/ 数学课件：www.1ppt.com/kejian/shuxu e/ 英语课件：www.1ppt.com/kejian/yin gyu/ 美术课件：www.1ppt.com/kejian ...

Economic Overview - The US July Markit Manufacturing PMI fell below the expansion threshold, while Q2 GDP showed unexpected resilience, leading to a rebound in US Treasury yields and a tightening of financial conditions[3] - Domestic economic weakness persists, with real estate policies underperforming and manufacturing not experiencing seasonal strength, prompting the central bank to consider preemptive rate cuts[3] Investment Strategy - US inflation trends appear optimistic, but a cooling job market and service sector may lead to three potential rate cuts by the European Central Bank this year, with the Federal Reserve likely to cut rates in September[3] - In China, macroeconomic policy effects remain insufficient, with manufacturing and real estate sectors under pressure, suggesting a continued economic bottoming out in the short term[3] Asset Performance - A-shares outperformed other markets, while commodities saw a decline, with the Shanghai Composite Index rising by 0.37% and the Hang Seng Index dropping by 5.63%[4] - The bond market showed mixed results, with the 10-year Treasury yield rising to 4.27%, reflecting a 11 basis point increase, while the 10-2Y yield spread narrowed to -14 basis points[35] Risk Assessment - The stock-bond risk premium increased to 4.24%, indicating a higher risk appetite among investors, while foreign capital risk premium rose to 6.39%, suggesting a neutral to high level of foreign investment attractiveness[9] - Key risks include US inflation and employment disturbances, as well as the potential for geopolitical conflicts impacting market stability[3] Commodity Insights - Industrial commodities are expected to experience a rebound in August, followed by adjustments in September, with low inventory levels providing some support against declines[39] - Agricultural products are anticipated to stabilize after weather-related price fluctuations, with a focus on buying opportunities during pullbacks[39]

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投资咨询证号：Z0017203 Email：puzl@zxqh.net 2 3 主要观点 行情回顾 基本面分析 1 目录 CONTENTS 4 量化诊断 策略概述 投资要点 风险提示 美国通胀和就业扰动、国内实体经济恢复不及预期、地缘军事冲突风险 | --- | --- | --- | --- | |-----------|---------------------|-----------|-------------------------------------------------------------------------------------------------------------------------------------| | | | | | | 大类 资产 | 品种 | 策略 观点 | 核心逻辑 | | | 上证 50/沪深300 | 震荡 | 美国3月零售销售数据持续强劲，市场进一步推迟降息预期实际，美债利 | | | 中证 1000/ 中证 500 | 震荡调整 | 率和美元指数持续走强，金融条件收紧，风险资产价格纷纷承压，外资风 | | 权益 | 成长 | 震荡调整 | ...

Economic Overview - The U.S. March CPI year-on-year growth recorded at 3.5%, with core CPI at 3.8%, indicating persistent inflationary pressures[46] - U.S. Treasury yields increased significantly, with the 2-year yield rising from 4.8% to 5.1% and the 10-year yield from 4.36% to 4.49%, reflecting reduced recession fears[50] - China's economic data for March showed weakness, attributed to high base effects from last year and ongoing risks in the real estate sector, impacting consumer and business confidence[5] Market Performance - Major asset performance last week: Gold led gains, while A-shares experienced the largest decline, with the Shanghai Composite Index down by 1.62%[9] - The stock market is expected to maintain a volatile trend, with cyclical stocks likely outperforming growth stocks in the near term[55] Investment Strategy - Suggested strategy includes buying risk assets (stocks) during sharp declines and shorting safe-haven assets (government bonds) during rebounds[6] - For commodities, a narrow range of fluctuations is anticipated, with recommendations to buy agricultural products and non-ferrous metals on dips, while shorting related industrial products during rebounds[6] Risk Factors - Key risks include U.S. inflation and employment disturbances, slower-than-expected recovery of the domestic economy, and geopolitical military conflict risks[7] Monetary Supply and Demand - Last week, the central bank's reverse repos resulted in a net withdrawal of 40 billion yuan, indicating a neutral monetary supply[19] - Total bond issuance reached 20,124.4 billion yuan, with a net demand of 3,568.3 billion yuan, reflecting sustained high demand for financing[22] Real Estate Market - As of April 11, the weekly transaction area for new homes in 30 major cities was 161.6 million square meters, a seasonal decline from 261.3 million square meters, remaining at a near seven-year low[31]

上周国债发行2400亿，到期2602.3亿，货币净需求202.3亿;地方债发行1788.4亿，到期0亿，货币净需求 1788.4亿;其他债发行5382.9亿，到期7152亿，货币净需求1769.1亿;债市总发行9571.4亿，到期9754.3亿， 货币净需求182.9亿，货币需求春节期间下降，系国债融资和企业债务融资需求减少。 0 2000 4000 6000 8000 10000 12000 14000 16000 18000 20000 (10000) (5000) 0 5000 10000 15000 20000 25000 债市发行与到期（亿元） 债市净融资（右） 债市总发行 债市总到期 (4000) (3000) (2000) (1000) 0 1000 2000 3000 4000 5000 6000 0 1000 2000 3000 4000 5000 6000 7000 国债发行与到期（亿元） 国债净融资（右） 国债发行 国债到期 数据来源：同花顺iFind ，正信期货 货币供需分析-资金价格 DR007、R001、SHIBOR隔夜分别变化-11.7bp、2.1bp、17.3bp至1.85%、 ...

投资咨询证号：Z0017203 Email：puzl@zxqh.net 1、 美国2月PCE通胀数据符合预期，与CPI背离，但已开始抵抗下跌，通胀仍有韧性，美联储因担心金融风险而释放6月降息 指引，金融市场抢跑推高资产价格，谨防调整风险，关注4月美国经济数据表现。 2、国内两会后释放稳经济信心，吸引外资、资本市场治理、地产宽松加码和超长期特别国债发行等，支撑二季度企稳复苏， 国内风险资产价格有望止跌上行。短期货币供需中性偏紧，企业债务融资和地方政府发债融资需求维持高位，资金价格相对抗 跌，地产高频销售加速改善，系北京上海等一线城市地产政策进一步宽松，关注刺激效果持续性，制造业产能利用率内外需分 化，关注外需边际下滑的风险，内需复苏力度仍需更强宽财政政策刺激，关注政策落实进度。 策略建议 数据来源： iFind.正信期货 燃油指数 沪银指数 沪金指数 生猪指数 棕榈油指数 豆粕指数 豆二指数 菜粕指数 原油指数 豆一指数 沪铜指数 豆油指数 纸浆指数 橡胶指数 沪铅指数 沪铝指数 低硫燃油指数 沪锡指数 菜油指数 花生指数 白糖指数 苯乙烯指数 沪锌指数 20号胶指数 短纤指数 PTA指数 沥青指数 聚丙烯指数 ...

投资咨询证号：Z0017203 Email：puzl@zxqh.net 2 3 主要观点 行情回顾 基本面分析 1 目 录 CONTENTS 4 量化诊断 策略概述 投资要点 风险提示 美国通胀和就业扰动、国内实体经济恢复不及预期、中东巴以冲突和红海危机扩散 | --- | --- | --- | --- | |-------------|--------------------|-------------|-----------------------------------------------------------------------------------------------------------------------------------| | 大类 资产 | 品种 | 策略 观点 | 核心逻辑 | | | 上证50/沪深 300 | 震荡筑底 | 美国1月 CPI和PPI 双双强于预期，彻底浇灭市场乐观降息预期，美债利率 | | | 中证 1000/中证500 | 震荡筑底 | 反弹新高，风险资产价格高位承压，外资风险溢价指数高位大幅回落，国 | | 权益 | 成长 | 震荡筑底 ...

Group 1: Economic Indicators - US January CPI and PPI exceeded expectations, dampening market optimism for interest rate cuts, leading to a rebound in US Treasury yields to new highs[3] - Core PCE inflation in the US has entered an optimistic range under high interest rate constraints, indicating a potential shallow recession or soft landing for the US economy[3] - China's social financing and credit data showed strong performance in January, with consumption during the Spring Festival holiday expected to improve marginally[3] Group 2: Market Performance - A-shares and Hong Kong stocks led gains, while gold prices declined, reflecting a mixed performance across major asset classes[5] - The stock-bond risk premium recorded at 4.13%, down 0.3% from last week, indicating a high level of external capital risk premium[9] - The 10-year US Treasury yield increased by 27 basis points, reflecting market adjustments to economic data and interest rate expectations[64] Group 3: Investment Strategies - It is recommended to adjust allocations towards risk assets (stocks) and short positions on safe-haven assets (government bonds) in the current market environment[3] - For commodities, a strategy of buying dips in non-ferrous and chemical-related industrial products is suggested, while shorting infrastructure-related black industrial products during rebounds[3] - The strategy for precious metals suggests buying gold and silver on pullbacks, anticipating a stabilization phase[3]