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]

Economic Overview - US April economic data shows a cooling trend, with unemployment claims confirming this logic, leading to a decline in US Treasury yields and the dollar index[7] - China's April monetary demand and real economy data remain weak, influenced by last year's high base effect and structural policy adjustments[7] Market Performance - Hong Kong stocks led gains with a weekly increase of 7.44%, while crude oil experienced a significant decline of 6.77%[11] - The stock market is expected to maintain a rebound trend, driven by macro policy support and adjustments in US Treasury yields[40] Inflation and Monetary Policy - US inflation shows resilience, with the Federal Reserve's implied easing of inflation targets, leading to expectations of monetary policy loosening globally[8] - The market anticipates two rate cuts from the Federal Reserve in 2024, with a cumulative reduction of approximately 50 basis points[58] Investment Strategy - Recommended to buy risk assets (stocks) during sharp declines and short safe-haven assets (government bonds) during rebounds[8] - Focus on structural opportunities in manufacturing and commodities, particularly in agricultural products and non-ferrous metals[10] Real Estate and Consumer Demand - The weekly transaction area of commercial housing in 30 major cities fell to 1.22 million square meters, a 53.5% decline compared to the same period in 2019, marking a seven-year low[46] - The real estate sector remains under pressure, but demand from first-time buyers supports the market's bottom[7] Risk Factors - Potential risks include US inflation and employment disturbances, slower-than-expected recovery of the domestic real economy, and geopolitical military conflicts[9]

Economic Overview - US April economic data remains strong but shows signs of marginal cooling, with market expectations for interest rate cuts shifting slightly, raising the probability of a cut in July to 29%[31] - Domestic economic data in April continues to show weakness, with monetary demand and real economy indicators under pressure, although new policies are stimulating macro expectations[2] Market Trends - The stock-bond risk premium recorded 3.65%, down 0.12% from last month, indicating a high level of risk aversion in the market[6] - The 10-year US Treasury yield increased slightly from 4.63% to 4.64%, while the 2-year yield rose from 5.1% to 5.14%, reflecting a deepening yield curve inversion[31] Monetary Supply and Demand - In April, the total issuance of government bonds was 1,056.96 billion CNY, with maturities totaling 1,088.18 billion CNY, resulting in a net monetary supply of 31.22 billion CNY[50] - The central bank's OMO reverse repos totaled 880 billion CNY due, with a net withdrawal of 840 billion CNY, indicating a tightening of monetary supply[78] Real Estate and Manufacturing - The weekly transaction area of commercial housing in 30 major cities reached 2.208 million square meters, showing a seasonal rebound but down 18.2% compared to the same period in 2019[54] - Manufacturing capacity utilization rates show divergence, with steel mill utilization rebounding by 2.8%, while asphalt utilization dropped significantly by 6.6%[86] Commodity Insights - Commodity prices are expected to show strong fluctuations, with industrial products likely to experience a short-term correction due to overbought conditions, while agricultural products may face upward price risks due to supply shortages[36] - The inventory of major steel products continues to decline, remaining at a low level compared to historical averages, indicating potential upward pressure on prices[87]

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]

Debt Market Analysis - Last week, government bonds issued amounted to 240 billion, with maturities at 260.23 billion, resulting in a net monetary demand of 20.23 billion[1] - Local government bonds issued totaled 178.84 billion with no maturities, leading to a net monetary demand of 178.84 billion[1] - Other bonds issued reached 538.29 billion, with maturities at 715.2 billion, resulting in a net monetary demand of 176.91 billion[1] - Total bond market issuance was 957.14 billion, with maturities at 975.43 billion, leading to a net monetary demand of 18.29 billion[1] Monetary Supply and Demand - The central bank's reverse repos matured at 1,733 billion, with 1,316 billion injected, resulting in a net withdrawal of 417 billion, indicating seasonal tightening of monetary supply[25] - MLF (Medium-term Lending Facility) saw a net injection of 216 billion in January, with total MLF issuance at 995 billion and maturities at 779 billion, reflecting a significant decrease in net injection[25] Economic Activity Insights - As of February 8, the weekly transaction area for commercial housing in 30 major cities was 1.495 million square meters, a significant drop of 59.4% compared to the previous week, indicating weak consumer confidence in real estate[8] - The manufacturing capacity utilization rate showed a seasonal decline, with specific sectors like asphalt and cement experiencing decreases of 3.7% and 2.3% respectively, reflecting a broader trend of reduced activity in the manufacturing sector[46] Inflation and Interest Rates - The U.S. January CPI recorded a year-on-year increase of 3.1%, exceeding the market expectation of 2.9%, while core CPI rose to 3.9%, above the expected 3.7%[35] - Domestic interest rates showed slight fluctuations, with the 10-year government bond yield changing by 0.4 basis points, indicating a flattening yield curve[5] Market Trends - The overall performance of major asset classes last week showed A-shares and Hong Kong stocks leading gains, while gold prices faced declines, reflecting a shift in investor sentiment[16] - The risk premium for equities and bonds recorded a decrease, with the stock-bond risk premium at 4.13%, down 0.3% from the previous week, indicating a reduction in perceived risk[22]

Economic Overview - The US February PCE inflation data met expectations, showing resilience despite a divergence from CPI, prompting the Fed to signal a potential rate cut in June due to financial risks[2] - Domestic policies post-two sessions aim to stabilize the economy, attracting foreign investment and enhancing capital market governance, which supports a recovery in Q2[2] Market Trends - The stock-bond risk premium recorded at 3.84%, rebounding by 0.01% from last month, indicating a high level of foreign investment attractiveness[5] - The average daily subway ridership in 28 major cities reached 79.27 million, up 6.9% year-on-year, reflecting sustained economic activity in the service sector[9] Asset Performance - Major asset performance over the past month: Gold led gains, while commodities generally declined, with fuel oil showing the strongest performance[12][13] - The 10-year government bond yield decreased by 7.2 basis points, indicating a steepening yield curve driven by expectations of monetary easing and low financing demand[17] Real Estate Insights - As of March 28, the weekly transaction area of commercial housing in 30 major cities was 3.056 million square meters, showing a seasonal rebound but down 13.4% compared to the same week in 2019[76] - High-frequency sales in the real estate sector are improving, particularly in first-tier cities, following further policy easing[76] Commodity Analysis - Manufacturing capacity utilization rates show divergence, with a 0.83% decrease in steel mills but a significant 23.3% rebound in cement production, indicating mixed demand dynamics[41] - Commodity prices are expected to experience volatility, with agricultural products and non-ferrous metals anticipated to rebound after recent declines[51] Investment Strategy - The recommendation is to adjust positions by going long on risk assets (stocks) and short on safe-haven assets (government bonds) in anticipation of structural opportunities[11] - Caution is advised regarding potential adjustments in asset prices due to unexpected economic data, particularly in the US stock market and commodities with financial attributes[11]

Market Overview - The U.S. January CPI and PPI exceeded expectations, extinguishing market optimism for interest rate cuts, leading to a rebound in U.S. Treasury yields to new highs[20] - Domestic economic recovery remains sluggish, with high-frequency sales of new and second-hand homes showing seasonal weakness, and manufacturing capacity utilization declining seasonally[20] Investment Strategy - The strategy suggests a "震荡筑底" (oscillating bottom) for major asset classes, with a focus on risk assets like stocks and a cautious approach towards bonds[6] - Recommendations include shorting construction-related industrial products and focusing on long positions in non-ferrous metals and chemicals during market corrections[20] Risk Factors - Key risks include U.S. inflation and employment disturbances, slower-than-expected recovery of the domestic real economy, and geopolitical tensions in the Middle East[5] Performance Metrics - The stock market performance over the past week showed the Shenzhen Component Index up by 9.49%, while the Shanghai Composite Index rose by 4.97%[7] - The risk premium for equities over bonds recorded at 4.13%, down 0.3% from the previous week, indicating a decrease in foreign investment attractiveness[27] Monetary Supply Analysis - The central bank's reverse repos totaled 13,160 billion yuan, with a net withdrawal of 4,170 billion yuan, indicating a seasonal tightening of monetary supply[11] - The MLF (Medium-term Lending Facility) saw a net injection of 2,160 billion yuan, but overall monetary supply is returning to a neutral stance[11] Economic Indicators - The average daily subway ridership in 28 major cities was 43.92 million, down 38.5% year-on-year, reflecting a significant drop in service sector activity[17] - The real estate market remains under pressure, with a 59.4% week-on-week decline in second-hand home sales during the Spring Festival period[34] Commodity Market Insights - Commodity prices are expected to show mixed performance, with industrial products likely to oscillate due to U.S. Treasury yield fluctuations and domestic economic recovery post-Spring Festival[77] - Agricultural products are anticipated to continue a bottoming-out trend, driven by weak demand[77]

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]