Group 1: Macroeconomic Indicators - February US CPI data recorded a year-on-year increase of 3.15%, up from 3.09% in January, indicating a slowing down in the disinflation process[5] - Core inflation year-on-year decreased to 3.75%, influenced by base effects, with core services remaining resilient[5] - The upcoming FOMC meeting on March 21 may present an upward revision risk in the dot plot, with potential adjustments from 75bp to 50bp[4] Group 2: Interest Rates and Bond Market - As of March 15, 2024, the 10-year US Treasury yield is at 4.31%, reflecting a weekly increase of 23.14 basis points[7] - The 2-year US Treasury yield increased by 25.41 basis points to 4.73%[7] - The current pricing of US Treasury yields is relatively balanced according to economic fundamentals, with policy changes being a key variable affecting recent interest rate movements[4] Group 3: Currency and Exchange Rates - The offshore RMB spot rate increased by 0.08% while the onshore RMB spot rate rose by 0.13%[33] - The US Dollar Index is at 103.4320, reflecting a weekly increase of 0.70%[33] - The Japanese Yen is expected to strengthen due to anticipated signals from the Bank of Japan regarding the exit from YCC, with a recent wage negotiation resulting in a 5.28% increase, the highest in 30 years[42] Group 4: Commodity Prices - Recent increases in core commodities, particularly crude oil and copper, have led to a rise in short-term inflation expectations[44] - Brent crude oil prices increased by 2.87% to $85 per barrel, while LME copper rose by 5.74%[102] - The gold-silver ratio is expected to converge as silver presents a better long position due to lower price levels[33]

Investment Trends - Real estate development investment in January-February 2024 decreased by 9% year-on-year, a slight improvement from the previous value of -12.5%[3] - Cumulative real estate investment reached 1.18 trillion yuan, down from 1.37 trillion yuan in the same period of 2023[3] - New construction area saw a significant decline of 29.7% year-on-year, worsening from -10.3% previously[10] Construction and Completion - The construction area growth rate was -11% in January-February 2024, compared to -7.2% in the previous period[4] - The completion area growth rate plummeted to -20.2%, down from a positive 15.3% previously[4] - Cumulative completion area decreased significantly, indicating ongoing weakness in the construction sector[4] Sales Performance - Real estate sales area fell by 20.5% year-on-year, a notable increase in the decline compared to -12.7% in the previous period[42] - Sales revenue dropped by 29.3%, worsening from -17.1% previously, with cumulative sales amounting to 1.06 trillion yuan[42] - The inventory clearance cycle for new homes extended to 8.06 months, indicating a slow recovery in sales[16] Funding Sources - Funding sources for real estate companies decreased by 24.1% year-on-year, with a notable decline in "other funds" contributing to this drop[46] - Domestic loans fell by 10.3%, while foreign investment showed a slight recovery with a 7.4% increase[46] - The overall funding environment remains challenging, primarily due to weak sales performance[22] Market Sentiment and Policy - Market sentiment is pressured by ongoing declines in housing prices and risks associated with real estate companies[8] - Recent policies aim to stabilize the real estate market, with a focus on reasonable financing support for different types of real estate enterprises[69] - The government emphasizes the importance of real estate in economic development, indicating potential for further supportive measures[69]

宏 观 经 济 研 究 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，不应凭借本报告进行具体操作。 3 月 20 日 09:15，中国人民银行将授权全国银行间同业拆借中心公布 2022 年 3 月贷款市场报价利率（LPR）， 预期 1 年期 LPR 为 3.45%，与前值持平；预期 5 年期以上 LPR 为 3.95%，与前值持平。 3 月 21 日 02:00，美联储 FOMC 公布利率决议和经济预期摘要，预期美联储将联邦基金利率维持不变。 3 月 21 日 20:00，英国央行公布利率决议、会议纪要，预期英国央行将基准利率维持 5.25%不变。 3 月 21 日 17:00，市场研究机构 Markit 将公布美国 3 月 Markit 制造业 PMI 初值。 此外，重点关注国内宏观政策变化、国际地缘政治局势、美联储官员讲话等因素对于期货市场的影响 ...

■10年期国债投标/认购比例 ■30年国债投标/认购比例 2.510 2.470 -4.000 =2年期国债投标/认购比例 于 2/26/24 2.490 -3,500 -3,000 -2.000 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 美国中长期国债和FRN及TIPS国债发行量 350 306.000 ■美国中长期国债发行量 306.000 ■美国TIPS及FRN国债发行量 37.000 306.000 250- 200- 150+ 100- 2017 2020 2014 2015 2016 2018 2019 2021 2022 2023 美债期货持仓(资产管理和杠杆性对冲基金) | --- | --- | --- | --- | --- | --- | --- | |----------------|--------|-------|-------|---------------------------------------------------------|-------------------------- ...

本公司具有中国证监会核准的期货交易咨询业务资格 本内容的观点和信息仅供国泰君安期货的专业投资者参考。本内容难以设置访问权限，若给您造成不便，敬请 谅解。若您并非国泰君安期货客户中的专业投资者，请勿阅读、订阅或接收任何相关信息。本内容不构成具体 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。 分析师声明 作者具有中国期货业协会授予的期货投资咨询执业资格或相当的专业胜任能力，保证报告所采用的数据均来自 合规渠道，分析逻辑基于作者的职业理解，本报告清晰准确地反映了作者的研究观点，力求独立、客观和公 正，结论不受任何第三方的授意或影响，特此声明。 免责声明 本报告的信息来源于已公开的资料，本公司对该等信息的准确性、完整性或可靠性不作任何保证。本报告所载 的资料、意见及推测仅反映本公司于发布本报告当日的判断，本报告所指的期货标的的价格可升可跌，过往表 现不应作为日后的表现依据。在不同时期，本公司可发出与本报告所载资料、意见及推测不一致的报告。本公 司不保证本报告所含信息保持在最新状态。同时，本公司对本报告所含信息可在不 ...

我们运用国内的宏、中、微观尺度下的模型以及对于海外经济环境的判断,构建了涵盖股、债、商品 以及现金的大类资产配置持仓。 该持仓表现用于宏观配置的观点映射、资产表现的持续跟踪以及研究方法的反复论证。 2月思路:前期 A+H 市场呈现超调,同时月初中债、美债性价比均不够高,商品配置中频 CTA 为了分 散收益来源,且看好年中中美补库共振作为提前布局。月中10V 美债利率触达4.3%-带后美债长债配置 价值凸显,因此加仓偏长久期的美债 ETF,TLT,通过规避美债短债来增强对于加息不确定性的应对,同时 保留长端的观点。中债长债拥挤度较高,性价比偏低。 图 1: 宏观大类资产配置组合表现 4.57% 2. 周期定位与资产配 2.1 三周期分析框架 当前国内正处于三周期分析框架(详见《深度专题:2022与2012 当经济周期与政治周期相遇》) 下 的第1阶段的复苏期。1月份权益市场的风险释放后,伴随着持续的资本市场机制改革,权益市场迎来反 弹,同时静待关键政策会议的召开。 海外当前处于从阶段4向阶段5的过程中,美国近期的非农数据显著强于预期且带领10Y 美债收益率 重回 4.3%一带。年内首次降息预期由年初的3月后移至 ...

Group 1: Asset Allocation Strategy - The macro asset allocation includes 25% A-shares, 25% H-shares, and 25% cash, with a focus on U.S. and Chinese bonds[1] - Adjustments on February 14 included increasing long-term U.S. Treasury bonds (TLT) while reducing cash to 5% of the initial portfolio[1] - The strategy aims to construct a balanced portfolio under different macroeconomic conditions, emphasizing the importance of Beta acquisition[1] Group 2: Performance Metrics - As of February 23, the overall portfolio achieved a return of 4.57%[4] - Individual asset returns included 1.99% for A-shares, 2.26% for H-shares, and 0.33% for U.S. bonds, while cash and CTA strategies showed negligible returns[4] - The performance of the CTA strategy is tracked weekly, with expectations for improved efficiency through futures replacements in certain asset categories[6] Group 3: Market Outlook - The outlook for March remains optimistic for A+H markets, with expectations of a rebound in U.S. long-term bonds following the release of key economic data[1] - The report anticipates a potential synchronization of inventory replenishment between China and the U.S. around mid-year, which could enhance CTA strategy returns[1][49] - Risks include potential policy support falling short of expectations and stronger-than-expected non-farm payroll data in February[1]

Group 1: Real Estate Investment Trends - Real estate investment in China has declined for two consecutive years, with a cumulative drop of approximately 20%[3] - In 2023, the total real estate development investment amounted to CNY 11.09 trillion, a year-on-year decrease of 9.6%[3] - The new construction area in 2023 was 9.54 billion square meters, only 42% of the historical peak in 2019[54] Group 2: Sales and Price Dynamics - In 2023, the sales area of commercial housing was 11.17 billion square meters, marking a year-on-year decline of 8.5%[57] - Housing prices have been declining for 24 consecutive months, with the longest downturn recorded in history[66] - The inventory clearance cycle for commercial housing has extended, with a narrow sales average indicating a prolonged period of high inventory[14] Group 3: Policy and Market Response - Policies aimed at stabilizing the real estate market have intensified, focusing on financing for real estate companies and boosting residential demand[69] - The actual cost of home loans remains high, with the weighted average interest rate for personal housing loans at 3.97% as of December 2023[75] - The financing sources for real estate companies showed a negative contribution, with a cumulative year-on-year decline of 13.6% in 2023[70]

Monetary Policy - The central bank will lower the reserve requirement ratio by 0.5 percentage points on February 5, providing approximately 1 trillion yuan in long-term liquidity[2] - The 5-year LPR rate was reduced by 25 basis points to 3.95%, marking the largest single drop in LPR history, exceeding market expectations[2] - As of the end of January, the balance of inclusive loans to small and micro enterprises reached 29.91 trillion yuan, a year-on-year increase of 24.41%[2] Fiscal Policy - The issuance of special government bonds exceeded 1.3 trillion yuan by the end of 2023, significantly impacting government spending and debt resolution[5] - The Ministry of Finance indicated that fiscal spending will maintain necessary intensity and that local government special bonds will continue to be arranged[23] Real Estate Policy - A new mechanism for coordinating real estate financing has been established, with over 8,200 projects receiving bank credit support amounting to over 160 billion yuan[35] - Major cities have implemented policies to optimize home purchasing, including adjustments to down payment ratios and lifting purchase restrictions in several areas[37] Exchange Rate - The RMB exchange rate has shown slight depreciation since the beginning of the year, with the central bank emphasizing stability and market-driven adjustments[25]

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