证券研究报告 固定收益宏观研究 2025 年 08 月 27 日 债市调整压力仍存，警惕潜在负反馈效应 固定收益 相关研究 《7 月金融数据点评：M1 延续高增趋势，社融 增速或迎年内高点》2025-08-14 《固定收益周报：债券增值税新政落地—防御 为先，把握结构性机会》2025-08-05 《固定收益周报：债市承压，静待政策》 2025-07-21 《宏观数据跟踪报告：债市短期承压，中期趋势 未变》2025-07-18 赵金厚 S0820524120001 021-32229888-25510 zhaojinhou@ajzq.com 联系人 陆嘉怡 S0820124120008 021-32229888-25521 lujiayi@ajzq.com ——固定收益周报（2025/08/18-08/22） 投资要点： 本周市场回顾：国债、国开债收益率震荡上行 8 月 18 日-22 日，国债收益率震荡上行，股债跷跷板效应主导债市走势。全周来看，各期 限国债收益率普遍上行，其中 1 年期和 10 年期分别上行 0.42bp 和 3.53bp，最终收报 1.3707% 和 1.7818%。 下周展望：跨月扰动下 ...

文 ： 华创证券研究所副所长 、首席宏观分析师 张瑜（执业证号：S0360518090001） 联系人： 文若愚（微信 LRsuperdope） 货币研究系列（见文末合集），涵盖我们对存款搬家的系列思考，欢迎点击 事项 2024 年 12 月，我们的报告 《坐在居民存款的"火山口"》 提示居民存款过去几年积蓄了一股必须要重视 的"超额"力量，这股力量的释放方向大概率将会主导宏观主要矛盾。 2025 年 3 月，我们报告 《居民存款搬家与央行宽松的"跷跷板"》 提示本轮流动性由居民主导，因此股债 跷跷板效应可能偏强，权益市场的活跃需要跟踪居民存款搬家的变化。 2025 年 6 月，我们报告 《看股做债，不是看债做股》 提示在居民存款配置难回地产的背景下，本轮居民 存款的涌动力量更强。居民存款搬家主导流动性的背景下，看股做债是当下的主逻辑。 2025 年 7 月，我们报告 《中国股票配置价值已打开》 提示本轮中国资本市场的稳市政策介入明确，提前 降低了股票波动率，也就等于提前抬升了股票的风险调整后收益。股票相比债券的性价比、配置吸引力等 核心指标都已显著回升。过去两年，多债空股的交易策略或正在逐步反转，需要开始重 ...

以下文章来源于兴证全球基金 ，作者与您相伴的 兴证全球基金 . 从我们的经验来看，主动基金经理很多都是行业研究员出身，对行业的了解比我们深，他们做行业轮 动的成功概率都不高，我们作为 FOF 或者投顾的管理人，难度就更高了。相对来说，我们会在我们 的研究比市场平均认知水平更高一点的领域，去争取创造超额，要在一个我们不擅长并且又很卷的领 域去创造超额，胜率比较低。推而广之，我觉得可能大部分普通投资者也不太适合去做行业轮动，因 为我们面临的困境，大多数投资者也是类似的。 投资复盘：你在哪里赚到了钱，在哪里亏了钱？ 文子： 我最近做了一些复盘，发现我真正赚到钱的投资其实只有两笔。第一笔是FOF ，因为我 们公司的 FOF 管理理念是 "追求赚到比平均好一点点的钱"，这个理念特别打动我，于是从 2020 年开始，我每周定投 FOF ，金额不大，但坚持几年下来，已经默默积累成了一笔可观的资产，而且 在2021 年市场波动很大的时候，因为 FOF 相对波动比较小，我也没有想过去减仓。虽然收益率不 算惊人，但它反而成为了我投资收益里贡献很大的一部分。 第二笔是今年 4 月买入的一笔投资，当时市场主流指数跌幅都很大，我觉得这 ...

Group 1 - The Chinese capital market has shown signs of recovery since February 2024, with a significant upward trend starting from September 2024, as evidenced by the Shanghai Composite Index rising from below 2700 points to over 3600 points by August 2025, marking an increase of over 35% [1][4] - The current A-share market is characterized by a "slow bull" trend, with monthly lows consistently rising, indicating a potential for further growth as the market approaches previous bull market highs [5][7] - The market capitalization to GDP ratio for A-shares reached 64.1% by June 2025, indicating that there is still a considerable gap compared to historical bull market peaks, suggesting room for growth [7][9] Group 2 - A-share market cycles exhibit a clear pattern, with the current cycle being the fifth since 2001, typically lasting between 3 to 5 years, which implies that the current bull market may have a substantial duration ahead [9][10] - Valuation levels in the A-share market are highly differentiated, with most indices showing healthy valuations but some reaching historical extremes, indicating potential volatility in the future [11][12] - The leverage level in the A-share market has increased significantly, with financing balances reaching 20,462.4 billion yuan as of August 13, 2025, suggesting a high-risk environment [15][16] Group 3 - Corporate earnings have shown significant growth during previous bull markets, particularly in 2005-2007, 2009, and 2020-2021, which were marked by substantial profit increases, contrasting with other periods lacking such improvements [16][20] - The risk premium of A-shares compared to bonds remains above the median, indicating that equities still offer a favorable risk-return profile despite recent market gains [23][24] - Certain industries consistently outperform during bull markets, with sectors like defense and non-ferrous metals showing strong performance, while transportation and utilities tend to lag behind [27]

Group 1 - A-shares have accelerated upward, with the Shanghai Composite Index breaking the high of 3731.69 points from February 2021, reaching 3741.29 points, marking a new high since August 2015 [1] - Since the beginning of 2025, global stock markets have shown strong performance, with the Korean Composite Index rising by 32.4%, the Hang Seng Index by 25.6%, and the German DAX by 22.1% [1] - The current low-risk interest rate environment, with the 10-year government bond yield between 1.65% and 1.80%, has driven A-share market performance, supported by dividend advantages and policy-driven capital inflows [1] Group 2 - The dynamic price-to-earnings (P/E) ratios for the CSI 300 Index and the SSE 50 Index are currently 13.5 times and 11.6 times, respectively, which are at the 75% to 85% historical percentile levels [2] - Compared to major overseas indices, A-share core indices have relatively low absolute P/E ratios, with the S&P 500 at 28.6 times and the FTSE 100 at 20 times [2] - The ChiNext Index and the STAR 50 Index have P/E ratios of 37.1 times and 149.5 times, respectively, indicating that domestic technology and growth sectors do not have a significant valuation advantage compared to overseas counterparts [2] Group 3 - The risk premium for the CSI 300 Index is currently at 5.6%, which is at a high historical percentile of 64.7%, indicating a favorable investment return compared to government bonds [3] - The dividend yield for the CSI 300 Index is 2.69%, which is at the 68.1% historical percentile, suggesting attractive dividend returns for core A-share assets [3] - Historical trends show that a declining dividend yield often accompanies a strengthening market, and the current yield remains significantly higher than the 10-year government bond yield [4] Group 4 - The current low interest rate environment enhances the attractiveness of A-shares for institutional investors seeking stable returns, with potential for significant upward movement in the CSI 300 Index if valuations align with overseas markets [4] - If the dividend yield of the CSI 300 Index approaches the current risk-free rate of around 1.75%, it could correspond to an index level of 6500 points, indicating substantial upside potential [4] - The analysis suggests that the current A-share market rally is primarily driven by valuation, with strong dividend appeal and policy support for capital inflows [4]

1. Report Industry Investment Rating The provided content does not mention the report's industry investment rating. 2. Core Viewpoints of the Report - The "10-year Treasury yield - CSI 300 dividend yield" is used as the core indicator to observe the cost - performance ratio between stocks and bonds. The current difference is near the +1 standard deviation of the one - year rolling window and at the upper limit of the past three years, indicating that the bond's allocation value is gradually increasing, but it is not yet the time for re - allocation between stocks and bonds, and the bond market still has upward pressure [3][4][5]. - The asymmetric compression of the indicator's range since 2021 is unsustainable, and the range may return to the historical normal state of [-2 standard deviations, +2 standard deviations] due to factors such as the upward revision of fundamental expectations and the increase in investors' risk appetite [4][63][64]. - In the short term, the bond market is under phased pressure due to factors such as the strengthening of M1 year - on - year data, the increase in market risk appetite, and the expectation of "anti - involution" policies. Attention should be paid to the redemption situation of bond - type funds to avoid potential negative feedback effects [7][69]. 3. Summary According to the Directory 3.1 Bond Market Weekly Review: Treasury Yields Fluctuated Upward - From August 11th to 15th, Treasury yields fluctuated upward, with the stock - bond seesaw effect dominating the bond market. The 1 - year and 10 - year Treasury yields rose by 1.59bp and 5.74bp respectively, closing at 1.3665% and 1.7465% [2][12]. - On August 11th - 12th, the bond market sentiment was under pressure due to the continuous strengthening of the equity market. On August 13th, after the release of the July financial data, the 10 - year Treasury yield slightly declined under the game of multiple and short factors. On August 14th, the bond market yield fluctuated due to the rise and fall of the equity market and the central bank's reverse - repurchase operation. On August 15th, the Treasury yield reversed and rose due to the strong rebound of the equity market [12][13]. 3.2 Bond Market Data Tracking 3.2.1 Funding Situation: Funding Rates First Declined and Then Rose - From August 11th to 15th, the central bank's open - market operations had a net withdrawal of 4,149.00 million yuan. The R001 and DR001 rose, while the R007 and DR007 declined. The SHIBOR rate also showed an upward trend [25][26][37]. - The difference between R007 and DR007 narrowed, indicating a narrowing of the funding cost difference between non - bank institutions and banks. The term spread of FR007S5Y - FR007S1Y widened [26]. 3.2.2 Supply Side: Total Issuance and Net Financing Decreased - From August 11th to 15th, the total issuance of interest - rate bonds decreased, and the net financing amount also decreased. The issuance of government bonds decreased, and the net financing of Treasury bonds and local government bonds decreased [41][44][51]. - The issuance scale of inter - bank certificates of deposit decreased, and the net financing amount decreased. The issuance scale of state - owned commercial banks was the highest among different bank types, and the 1 - year term had the highest issuance scale among different term types [51]. 3.3 Next Week's Outlook and Strategy 3.3.1 Current Position of Stock - Bond Cost - Performance Ratio - The "10 - year Treasury yield - CSI 300 dividend yield" is used to measure the stock - bond cost - performance ratio. Since 2021, the fluctuation range has been asymmetrically compressed, but it is expected to return to the historical normal state [3][61][63]. - As of August 15, 2025, the 10 - year Treasury yield was about 1.74%, the CSI 300 dividend yield was 2.76%, and the stock - bond yield difference was - 1.02% [4][63]. 3.3.2 Next Week's Outlook: The Central Funding Rate May Rise Due to Tax - Period Disturbance - Next week, the supply pressure of Treasury bonds will increase. The planned issuance of Treasury bonds is 36.2 billion yuan, and that of local government bonds is 36.915 billion yuan [67]. - Due to the tax - period disturbance and the expiration of reverse - repurchases, the central funding rate may rise [68]. 3.3.3 Bond Market Strategy: The Bond Market is Under Phased Pressure, and Potential Negative Feedback Effects Should be Watched Out - The bond market is under phased pressure due to factors such as the strengthening of M1 year - on - year data, the increase in market risk appetite, and the expectation of "anti - involution" policies [7][69]. - The strengthening of the equity market is the biggest risk for the bond market. Attention should be paid to the redemption situation of bond - type funds to avoid potential bond - market stampede risks [7][69]. 3.4 Global Major Assets - US Treasury yields generally rose, and the curve steepened. The 10Y - 2Y term spread widened by 7bp to 58bp [72]. - The US dollar index declined, and the US dollar against the RMB central parity rate slightly decreased. The prices of gold, silver, and crude oil all fell [72][73].

The provided content does not contain any specific quantitative models or factors, nor does it include detailed construction processes, formulas, or backtesting results for such models or factors. The report primarily focuses on market trends, style performance, valuation metrics, and other financial indicators. Therefore, no summary of quantitative models or factors can be generated from this content.

Group 1 - The short-term logic of the bond market may have shifted from "fundamentals + liquidity" to "asset allocation" since July, with the bond market under pressure despite a relatively loose funding environment [6][10][28] - The 10-year government bond yield has shown an upward trend, primarily due to the thin safety cushion of fixed-income products and the cooling of fixed-income assets under the asset allocation effect [6][10][28] Group 2 - Key clues to the evolution of bond market logic include: 1) Reallocation of resident assets due to declining deposit rates since 2022, leading to a weakening of the bond market's profit-making effect [14][16] 2) An increase in residents' risk appetite, with equity assets potentially becoming the focus of asset reallocation [17][20] 3) Low odds and win rates for bond assets, as long-term bond yields have already priced in future rate cuts [18][21] Group 3 - The critical points for the rebalancing of stock and bond value include: 1) The relative comparison of dividend yields and bond yields [30] 2) Fund flows, with a potential shift in investor enthusiasm from bonds to stocks [30] 3) Changes in fundamentals, where unexpected pressures on the economy could lead to a resurgence in the bond market [30] Group 4 - The bond market strategy indicates that while risks are being released, a cautious judgment is maintained, with the 10-year government bond yield around 1.7% being unattractive [28][31] - The bond market may experience volatility from August to October, with the yield expected to range between 1.65% and 1.80%, and the potential for a steepening yield curve [28][31]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The Chinese economy is in a marginal de - leveraging process, with the liability growth rate of the real - sector expected to decline. The government aims to stabilize the macro - leverage ratio, and the monetary policy will generally remain neutral and difficult to be continuously loose. The market is currently affected by risk preference, and the subsequent trends of risk preference, economic recovery, and the US economy need to be focused on [2][3][7] - In the context of the contraction of the national balance sheet, the allocation of financial assets should adopt a dumbbell - shaped strategy. The bond market is the large base, and the stock market is the small head. The stock allocation strategy is dividend plus growth, and the bond allocation strategy is duration plus credit - sinking [25] - In the contraction cycle, the equity - bond ratio favors equities to a limited extent, and the value style is more likely to be dominant. Red - dividend stocks with characteristics of non - expansion, good profitability, and survival are recommended [12][67] 3. Summary by Relevant Catalogs 3.1 National Balance Sheet Analysis - **Liability Side**: In July 2025, the liability growth rate of the real sector was 9.0%, with a lower - than - expected rebound. It is expected to decline to 8.9% in August and further to 8% by the end of the year. The government's liability growth rate is also expected to decline from 15.7% in July to 14.8% in August and 12.5% by the end of the year. The money market has tightened marginally, and the peak of the money market in August was likely in the first week [2][3][21] - **Monetary Policy**: The trading volume of funds decreased last week, and the price was stable. The one - year Treasury yield rose to 1.37%, and the term spread widened. The estimated lower limit of the one - year Treasury yield is 1.3%, the ten - year Treasury yield is about 1.6%, and the thirty - year Treasury yield is about 1.8% [3][22] - **Asset Side**: After a brief stabilization in June, the physical volume data declined again in July. The annual real economic growth target for 2025 is about 5%, and the nominal economic growth target is about 4.9%. Whether this will be the central target for the next 1 - 2 years needs further observation [4][23] 3.2 Stock - Bond Ratio and Stock - Bond Style - **Market Performance Last Week**: The money market tightened marginally, but risk preference increased. Stocks rose, and bonds fell. The equity growth style was dominant, and the stock - bond ratio favored stocks, breaking through the previous high on August 15th [6][26] - **Future Outlook**: The trend of risk preference is uncertain. There are three possible scenarios: range - bound fluctuations, a short - term upward trend, or a fundamental change in the subjective weighting of Chinese profitability. A portfolio of growth - type equity assets and long - term bonds is recommended, with a 70% position in the CSI 1000 Index and a 30% position in the 30 - year Treasury ETF [10][11][29] 3.3 Industry Recommendation - **Industry Performance Review**: The A - share market rose this week. The communication, electronics, non - bank finance, power equipment, and computer sectors had the largest increases, while the bank, steel, textile and apparel, coal, and public utilities sectors had the largest declines [35] - **Industry Crowding and Trading Volume**: As of August 15th, the top five crowded industries were electronics, computer, power equipment, machinery, and non - bank finance. The trading volume of the whole A - share market increased this week, with non - bank finance, real estate, and other sectors having the highest growth rates [36][38] - **Industry Valuation and Profitability**: The PE (TTM) of the comprehensive, communication, and other sectors increased the most this week, while the bank, steel, and other sectors declined. Industries with high 2024 full - year profit forecasts and relatively low current valuations include banks, coal, and oil and petrochemicals [41][42] - **Industry Prosperity**: External demand generally declined. The global manufacturing PMI decreased in July, and the CCFI index fell. Domestic indicators such as port throughput and industrial capacity utilization showed mixed trends [46] - **Public Fund Market Review**: In the second week of August, most active public equity funds outperformed the CSI 300. As of August 15th, the net asset value of active public equity funds was slightly higher than that in Q4 2024 [62] - **Industry Recommendation**: In the contraction cycle, the equity - bond ratio favors equities to a limited extent, and the value style is more likely to be dominant. An A + H red - dividend portfolio of 20 stocks and an A - share portfolio of 20 stocks, mainly concentrated in banks, telecommunications, and other industries, are recommended [12][67]

Core Viewpoint - The article presents five key judgments regarding the current economic situation in China, indicating that the worst period of economic circulation is likely over, and emphasizes a shift away from reliance on extraordinary policies and the loosest monetary policy phase [2][18]. Group 1: Economic Circulation - The worst period of economic circulation is likely passing, with a GDP growth rate of 5.3% in the first half of the year and leading indicators showing objective improvement [2][3]. - Key indicators of economic circulation include the difference in growth rates between corporate and household deposits, M1 growth, and various measures of household savings behavior, all of which have shown signs of recovery over the past 6-9 months [3][4]. Group 2: Policy Changes - The reliance on extraordinary policy measures is diminishing, with a focus on the effectiveness of existing policies rather than new ones, as evidenced by a 8.9% increase in fiscal spending in the first half of the year [7][8]. - The potential for new incremental policies in the second half of the year is significantly reduced, with a focus on monitoring the release of household deposits and leading indicators [7][8]. Group 3: Monetary Policy - The period of the most accommodative monetary policy is likely coming to an end, as indicated by the current state of household deposits and the relationship between deposit behavior and monetary policy [9][12]. - The total household deposits have reached 160 trillion, with a significant portion being precautionary savings, suggesting a shift in monetary policy dynamics [9][12]. Group 4: Investment Landscape - The relative attractiveness of bonds compared to stocks is changing, with a notable increase in the Sharpe ratio for stocks, indicating a potential shift in asset allocation from bonds to stocks [12][14]. - The capital market's stability and attractiveness are being reinforced by policy interventions, which have reduced volatility and downside risks in the stock market [12][14]. Group 5: Competition and Market Dynamics - The current phase of intense competition driven by unfair practices is likely coming to an end, with ongoing efforts to regulate and optimize market competition [14][16]. - The government is focusing on enhancing market order and addressing issues related to unfair competition, which may positively impact economic circulation and pricing [16][17].