宏 2025 年 03 月 15 日 君研海外·特朗普 2.0 关税政策及反制措施全 梳理——从贸易流和贸易结构看关税冲击 资格戴璐 从业资格号:Z0021475 dailu026543@gtjas.com 俞臻洋（联系人） 从业资格号：F03131108 yuzhenyang029511@gtjas.com 报告导读： 特朗普 2.0 时代的关税政策已于 2 月正式拉开帷幕。截至当前，尽管具体实施过程历经波折，但 一系列关税措施已经相继落地—— 针对钢铁和铝的 25%普遍关税、对华累计 20%进口关税，加、墨 两国 25%进口关税两次修改并延后。与此同时，针对欧盟汽车、机器设备、酒类商品的关税，对加拿 大木材与乳制品关税，以及对全球范围内木材、铜、农产品、半导体、交通工具和药品的进口关税仍 在酝酿与调查之中。特朗普 2.0 关税攻势总体呈现节奏快、范围广、不确定性强的特征，对全球市场 情绪产生显著影响。随着特朗普通过签署行政令、社交媒体评论与新闻访谈等方式频繁挥舞关税大 棒，关税增量消息往往出其不意，且从口头宣布至正式落地期间反复摇摆，市场在对未来关税节奏和 影响的不确定性中备感不安和焦虑。 为了在关税政策 ...

国泰君安期货研究所 · 绿色金融与新能源团队 邵婉嫕，绿色金融与新能源组行政负责人，投资咨询从业资格号：Z0015722 张航，新能源研究员，投资咨询从业资格号：Z0018008 唐惠珽，新能源研究员，投资咨询从业资格号：Z0021216 张再宇，新能源研究员，从业资格号：F03108174 刘鸿儒，新能源研究员，从业资格号：F03124172 日期：2025年3月16日 【世说新能·周论】 ——新能源策略周报 锂辉石(2%-2.5%,CIF) 190 美元/吨 0.00% 锂辉石精矿(6%,CIF) 840 美元/吨 -0.47% 锂云母 (2.0%-2.5%) 1930 元/吨 5.46% 磷锂铝石 (6%-7%) 7125 元/吨 0.00% 锂矿 72900 元/吨 -0.27% 碳酸锂(99.2%工业零级) 工业级碳酸锂 69900 元/吨 -0.21% 75100 元/吨 -0.20% 氢氧化锂 电池级粗颗粒(56.5%) 电池级微粉型(56.5%) 142000 元/吨 0.00% 137500 元/吨 0.00% 工业级氟化锂(≥99.9%) 氟化锂 电池级氟化锂(≥99.9%) 74850 ...

2025 年 3 月 10 日 后俄乌战争时代能化贸易格局探讨 | 黄柳楠 | 投资咨询从业资格号：Z0015892 huangliunan021151@gtjas.com | | --- | --- | | 陈鑫超 | 投资咨询从业资格号：Z0020238 chenxinchao029552@gtjas.com | | 梁可方 | 投资咨询从业资格号：Z0019111 liangkefang024064@gtjas.com | | 王涵西 | 投资咨询从业资格号：Z0019174 wanghanxi023726@gtjas.com | | 郑玉洁 | 投资咨询从业资格号：Z0021502 zhengyujie026585@gtjas.com | | 赵旭意 | 投资咨询从业资格号：Z0020751 zhaoxuyi024701@gtjas.com | | | 钱嘉寅（联系人）从业资格号：F03124480 Qianjiayin028310@gtjas.com | 报告导读： 2025 年 3 月，俄乌冲突正式迈入第四个年头。尽管双方仍在库尔斯克、顿涅茨克等关键战线激烈拉 锯，但国际局势的风向已悄然转变——特 ...

2025 年 2 月 28 日 2025 年两会前瞻 毛磊 投资咨询从业资格号：Z0011222 maolei013138@gtjas.com 王笑 投资咨询从业资格号：Z0013736 Wangxiao019787@gtjas.com 报告导读： ◼ 摘要： 3 月 5 日，两会政府工作报告将公布今年主要经济发展目标和政策取向。目前来看，今年 GDP 增长目 标大概率与去年的 5%一致，继续传递对经济增长的重视。CPI 或从 3%下调至 2%，更务实也更强调落实。 根据去年 12 月政治局会议实施积极财政政策的要求，预计赤字率从 3%上调至 3.8%-4%，赤字规模升至 5.5 万亿左右。将继续发行用于"两新"的超长期国债 1-1.2 万亿，发行用于补充商业银行资本金的特别国债 5000 亿元-1 万亿。地方专项债方面，由于土储专项债的恢复以及专项债使用范围进一步扩大，地方专项 债额度或从 3.9 万亿扩张至 4.5-5 万亿（含用于化债的 8000 亿元）。根据各分项中位数汇总计算，预计今 年广义财政赤字规模从去年约 10 万亿增加至 12 万亿左右。此外，房地产领域可能进一步明确存量房收购 任务，城中村 ...

国泰君安期货研究所 · 海外研究 戴璐 Z0021475 君研海外 · 特朗普2.0新政的 优先级与预期差 俞臻洋（联系人）F03131108 孙嘉良（联系人）F03129093 Guotai Junan Futures all rights reserved, please do not reprint 上一届特朗普政府在第一周签署的行政命令共4项，重点关注边境安全、移民 执法和基础设施项目 在美国历史上，总统上任第一天签署行政命令较为少见，本届特朗普政府在 特朗普上一届执政期内签署的行政命令数量超过拜登政府 首日签署46项行政令，创历史新高 在美国过去16届美国政府中，只有3位总统（特朗普、拜登和克林顿）在上任首日签署了行政命令。上一届特朗普政府在首日签署了1项 行政命令，而拜登则签署了9项。首周共签署4项行政命令，主要重点关注边境安全、移民执法和基础建设项目 Special report on Guotai Junan Futures "百日新政"期间，特朗普共签署了33项行政命令，拜登签署42项 总体来看，特朗普在其第一个任期结束时签署的行政命令比拜登多58项 新一届特朗普政府在第一天便创纪录地签署4 ...

Quantitative Models and Construction Methods - **Model Name**: CTA Trend Strategy **Model Construction Idea**: The model leverages market trends and volatility to capture trading opportunities, particularly in high-trend environments. It performs better in markets with strong directional movements. [21][22] **Model Construction Process**: The strategy is built on analyzing historical price movements and volatility metrics. It uses trend-following algorithms to identify upward or downward trends in commodity prices. Key metrics include annualized return, volatility, maximum drawdown, Sharpe ratio, and Calmar ratio. [21][22] **Model Evaluation**: The model demonstrates robust performance in high-trend markets but struggles in low-volatility or range-bound conditions. [21][22] - **Model Name**: CTA Cross-sectional Strategy **Model Construction Idea**: This strategy focuses on relative performance across different assets, aiming to exploit cross-sectional volatility and relative strength. [22][25] **Model Construction Process**: The strategy uses cross-sectional data to identify assets with stronger or weaker relative performance. It incorporates multi-factor analysis, including basic fundamental factors and price-based metrics. [22][25] **Model Evaluation**: The strategy underperformed in 2024 due to low cross-sectional volatility and synchronized market movements. [22][25] Model Backtesting Results - **CTA Trend Strategy**: - Annualized Return: 9.53% - Annualized Volatility: 4.56% - Maximum Drawdown: 2.83% - Sharpe Ratio: 1.62 - Calmar Ratio: 3.66 [21][22] - **CTA Cross-sectional Strategy**: - Annualized Return: -1.93% - Annualized Volatility: 3.82% - Maximum Drawdown: -4.49% - Sharpe Ratio: -0.96 - Calmar Ratio: -0.82 [29][30] Quantitative Factors and Construction Methods - **Factor Name**: Short-term Momentum **Factor Construction Idea**: Captures short-term price trends and reversals in commodity markets. [25][29] **Factor Construction Process**: The factor is calculated using rolling windows of short-term price changes. It identifies assets with strong recent performance for potential continuation. [25][29] **Factor Evaluation**: The factor struggled in 2024 due to frequent market reversals and low trend persistence. [25][29] - **Factor Name**: Long-term Momentum **Factor Construction Idea**: Focuses on sustained price trends over longer periods, aiming to capture structural market movements. [25][29] **Factor Construction Process**: The factor uses extended rolling windows to analyze price trends and volatility. It identifies assets with consistent upward or downward movements. [25][29] **Factor Evaluation**: The factor performed well in 2024, particularly in capturing trends in precious metals and base metals. [25][29] - **Factor Name**: Term Structure **Factor Construction Idea**: Exploits the pricing differences between near-term and long-term futures contracts. [25][29] **Factor Construction Process**: The factor is derived from the spread between front-month and back-month futures prices, adjusted for seasonal and macroeconomic influences. [25][29] **Factor Evaluation**: The factor underperformed in 2024 due to persistent backwardation in the black commodity sector. [25][29] Factor Backtesting Results - **Short-term Momentum**: - Annualized Return: -2.07% - Annualized Volatility: 4.21% - Maximum Drawdown: -4.08% - Sharpe Ratio: -0.9 - Calmar Ratio: -0.93 [29][30] - **Long-term Momentum**: - Annualized Return: 6.02% - Annualized Volatility: 2.51% - Maximum Drawdown: -1.31% - Sharpe Ratio: 1.64 - Calmar Ratio: 3.13 [29][30] - **Term Structure**: - Annualized Return: -3.85% - Annualized Volatility: 2.62% - Maximum Drawdown: -5.40% - Sharpe Ratio: -2.18 - Calmar Ratio: -1.06 [29][30]

Performance Overview - As of November 15, 2024, the net value of the "Passive Allocation" macro hedge index is 1.2260, while the "Active Management" index is 1.1821, indicating that passive strategies outperformed active ones in terms of returns and volatility[5] - The average weekly return for the "Passive Allocation" strategy from January 5 to November 15, 2024, is 0.49%, with an annualized return of 28.83% and a volatility of 6.63%[38] - The "Active Management" strategy has an average weekly return of 0.42%, leading to an annualized return of 24.32% and a volatility of 7.52%[38] Market Correlation Analysis - The "Passive Allocation" macro hedge index's returns in 2024 are more dependent on gold, while the "Active Management" strategy relies more on the CSI 300 index[31] - The correlation of the "Passive Allocation" index with the gold ETF is 0.399, indicating a significant relationship, whereas the correlation with the CSI 300 for the "Active Management" index is 0.324[42] Strategy Insights - The "Passive Allocation" strategy focuses on risk control by distributing volatility across different assets, while the "Active Management" strategy is more event-driven, aiming for short-term gains[31] - In 2024, the "Passive Allocation" strategy had a maximum weekly return of 2.5% and a maximum drawdown of -1.45%, while the "Active Management" strategy had a maximum weekly return of 4.15% and a maximum drawdown of -1.04%[12] Investment Outlook - The macro hedge strategies are expected to provide risk diversification and return resilience in a volatile and uncertain market environment in 2025[6] - The report suggests a preference for "Passive Allocation" managers who can also manage overseas assets, such as U.S. stocks and bonds, to hedge against potential market risks[6]

贸易摩擦将显著抑制出口对中国经济增长的拉动。基于不同情景，我们分别测算了贸易摩擦这一单一变量 对中国对美出口、中国出口总额以及中美经济增长的影响。不考虑其他变量的情况下，基准情景中，中国对美 出口将下降 42.8%，出口总额将下降 8.5%，分别拖累中国与美国经济增长 1.2%、0.4%。在激进征税情景中， 中国出口总额将下降 12.3%，拖累中国经济增长 1.8%。 资料来源：国泰君安期货研究 资料来源：国泰君安期货研究 货币政策将维持支持性立场，并加强降准降息幅度。预计 2025 年中国政策利率将分两次共下降 30BP，存 款准备金率将分两次下降 50-100BP。进一步强化支持性货币政策的原因有二，其一是目前国内通胀放缓，导 致实际利率处于偏高水平，过高的政策利率不利于激发实体经济活力，其二是增量财政政策需要宽松的货币政 策配合，基于 2025 年政府债券发行规模将进一步上行的假设，央行需要增加基础货币投放量，营造相对充裕 的流动性环境。12 月中央政治局会议也强调，要实施"适度宽松"的货币政策，充实完善政策工具箱，为 2011 年以来首次改变货币政策定调。另外，美联储在 2025 年将有 50-75B ...

Group 1: Economic Trends - The overall economic structure in 2024 is characterized by supply-driven recovery, with actual GDP growth at 4.8% in the first three quarters[36] - Industrial added value increased by 5.8% year-on-year in the first 11 months of 2024, while manufacturing investment rose by 9.3%[36] - Real estate investment declined by 10.4% year-on-year in the first 11 months, indicating weak domestic demand[36] Group 2: Real Estate Market - In November, the sales area of commercial housing in 30 cities showed an upward trend, with a year-on-year growth rate turning positive[30] - The cumulative sales area of commercial housing decreased by 14.3% year-on-year, which is worse than the previous year's decline of 8.5%[66] - The expected decline in real estate investment for 2025 is around -6.3%, an improvement from the -10.3% forecast for 2024[43] Group 3: Policy and Market Response - The policy shift since September 24 has increased expectations for demand support, leading to improvements in consumption and housing sales[38] - The anticipated fiscal deficit for 2025 is projected to exceed 12 trillion yuan, with significant allocations for infrastructure and real estate recovery[55] - Consumer retail sales are expected to grow by 4.8% in 2025, up from an estimated 3.5% growth in 2024[69] Group 4: External Factors - The export growth rate is expected to turn to zero or negative in 2025 due to increased trade friction risks and a lack of significant external economic upturn[47] - The U.S. labor market shows signs of cooling, with a slight increase in unemployment rates, which may impact global economic dynamics[61]

| --- | |----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- ...