海外宏观及大类资产周度报告：国泰君安期货·君研海外-20260329

1. Report Industry Investment Rating There is no information about the report industry investment rating in the provided content. 2. Core Viewpoints of the Report - The current main asset volatility is too restrained, and the stock and bond markets are under - priced. There are short - term bearish warnings for the equity market, bond market, and valuation - type metals, which have been fully realized in the market last week [12]. - Although the selling sentiment has slightly eased based on the hope of peace talks, the geopolitical situation is still deteriorating, and the risk of supply disruption in the Strait of Hormuz is increasing non - linearly over time. The key to judging macro - risks is whether the logistics in the strait can be restarted [12]. - Gold initially has certain "cost - effectiveness" as its relative valuation has declined while volatility remains high. The gold - silver ratio is in an upward repair channel [16][19]. - In April, there will be a real rebound in CPI data. The inflation expectation is currently under - priced, and there will be a real inflation shock in April and May [20][21]. - When the oil price is above $100 per barrel, the 2 - year inflation expectation tends to be significantly higher than the linear regression level, and the transmission of the 2 - year inflation expectation to the 2 - year US Treasury yield is more significant [23][26]. 3. Summary According to Relevant Catalogs 3.1. Week - to - Week Performance of Major Assets and Market High - Frequency Data 3.1.1. Fixed Income - Overseas Fixed - Income Weekly Performance: The yields of various - term US Treasuries and major developed country bonds have changed. For example, the 10 - year US Treasury yield reached 4.43% on March 27, 2026, with a weekly change of 4.82bp; the 10 - year German bond yield was 3.09% with a weekly change of 5.1bp [44][45]. - 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 [52]. - Relative Strength of Credit Bonds with Different Ratings and Eurozone Bond Yields: Analyze the relative strength of high - yield and Aaa - rated credit bonds, and the spreads of Eurozone government bonds [61]. - US Treasury Issuance and Primary - Secondary Market Supply - Demand Indicators: Include the issuance of US short - term Treasury bills, medium - and long - term Treasuries, and the bid/subscription ratio of 2, 10, and 30 - year US Treasuries [70][74]. 3.1.2. Exchange Rate Market - Weekly Performance of Major Exchange Rates: The US dollar index was 100.1510 on March 27, 2026, with a weekly change of 0.51%. The euro, yen, and other currencies also had corresponding changes [79][81]. - Yield Spreads between Major Country Treasury Bonds and US Treasuries: Analyze the 10 - year yield spreads between the US and G7 countries, and the 2 - year yield spreads between the US and Germany [82]. - Evolution of China's Monetary Policy Framework: The inter - bank 7 - day reverse repurchase serves as the "policy rate", and the Standing Lending Facility (SLF) and excess reserve ratio form the "interest rate corridor" [91]. - Monthly Indicators of the RMB Exchange Rate: Include China's central bank gold and foreign exchange reserves, and China's import and export year - on - year data [96]. - High - Frequency Indicators of the RMB Exchange Rate: Such as the yield spreads between Chinese and US 10 - year and 3 - month Treasury bonds, and the DR007 and Hibor 7 - day interest rates [104]. 3.1.3. Commodities - Weekly Performance of Major Commodities: Brent crude oil reached $113 on March 27, 2026, with a weekly change of 3.61%; London gold spot was $4494, with a weekly change of 0.04% [122][124]. - Price Ratios of Major Commodities and Relative Strength of Industrial Chains: Analyze the gold - silver ratio, gold - copper ratio, and the relative strength of the energy - chemical and ferrous metal industrial chains [125]. - Macro - Commodity High - Frequency Data: Include OPEC+ crude oil production quotas, US energy department crude oil production, and global crude oil and copper inventories [139][142]. 3.1.4. Overseas Equities - Weekly Performance of Global Major Indexes and US Stock Sectors: The S&P 500 index was 6368.85 on March 27, 2026, with a weekly change of - 2.12%. The S&P energy index had a weekly increase of 6.22%, while the S&P communication index had a weekly decrease of 7.17% [147][152]. - Weekly Performance, Valuation, and Earnings Tracking of US Stock Styles: The US large - cap growth style had a weekly decline of 3.76%, and the US small - cap value style had a weekly increase of 0.46% [153][155]. - Tracking of Best PE and EPS of US Stock Sectors: Compare the current and pre - 1Q Best PE and EPS coordinates of 11 US stock sectors [158]. - Earnings Cycle Positioning - Quarterly EPS Year - on - Year Trends of Major Indexes: Analyze the EPS year - on - year trends of the S&P 500, Nasdaq, and other indexes [163]. - Volatility and Risk Sentiment Indicators: Include the Chicago S&P Volatility VIX Index and the ICE Bond Volatility MOVE Index [170]. - Tracking of US Stock Market Factors: Track the total return performance of US stock market factors YTW (Year - to - Date) [179]. 3.1.5. Cryptocurrencies - BTC, ETH, and Related Derivative Assets: Track the Bitcoin futures main contract, non - commercial net positions, and the performance of cryptocurrency - related stocks [181][182]. 3.1.6. Post - YCC Era of the BOJ - High - Frequency Data Tracking of the Yen Carry Trade System: Include the net amount of Japanese investors' purchases of overseas bonds and stocks, the USDJPY 1 - year exchange - rate hedging cost, and the yen 3 - month volatility [189][191]. 3.2. Weekly Key Macroeconomic Logic Tracking and FICC Views - Weekly Overseas Macroeconomic Highlights: In the fifth week, there is hope for peace talks, but the real risks are still accumulating. The probability of a cease - fire between the US and Iran in April has dropped to 38%. The Strait of Hormuz is still under substantial blockade, and the risk of supply disruption is increasing [11]. - FICC Asset Views: - US Dollar: In the short term, it is expected to fluctuate strongly with the oil price and risk sentiment, with support at 99.0 and an upper target of 104.5. In the long term, it is expected to fluctuate in a wide range, with an annual range of 96 - 108, and an upward risk [42]. - Non - US Exchange Rates: Most currencies in the G10 and Asian currency groups are undervalued against the US dollar. In the long term, attention should be paid to the change in geopolitical pricing [42]. - 10 - Year US Treasury Yield: The short - term view is bearish, with a target of 4.45% reached. After considering the support at 4.35%, it is expected to remain strong. In the long term, the central rate of the 10 - year US Treasury is expected to be around 4.20%, with support at 3.95 - 4.00 and an upper target of 4.65% [42]. - 2 - Year US Treasury Yield: The short - term view is bearish. The 10 - 2 spread may face resistance at around 55bp, with a preliminary target of 30bp. In the long term, the support is around 3.20%, and the upper target is 3.68% [42]. - London Gold Spot: In the short term, it can be speculated for a rebound under high volatility, but a trend increase requires time to digest the high volatility. In the medium term, it is expected to fluctuate in a range, with buying cost - effectiveness [42]. - Gold - Silver Ratio: It is in an upward repair channel [42]. 3.3. Macroeconomic Data Hologram and Fundamental High - Frequency Data - Real - Time Economic Momentum: Include the Fed's nominal and real real - time GDP models, and the economic surprise indexes of the US, Europe, and China [199][203]. - Financial Conditions: Analyze the central bank's balance sheet and the financial conditions index, including the Fed's balance sheet and the G4 central banks' balance sheets as a percentage of GDP [207]. - Fiscal Policy: Include the US federal government's fiscal expenditure and revenue items, and the government's debt - to - GDP ratio [214][219]. - Employment Market: Track the US employment market on a weekly and monthly basis, including non - farm payrolls, household surveys, and ADP data [222]. - Inflation Indicators: Analyze the breakdown of US inflation data, core drivers, and inflation expectations [229]. - Consumption Demand: Track US consumption data on a weekly and monthly basis, including retail sales, consumer confidence, and housing mortgage applications [237][242]. - Cycle Positioning: Track industrial, manufacturing, and inventory cycle indicators, such as the LEI leading indicator, ISM PMI, and manufacturing new orders [259]. - Credit Cycle: Track the US credit situation, including SLOOS corporate credit surveys and high - yield corporate credit spreads [272]. - Transportation and Logistics: Track logistics data between China, Asia, Europe, and the US, including shipping volumes and port freight data [278][281][284]. - Real Estate Market: Analyze the US real estate equity market, credit spreads, and commercial real estate, including real estate indexes, mortgage rates, and commercial real estate loan delinquency rates [296][300]. - Eurozone: Analyze the Eurozone's macro - overview, cycle positioning, and relative strength, including deficit rates, inflation, and consumer confidence [305][313][322].