国泰海通 · 晨报0814｜宏观、金融工程

Macro Analysis - The core viewpoint of the article is that the transmission of tariffs remains slow, leading to an increased expectation of interest rate cuts by the Federal Reserve [1][4] - In July, the US CPI year-on-year was 2.7%, unchanged from the previous value, while the core CPI rose by 0.2 percentage points to 3.1% [3] - The month-on-month CPI growth rate decreased by 0.1 percentage points to 0.2%, while the core CPI month-on-month was 0.3%, aligning with market expectations [3] - Food and energy inflation showed a month-on-month decline, with core services being the main driver for the core CPI's month-on-month increase [3] Core Goods and Services - The month-on-month growth rate of tariff-sensitive core goods has declined, with transportation goods inflation being a major support for core goods [3] - The significant rebound in the used car segment contributed to this growth, while tariff-sensitive items like furniture, clothing, and leisure goods saw a decrease in growth rates compared to June [3] - Medical services, particularly dental services, and transportation services, especially airfares, were strong performers in July, driven by a recovery in travel demand [3] Federal Reserve Outlook - The July CPI data indicates that tariff transmission is still slow, and service demand has not shown a significant slowdown, reinforcing market expectations for a September interest rate cut [4] - The persistent core service inflation suggests that the market is trading on a "soft landing" rather than a "recession" scenario, leading to a decline in short-term US Treasury yields [4] - The article suggests that the market's expectation of three interest rate cuts by the Federal Reserve this year may be overly optimistic due to potential disruptions from upcoming employment data and the sticky nature of core service inflation [4] Financial Engineering - The article discusses the decomposition of the enhanced CSI 300 index into internal and external components, with internal stocks showing lower tracking error and relative drawdown but also weaker excess returns [7] - The external component provides greater return elasticity, and the study indicates that a multi-factor model based on fundamentals and momentum indicators is more effective for the CSI 300 index [8] - Backtesting results show that the enhanced strategy can achieve an annualized excess return of at least 10% since 2016, with an information ratio above 2.0 [8]