大类资产周报：资产配置与金融工程波动率下行，风险稀释但未消退-20250610

Group 1 - The report indicates a prevailing market sentiment of "risk aversion without panic," with commodities and Asia-Pacific equity assets leading the performance, while volatility continues to decline [4][9] - Energy and precious metal prices have surged due to geopolitical disturbances and demand expectations, with natural gas and crude oil breaking key resistance levels supported by OPEC+ production cuts and summer demand [4][9] - The Hang Seng Index and Nasdaq Golden Dragon Index benefited from easing US-China trade tensions and anticipated consumer stimulus policies, leading to foreign capital inflows into Chinese stocks [4][9] Group 2 - The report suggests a favorable allocation towards short-duration high-grade credit bonds in the bond market, driven by weak growth/inflation data and liquidity easing, although caution is advised regarding the narrowing space for interest rate declines [7] - In the US stock market, economic resilience supports earnings, but the marginal weakening of fundamental data is noted, influenced by risk appetite [7] - Gold is expected to have long-term support from slowing growth and safe-haven demand, although short-term pressures from rising risk appetite are acknowledged [7] Group 3 - The report highlights a structural opportunity in the A-share market, focusing on sectors with superior earnings quality, despite a decline in valuation attractiveness [7][64] - The commodity market is under pressure from weak supply and demand, with only precious metals and certain energy products supported by safe-haven demand and supply-side disturbances [7] - Derivative strategies are recommended to focus on options protection or cross-commodity arbitrage due to a low volatility environment suppressing trend strategies [7] Group 4 - The macroeconomic perspective indicates a decline in the macro growth factor, with China's Business Conditions Index (BCI) slightly rising to 50.30, but still showing a significant drop from the March peak [40][41] - Liquidity conditions are improving, driven by strong policy signals, although the transmission mechanism to the real economy remains blocked [45] - Inflation indicators are trending downward, with PPI expectations hitting new lows, reflecting ongoing price pressures in the production sector [49] Group 5 - The report notes an increase in average daily trading volume in the A-share market, indicating improved investor participation and a neutral to strong liquidity environment [57] - ETF fund flows show a slight increase in stock and money market ETF sizes, suggesting a modest rise in investment sentiment [58] - A-share valuations have risen overall, but relative attractiveness has decreased, with the CSI 800's price-to-earnings ratio at the 45th percentile of the past three years [64]