RidersontheCharts：每周大类资产配置图表精粹-20250428

Group 1 - The report highlights a significant increase in speculative net short positions on the broad dollar, which doubled from 43,000 to 89,000 contracts, reaching the highest level since October 2024, indicating potential exhaustion of short-selling power against the dollar [4][6] - The VIX index, which measures short-term volatility of the S&P 500, has decreased, suggesting a reduction in the risk of dollar liquidity shortages. As of April 24, the VIX fell below 30, down from a peak of 40.7 on April 10, indicating a stabilization in liquidity conditions [7][9] - Gold prices have diverged significantly from the 200-day moving average, with a deviation of 21.6% as of April 25, and a peak of 26.3% on April 21, marking the second-highest level in the past 15 years. This divergence raises concerns about sustainability given the Federal Reserve's vigilance on inflation risks [10][11] Group 2 - The report notes that speculative net short positions in S&P 500 mini contracts have risen for the fourth consecutive week, increasing from 35,000 to 94,000 contracts, the highest level since September 2024, reflecting fragile investor sentiment despite the index holding above 5000 points [13][15] - Tax-related factors have led to a significant increase in U.S. Treasury cash reserves, which rose to $562.76 billion as of April 25, compared to $301.79 billion on March 28. This has resulted in a decrease in bank reserves and overnight reverse repo levels [16][17] - The equity risk premium (ERP) for the CSI 300 index stands at 6.2%, exceeding the 16-year average by one standard deviation, indicating a notable increase in the excess return provided by equities over benchmark government bond rates [18][19] Group 3 - The forward arbitrage return on China's 10-year government bonds is reported at 14 basis points, which is 44 basis points higher than the level in December 2016, suggesting favorable conditions for leveraging in the bond market [22][23] - The 3-month USD/JPY basis swap indicates a tightening of offshore dollar financing conditions, with a basis of -25.3 basis points and a Libor-OIS spread of 59.2 basis points as of April 25, reflecting the impact of stock market volatility on financing costs [25][27] - The copper-to-gold price ratio, which serves as a leading indicator for the offshore RMB, has decreased to 2.8, while the offshore RMB exchange rate has risen to 7.3, indicating a convergence in trends between the two metrics [28][29] Group 4 - The total return ratio of domestic stocks to bonds in China is reported at 22.9, which is below the average level of the past 16 years, suggesting a normalization in the relative excess returns of equities compared to fixed income assets [30][33]