Group 1: Overview of Macro Hedge Strategies - Macro hedge strategies utilize macroeconomic and geopolitical data to analyze and predict market movements[1] - Barclays categorizes macro hedge funds into three types: unspecified macro strategies, discretionary macro strategies, and quantitative macro strategies[1] Group 2: Fund Growth and Management Scale - The number of macro hedge funds has shown stable single-digit growth annually from 1992 to 2023, totaling 166 funds by September 2023[2] - The management scale of macro hedge strategies increased from $82 million in January 1994 to nearly $54 billion by May 2024, a growth of 653 times[2] Group 3: Performance Metrics - The cumulative net value of unspecified macro strategies reached 21.39 by May 2024, while discretionary and quantitative strategies reached 5.30 and 15.18 respectively[2] - Average annualized returns are 10.97% for unspecified macro strategies, 7.54% for discretionary strategies, and 10.82% for quantitative strategies, with respective volatilities of 8.43%, 7.18%, and 11.27%[2] Group 4: Correlation and Risk Analysis - Macro hedge strategies show higher correlation with the S&P 500 than with the Russell 2000, indicating greater sensitivity to large-cap equity movements[2] - The correlation of unspecified macro strategies with the Barclays Hedge Fund Index is higher than with the Barclays CTA Index, suggesting better diversification potential when combined with CTA strategies[2] Group 5: Fee Structures - The most common front-end management fee for unspecified macro strategies is 2%, with a range from 0.35% to 4%, and a back-end fee of 20%[2] - 68% of unspecified macro hedge funds have a high-water mark provision, ensuring performance fees are only charged on profits exceeding previous peaks[2]

| --- | --- | --- | |----------------------------------------------------------------------------------------|-------|-------| | | | | | | | | | | | | | | | | | 国泰君安期货 · 海外研究 | | | | 孙嘉良 （联系人） 海外宏观及大类资产周度报告 | | | | 国泰君安期货研究所 刘雨萱 Z0020476 | | | | 戴璐（联系人） F03107988 俞臻洋（联系人） F03131108 F03129093 日期： 2024 年 8 月 4 日 | | | Guotai Junan Futures all rights reserved, please do not reprint CONTENTS 01 • Macro at a Glance • Thoughts of the Week 周度重点宏观逻辑追踪及FICC观点 大类资产周度表现及市场高频数据 • 固定收益 – 海外固收周度表现 • 固定收益 – 美债收益率曲线和信用利差 • ...

国 泰 君 安 期 货 研 究 所 | --- | --- | |-------------------------------------------------------------------------------------------------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- ...

股 票 研 究 [Table_Industry] 钢铁 行 业 周 报 2024.07.21 [Table_Invest] 评级: 增持 上次评级: 增持 | --- | --- | |----------------------------------|-------| | [Table_subIndustry] 细分行业评级 | | | 普碳钢 | 增持 | | 不锈钢 | 增持 | | 特殊钢 | 增持 | | 钢铁贸易 | | | 钒电池 | 增持 | | 钢管 | 增持 | | 铁矿石 | 增持 | | 钢铁制品 | 增持 | [Table_Report] 相关报告 钢铁《需求小幅回升,总库存由增转降》 钢铁《钢铁行业周报数据库 20240714》 钢铁《周产量环比下降,盈利率环比回升》 钢铁《钢铁行业周报数据库 20240707》 钢铁《需求继续小幅回升》 2024.07.17 2024.07.14 2024.07.08 2024.07.07 2024.06.30 需求边际上升,库存连续下降 | --- | --- | --- | --- | |----------------|--------- ...

宏 观 及 期 指 点 评 陶金峰 投资咨询从业资格号：Z0000372 taojinfeng013026@gtjas.com 本报告的观点和信息仅供风险承受能力合适的投资者参考。本报告难以设置访问权限，若给您造成不 便，敬请谅解。若您并非风险承受能力合适的投资者，请勿阅读、订阅或接收任何相关信息。本报告不构成 具体业务或产品的推介，亦不应被视为相应金融衍生品的投资建议。请您根据自身的风险承受能力自行作 出投资决定并自主承担投资风险，不应凭借本内容进行具体操作。 预计日内 IH2408 大概率将偏弱震荡，并将下探支撑位 2408 和 2396 点，2396 点短线支撑较强，阻力 位 2439 和 2450 点，2450 点阻力较强，日内难以突破。 7 月 22 日，中国人民银行授权全国银行间同业拆借中心公布，2024 年 7 月 22 日贷款市场报价利率 （LPR）为：1 年期 LPR 为 3.35%，5 年期以上 LPR 为 3.85%，均较前一期下调 10 个基点。以上 LPR 在下一 次发布 LPR 之前有效。 2024 年 7 月 22 日 【声明】 7 月 22 日，股指期货主力合约 IF2408、 ...

商业地产贷款总额同比及商业地产逾期率 2998.029 (下图:同比)(L1)2998.029 业地产贷款总额 -8.00 役款逾期率 于 3/31/24 (R1) 中 | 如产 1.25 2500- -6.00 2000- -4.00 1500- -2.00 1.25 1000- 0.00 20 10- 5 2.65) ■PoP Rate(Year on Year,1) (ALCBCOMM) 2.65 -10- 2005-2009 2010-2014 2015-2019 2020-2024 线(300000) Index 《机器模业组织》签单词： 英北网地产资款支付前 | riskfock-直家地产品实注意称 | 日光网 03882000-37FLJIDA II-In 3024 (N-STAI Georight® 3034 Bloomberg Finance L.P. -9000 ■欧央行APP月度净购买 于 6/30/24 (L1) =21765 80000- - 8000 60000 ■欧央行资产负债表(下图:净变化)(R1)6494.463 6494.463 40000- 20000- -5000 0 ...

油气勘探与生产ETF资金流量追踪 BOJ 后 YCC 时代 - 日元 Carry 交易体系市场高频数据追踪 -- 2000 @.0000- ■USDJPY 1年污期对冲成本指数(11) -4.7395 -0.0000 ■USDJPY 3M 波动率 (R1) ■受数2年期国债科差（倒序） 于 7/12/24 (R2) -4.1154 - 16.0000 -1.0000- -- 1.0000 - 14,0000 -2.0000- 8 -12.0000 -2.0000 -3.0000- 10.0000 > - 3.0000 -4.0000 0.0000 chise -5.0000 6.0000 -5.0000 -6.0000- -4.0000 2022 2022 2004 2019 2420 2001 C ( 1750) Program 19-26-2017-01-26 14 CFTC CME 日元对冲基金和资产管理机构日元净持仓 实时经济动能 - 实时GDP模型、WEI和板块经济惊喜指数 美国经济各板块经济惊喜指数 金融条件 - 央行资产负债表及金融条件指数 34 美国联邦政府财政支出分项明细 (月度) 67.4 ...

Group 1: Soybean Planting Area Adjustments - The June planting report indicated a soybean area of 86.1 million acres, down 400,000 acres from the March report, contrary to market expectations of an increase to 86.75 million acres[22] - The adjustment primarily reflects a shift to corn planting in states like Iowa and Ohio, with significant reductions in Missouri, North Dakota, and South Dakota[22] - The total soybean planting area has increased from 83.6 million acres in 2023, showing a year-on-year growth[22] Group 2: Abandonment Decisions and Factors - Abandonment decisions are influenced by weather conditions, with excessive rainfall delaying planting in states like Minnesota and Missouri[8] - The abandonment rate for soybeans is predicted to be 1.23% of the March planting area, with an estimated abandonment area of 1.2 million acres for 2024[12] - Historical data shows that abandonment rates can vary significantly, with a low of 0.2% in 2012 and a high of 5.6% in 2019, averaging 1.4%[62] Group 3: Economic Considerations for Farmers - If farmers in Minnesota choose to claim abandonment compensation, their expected profit would be $245 per acre, compared to $252 per acre if they opt for late planting[12] - The decision to abandon or continue planting is influenced by the potential profitability of each option, with farmers weighing risks against expected returns[12] - The average abandonment compensation is calculated to be approximately $244.92 per acre after accounting for costs related to weed control and insurance premiums[41] Group 4: Predictive Modeling and Analysis - A regression analysis using weekly planting progress as an independent variable shows a significant negative correlation with abandonment rates, explaining 70.23% of the variance in abandonment rates[75] - The model predicts that the total abandonment and switching area for soybeans in 2024 will be around 1.2 million acres, with USDA planting area estimates between 85 million and 85.58 million acres[76]

Group 1: Economic Trends - The U.S. economy shows signs of slowing momentum, with key indicators such as the ISM PMI services index falling below the neutral line and the unemployment rate rising to 4.1%[9] - Recent non-farm payroll data has been revised down significantly, with June's addition at 206,000, indicating a trend of declining job growth[26] - Inflation expectations are rebounding due to rising oil prices, despite a general economic slowdown[9] Group 2: Market Reactions - Following the first debate between Biden and Trump, the yield spread between 10-year and 2-year U.S. Treasuries has rapidly widened, indicating market adjustments to potential political outcomes[10] - The long-term U.S. Treasury yield is expected to find support between 4.10% and 4.15%, with a target of 3.80% for the year[19] - The political landscape in France suggests a controlled rightward shift, reducing risks of drastic policy changes in the EU, which has led to a rebound in the Euro and a corresponding decline in the U.S. dollar[18] Group 3: Asset Performance - The S&P 500 index increased by 1.54% to 5,567.19, while the Nasdaq Composite rose by 2.77% to 18,352.76, reflecting positive market sentiment[83] - Commodities such as zinc and tin are highlighted for potential bullish opportunities due to supply-side constraints, while copper remains stable amid ample supply[23] - The U.S. dollar is expected to fluctuate around a target of 104.2, with a longer-term outlook of 102.8 to 100.6 for the year[28]

期 货 研 究 所 欧元区7月Sentix投资者信心指数 点评：7月9日22:00，美联储主席鲍威尔将在参议院银行委员会发表半年度货币政策证词。关注本次众议院 货币政策证词内容及其对于相关期货品种价格的影响。 宏 观 经 济 研 究 中国6月CPI和PPI 中国6月社会融资规模、M2和新增人民币贷款 美国截至7月5日当周EIA原油库存变动 马来西亚棕榈油供需报告 点评：7月11日16:00，国际能源信息协会（IEA）将公布月度原油市场报告，关注报告内容及其对于原油和 相关商品期货价格的影响。 点评：7月11日20:30，美国劳工部将公布6月CPI。预期美国6月CPI未季调年率为3.3%，前值为3.3%；预期 美国6月核心CPI未季调年率为3.4%，前值为3.4%。如果美国6月CPI未季调年率、核心CPI未季调年率与前值持 平，则将降低美联储今年9月议息会议开始降息的预期概率，美联储开始降息时间大概率将推迟至今年11月或12 月，将抑制相关商品期货价格上涨。 农产品供需形势分析月报 请务必阅读正文之后的免责条款部分 3 期货研究 本报告的观点和信息仅供本公司的专业投资者参考，无意针对或打算违反任何地区、国家、城 ...