【资产配置快评】2026年第3期：Riders on the Charts:每周大类资产配置图表精粹-20260119

Group 1: Inflation and Commodity Performance - The total return ratio of gold to U.S. Treasuries reached 0.41 by December 2025, indicating that high inflation risks may have been fully priced in, as historical comparisons show similar levels during periods of high inflation with CPI at 9.7% and 8.3%[5] - The S&P Goldman Sachs Commodity Index fell by 1% in the first nine months of 2025, while the CRB Commodity Index rose by 1.7%, reflecting a subdued performance in commodities due to the contraction of the U.S. "twin deficits" from 11.5% to 9.8% of GDP[11] - The gold-to-silver price ratio dropped to 51 as of January 16, 2026, below the 60-year average of 59, suggesting potential downward pressure on gold prices[8] Group 2: U.S. Debt and Interest Rates - The weighted average yield of U.S. Treasuries rose to 3.36% by Q3 2025, the highest since Q2 2009, while interest expenses as a percentage of GDP increased to 3.86%[14] - The U.S. mortgage effective rate was 4.2% as of Q3 2025, which is 2.1% lower than the 30-year mortgage rate, indicating a potential overestimation of the pressure on household consumption from high mortgage rates[17] - The weighted duration of U.S. Treasuries decreased from 72 months to 71.3 months, alleviating some pressure on government interest expenses[14] Group 3: Equity Risk Premium and Market Indicators - The equity risk premium (ERP) for the CSI 300 Index was 4.1% as of January 16, 2026, which is below the historical average by one standard deviation, indicating potential for valuation uplift[20] - The total return ratio of domestic stocks to bonds was 29.3 as of January 16, 2026, above the past 16-year average, suggesting increased attractiveness of equity assets relative to fixed income[30] - The forward arbitrage return for China's 10-year government bonds was 34 basis points as of January 16, 2026, which is 64 basis points higher than the level in December 2016[22]