Report Industry Investment Rating No relevant content provided. Core Views of the Report - Geopolitical shocks are frequent, testing the low volatility of cross - asset classes. Geopolitics may be the key short - term market driver, and there is a risk of rising cross - asset volatility. Attention should be paid to non - eurozone safe - haven assets [11][12]. - The IEEPA ruling is still pending. If the US Supreme Court rules it unconstitutional, it may involve a $150 billion tariff refund, causing short - term tariff policy chaos, and the White House may seek an alternative legal framework [14][17]. - Changes in the expected FED chairperson have led the 10 - year US Treasury yield to break through the key level of 4.20%, with the pressure level raised to 4.20 - 4.3% [18][20]. - US fundamental data are relatively comfortable and in line with expectations. Retail sales in November were better than expected, and the CPI data in December were in line with expectations, with core CPI lower than expected [23][24]. - In the FICC precious metals market, the gold - silver ratio is returning. Gold has regained momentum, while silver is at risk of volatility. It is recommended to increase gold allocation and consider taking profit on silver long positions [25][28]. Summary by Relevant Catalogs 1. Week - to - Week Performance of Major Asset Classes and Market High - Frequency Data Fixed Income - Overseas Fixed Income: The yields of various - term US Treasuries and major developed country government bonds have changed. For example, the 10 - year US Treasury yield reached 4.22% on January 16, 2026, with a weekly change of 5.76bp [43][44]. - US Treasury Yield Curve and Credit Spreads: Track the changes in the US Treasury yield curve over 1, 3, and 6 months, as well as the long - short spreads of US Treasury yields [51]. - Relative Strength of Credit Bonds of Different Ratings and Eurozone Bond Spreads: Analyze the relative strength of high - yield and Aaa - rated credit bonds and the spreads of Eurozone government bonds [60]. - US Treasury Issuance and Primary - Secondary Market Supply - Demand Indicators: Include the issuance of US short - term Treasury bills and medium - long - term Treasuries, as well as the bid/offer ratios of 2, 10, and 30 - year US Treasuries [69][73]. Exchange Rate Market - Week - to - Week Performance of Major Exchange Rates: The US dollar index was 99.3930 on January 16, 2026, with a weekly change of 0.26%. The euro, yen, and other currencies also had corresponding changes [78][80]. - Yield Spreads between Major Country Government Bonds and US Treasuries: Analyze the 10 - year yield spreads between US Treasuries and G7 countries, as well as the 2 - year yield spreads between the US and Germany [81]. - Evolution of China's Monetary Policy Framework: The inter - bank 7 - day reverse repurchase serves as the "policy rate", and the SLF and excess reserve ratio form the "interest rate corridor" [90]. - Monthly and High - Frequency Indicators of the RMB Exchange Rate: Include China's central bank gold and foreign exchange reserves, import and export year - on - year data, and high - frequency indicators such as the yield spreads between Chinese and US 10 - year and 3 - month Treasuries [95][103]. Commodities - Week - to - Week Performance of Major Commodities: Brent crude oil had a weekly increase of 3.45%, while Shanghai copper decreased by 0.63% [121][123]. - Ratios of Major Commodities and Relative Strength of Industrial Chains: Analyze the gold - silver ratio, gold - copper ratio, and the relative strength of the downstream/upstream of the energy and black metal industrial chains [125][131]. - Mapping of Commodity Prices in the Equity and Bond Markets: Examine the relative strength of commodities compared to global equity and bond indices and the rolling correlation between upstream Bloomberg commodities and downstream equity cyclical sectors [134][137]. - High - Frequency Data of Macro Commodities: Include OPEC+ crude oil production quotas, US energy department crude oil production, and global crude oil and copper inventory changes [141][144]. Overseas Equities - Week - to - Week Performance of Global Major Indices and US Stock Sectors: The S&P 500 index decreased by 0.38%, and the Nikkei 225 index increased by 5.51%. Among the S&P industry indices, the real estate index increased by 3.89%, while the financial index decreased by 2.33% [149][153]. - Week - to - Week Performance, Valuation, and Earnings Tracking of US Stock Styles: The US large - cap growth style decreased by 1.52%, and the US small - cap value style increased by 1.34%. The PE ratios and EPS growth rates of major indices are also provided [156][160]. - Earnings Cycle Positioning - Quarterly EPS YoY Trends of Major Indices: Track the quarterly EPS YoY trends of the S&P 500, Nasdaq, and other indices [166]. - Volatility and Risk Sentiment Indicators: Include the Chicago S&P Volatility VIX index, ICE Bond Volatility MOVE index, and CBOE option PUT/CALL ratio [173]. - Tracking Factors: Track the YTW total return performance of US stock market factors [183]. Cryptocurrencies - Track BTC, ETH, and related derivative assets, including the performance of Bitcoin futures main contracts, non - commercial net positions, and the performance of cryptocurrency - related stocks [186][190]. Post - YCC Era of the BOJ - Track high - frequency data of the yen carry - trade system, such as the net amount of Japanese investors' purchases of overseas bonds and stocks, the USDJPY 1 - year exchange - rate hedging cost, and the yen 3M volatility [194][196]. 2. Macro Data Hologram and Fundamental High - Frequency Data Real - Time Economic Momentum - Include the Fed's nominal and real real - time GDP models, US GDP and its sectoral breakdowns, and economic surprise indices of the US, Europe, and China [204][208]. Financial Conditions - Analyze the Fed's balance sheet and its weekly changes, the balance sheets of G4 central banks as a percentage of GDP, and the US and Eurozone financial conditions indices [212][215]. Fiscal Policy - Examine the US federal government's fiscal expenditure and revenue breakdowns, government debt issuance, and the government deficit as a percentage of GDP [220][225]. Employment Market - Track the US employment market on a weekly and monthly basis, including non - farm payrolls, household surveys, ADP data, and job vacancy numbers [229][230]. Inflation Indicators - Analyze the breakdown of US inflation YoY data, the trends of headline and core inflation, and inflation expectations [237][242]. Consumption Demand - Track US consumption data on a weekly and monthly basis, including retail sales, consumer confidence, and personal income and savings [245][252]. Cycle Positioning - Track industrial, manufacturing, and inventory cyclical indicators, such as the LEI leading indicator YoY, ISM PMI, and US manufacturing surveys [267][272]. Credit Cycle - Track US credit surveys, valuations, and high - frequency data in the credit market, such as the SLOOS corporate credit survey and S&P index valuations [280][282]. Transportation and Logistics - Track logistics data between China, Asia, Europe, and the US, including shipping frequencies, port freight data, and aviation passenger numbers [284][297]. Real Estate Market - Analyze the US real estate equity market, credit spreads, and commercial real estate, including real estate indices, mortgage rates, and commercial real estate loan delinquency rates [302][308]. Eurozone - Provide a macro overview, cycle positioning, and relative strength analysis of the Eurozone, including deficit rates of peripheral countries, inflation trends, and retail sales data [311][331].
海外宏观及大类资产周度报告-20260118
Guo Tai Jun An Qi Huo·2026-01-18 12:09