证券Ⅱ：资产配置变迁与未来投资方向-券商自营配置边际从债券到权益的转型

Investment Rating - The report maintains a positive outlook on the industry, indicating a "Buy" rating for the securities sector due to the anticipated shift in asset allocation from bonds to equities [1]. Core Insights - The report highlights a significant transformation in the asset allocation strategies of securities firms, with a notable shift towards equities to enhance performance elasticity while reducing reliance on long-duration bonds [3][4]. - It emphasizes that the self-operated investment business remains the primary direction for leverage expansion, as the capital intermediary business faces limitations due to external demand and regulatory policies [21][24]. Summary by Sections 1. Securities Firms' Balance Sheet: Continuous Expansion - Since 2019, securities firms have experienced a stable and sustained expansion of their balance sheets, with total assets growing at a CAGR of 13% from 1H19 to 2023 [2][13]. - The self-operated investment and credit business are identified as the main drivers of this expansion, contributing significantly to the overall asset growth [15][25]. 2. Changes in Self-Operated Asset Allocation - The report notes a decline in the proportion of trading financial assets, while investments in other debt and equity instruments are on the rise. From 1H19 to 1H24, the scale of financial investment assets increased from 3.1 trillion to 6.3 trillion yuan, achieving a CAGR of 15% [2][26]. - The allocation of self-operated assets is shifting towards a more balanced configuration between credit bonds and interest rate bonds, with the latter becoming increasingly significant [31][37]. 3. Impact of Different Allocation Structures on Performance - The report reviews the performance of securities firms under various monetary cycles from 2019 to 1H24, indicating that firms with higher equity exposure performed better during periods of loose monetary policy [42]. - It also discusses the implications of the current monetary policy environment, suggesting that the elasticity of the equity market is expected to be greater than that of the bond market in 2025 [5][39]. 4. Future Outlook and Investment Recommendations - The report suggests that the securities industry is likely to enter a new upward cycle in 2025, driven by regulatory reforms and a stable investment environment [3][4]. - It recommends focusing on leading securities firms that are expected to benefit from supply-side reforms, such as CITIC Securities and China Galaxy Securities, while also highlighting firms involved in mergers and acquisitions [3][4].