【广发宏观陈礼清】从交易预期到定价现实：大类资产配置月度展望

Core Viewpoint - The performance of major asset classes in September 2025 indicates a strong showing for technology and gold assets, with a notable divergence in stock and commodity markets, reflecting a cautious sentiment among investors [1][2][14]. Group 1: Asset Performance - In September 2025, major asset performance ranked as follows: Tech > ChiNext Index > Gold > Hang Seng Index > Nasdaq > Japanese Stocks > LME Copper > S&P 500 > CSI 300 > European Stocks > South China Composite > 0 ≈ USD > Chinese Bonds > Crude Oil > Long VIX [1][14]. - Year-to-date (YTD) performance for Chinese technology assets and gold reached 52% as of October 7, 2025, marking them as the top performers [2][14]. - The domestic equity market saw a "red September," with an average daily trading volume of 2.42 trillion yuan, while the CSI 300 index recorded a 2.8% increase [2][38]. Group 2: Market Dynamics - The global stock market closed positively, with the Nasdaq and Japanese stocks rising over 5% in September, reflecting optimistic market sentiment [2][28]. - The correlation between stock and bond yields deepened, with the rolling 12-month correlation moving from -0.38 to -0.62, indicating a stronger inverse relationship [2][38]. - The real estate market showed signs of recovery, with year-on-year sales turning positive, particularly in the second-hand housing market [2][38]. Group 3: Macroeconomic Indicators - The macroeconomic landscape is characterized by a divergence in hard and soft data, with the U.S. showing marginal declines in soft data and mixed results in hard data due to government shutdown impacts [3][4]. - China's hard and soft data trends remain consistent, with both showing marginal improvements, particularly in soft indicators like BCI and PMI [3][4]. Group 4: Future Drivers - Future drivers for equity assets may stem from the upcoming quarterly reports and policy announcements, particularly regarding domestic demand and new industries [5]. - The introduction of 500 billion yuan in new policy financial tools is expected to stimulate infrastructure investment, benefiting cyclical sectors [5]. Group 5: Valuation and Timing Signals - The "valuation-macro deviation" framework indicates that the current P/E ratio is at a +1.82 standard deviation, suggesting that the market is approaching a critical valuation point [8]. - The latest timing signals from the M1-BCI-PPI system show a rebound in scores, indicating a stabilization in economic signals [6]. Group 6: Gold Pricing Model - The gold market has seen a 16% increase since September, driven by a combination of Fed rate cut expectations, government shutdown, and geopolitical risks [12][34]. - The sensitivity of gold prices to real interest rates remains low, with projections suggesting potential price levels between $4012.57 and $4118.27 per ounce if real rates decline further [12].