资产配置与金融工程 证券研究报告 A股领涨全球权益，股债负相关性达高位 ——大类资产周报（20250818-20250822） 分析师：朱定豪 SAC执业资格证书编码: S0020521120002 邮箱：zhudinghao@gyzq.com.cn 2025年8月25日 分析师：汤静文 SAC执业资格证书编码: S0020524060001 邮箱：tangjingwen@gyzq.com.cn 联系人：黄雯瑜 邮箱：huangwenyu@gyzq.com.cn 摘要 一、本周大类资产交易主线 本周宏观增长因子继续向上，通胀高频因子反弹态势减弱，价格压力仍然较高。A股领涨全球（上证+3.49%、创业板+5.85%）， 科技成长主导，50ETF隐含波动率（IV）上升至19.78%，美股分化，道指创新高（+1.53%）而纳指回调（-0.58%），鲍威尔降息 预期提振风险偏好，国内债市调整显著（30年期国债期货跌1.43%），股债负相关性达历史高位，"跷跷板效应"凸显，外盘商品 强势（布油+2.14%、COMEX黄金+1.02%）受地缘风险与通胀对冲驱动，内盘商品普跌（南华商品指数-0.44%）；美元趋弱（美 元指 ...

降息预期行情加速，黄金涨幅或弱于白银 摘 要： 周五杰克逊霍尔年会上，鲍威尔意外释放出货币政策调整时机 已到的政策信号，市场认为 9 月降息基本成为大概率事件，未来市 场交易的是降息幅度问题，即美联储降息窗口打开之后，连续降息 的次数，目前市场认为是 2 次。9 月降息预期行情将进入加速阶段， 在全球风险偏好大幅提升的背景下，避险资产将得到抑制，而和风 险偏好正相关的白银将出现补涨行情，白银的涨幅将大于黄金。 从近期公布的经济数据来看，美国 7 月零售销售环比增长 0.5%，连续第二个月较大幅度增长，前值上修至 0.9%。7 月零售销 售同比涨幅达到 3.9%，经通胀调整后实际零售销售同比增长 1.2%， 连续第十个月实现正增长。美国上周初请失业金人数增加 1.1 万人 至 23.5 万人，创 6 月以来新高，高于市场预期的 22.5 万人。前一 周续请失业金人数升至 197 万人，为 2021 年 11 月以来的最高水平。 美国 8 月标普全球制造业 PMI 初值录得 53.3，为 2022 年 5 月以来 最高水平，远超预期的 49.5。服务业 PMI 小幅回落至 55.4，但制 造业大幅回升推动综合 P ...

关注因素：国内政策动向；美联储政策走向等。 股指期货：情绪 risk on，多头格局延续 毛磊 投资咨询从业资格号：Z0011222 maolei@gtht.com 报告导读： 1、 市场回顾与展望：上周市场继续冲高，沪指从 3700 点到突破 3800 点仅用了三天时间，并创下 10 年新高。当下行情主要由风险偏好驱动，投资者情绪 risk on 之下资金持续入市，而行情的上涨又进 一步激发看多热情，形成正向反馈循环。当下行情与基本面的相关性并不高。从成交量来看，两市成交额 已连续 8 天超过 2 万亿元人民币，创下有记录以来最长的纪录。与此相比更注重基本面的中国香港恒生指 数则呈现横盘震荡格局。从市场舆情来看，投资者对牛市的讨论氛围浓烈。从周末消息面来看，杰克逊霍 尔央行年会上美联储主席鲍威尔放鸽，强调就业风险，为降息敞开大门。由于当前市场预期持续转向亢 奋，在不出现政策降温的情况下，预计行情强势延续。 二 〇 二 五 年 度 2025 年 8 月 25 日 ● 短线策略。短线策略。日内交易频率可参照 1 分钟和 5 分钟 K 线图，同时 IF、IH、IC、IM 止损 位和止盈位可参照 76 点/95 点 ...

智通财经APP获悉，世界黄金协会称，7月，金价温和上涨。以美元计价的伦敦午盘金价(LBMA)上涨 0.3%；以人民币计价的上海午盘基准金价(SHAUPM)上涨0.5%。7月通胀担忧叠加多重风险因素对冲了 美元走强的负面影响，金价整体保持坚挺。2025年迄今，人民币金价已累计上涨逾22%，表现显著优于 国内多数资产。未来展望方面，该协会表示，金饰消费进入传统旺季，上游实物需求有望进一步改善， 但消费者购买力仍需关注；金价走势与风险偏好将左右投资需求，股市走强可能阶段性分流部分关注； 金条与金币的投资吸引力将取决于金价表现及市场情绪变化。 同比微增4吨 1 我们认为回升主要归因于: ● 季节性规律 7月 上游实物黄金需求季节性微升 7月,上海黄金交易所黄金出库量 环比小幅增加3吨 三季度金饰需求进入传统旺季 · 实物黄金投资者在金价企稳背景下 加大金条购买,形成一定支撑 但7月需求量仍远低于十年均值 凸显出当前上游实物需求 尤其是金饰领域依然疲弱 93300 黄金ETF需求再次转负 7月,中国市场黄金ETF流出约 7.元人民币 资产管理总规模(AUM) 元人民同 下降至 总持仓减少3吨,至197吨 黄金ETF需求 ...

宏观经济方面，美国7月通胀未超预期。美国2025年7月CPI同比2.7%，前值2.7%，预期2.8%；核心CPI 同比3.1%，前值2.9%，预期3%；CPI环比0.2%，前值0.3%，预期0.2%；核心CPI环比0.3%，前值 0.2%，预期0.3%。分项来看，中东局势缓和预期叠加美国基本面回落带动油价下行，但机票价格大 涨、健康保险、医疗服务通胀升温对CPI形成强支撑。 美国7月PPI数据超预期大幅上升，或显示生产端承担部分关税成本。美国7月PPI同比3.3%，高于预期值 2.2%和前值2.3%；核心PPI同比3.7%，高于预期值3%和前值2.6%。美国7月PPI环比0.9%，高于预期值 0.2%和前值0%；核心PPI环比0.9%，高于预期值0.2%和前值0%。 前值上修后，美国7月零售销售仍维持韧性。美国7月零售销售环比录得0.5%，低于预期0.6%和前值 0.9%（由0.6%上修）；零售销售（除汽车）环比录得0.3%，与预期持平，但低于前值0.8%（由0.5%上 修）；零售销售（除汽车与汽油）录得0.2%，低于预期值0.3%和前值0.8%（由0.6%上修）。 根据美国密歇根大学统计，美国8月消费者信心 ...

1. Report Industry Investment Ratings No industry - wide investment ratings are provided in the report. 2. Core Views - The second - round China - US trade talks extended the tariff exemption clause, and the Politburo meeting's policy tone was consistent with the previous one. The TMT sector rose strongly, and the stock index increased with heavy trading volume. However, the improvement in corporate earnings needs to be verified by the upcoming mid - year report data [2]. - Multiple negative factors such as the central bank's mention of "preventing idle funds from circulating" in the second - quarter monetary policy report, the strong performance of the stock market, and the tightening of funds during the tax payment period led to a significant decline in bond futures. The bond market sentiment remains weak [2]. - The meeting of US, Ukrainian, and European leaders brought hope for easing the Russia - Ukraine conflict, which increased risk appetite and caused precious metals to rise and then fall. Gold and silver prices are in a range - bound state [2]. - The container shipping index (European line) is in a weak and volatile state, and the short position of the October contract should be continued to hold [2]. - Steel prices are supported due to limited inventory accumulation in steel mills and upcoming production restrictions. Iron ore follows the price fluctuations of steel, while some coal prices are showing signs of weakness [2]. - The prices of non - ferrous metals such as copper, aluminum, and zinc are in a narrow - range or weak - range fluctuation, and different trading strategies are recommended for each metal [2]. - The energy and chemical sectors show different trends. Some products are in a range - bound state, while others are facing supply - demand pressures and are recommended for short - selling or other strategies [2]. - In the agricultural products sector, different products have different trends, such as the upward trend of palm oil and the weakening trend of corn [2]. - Special commodities like glass are in a weak state, and new energy products such as polysilicon and lithium carbonate need to pay attention to policy and supply - related factors [2]. 3. Summary by Relevant Catalogs Financial - **Stock Index**: The stock index rose with heavy volume, but the improvement in earnings needs mid - year report data verification. It is recommended to sell put options on MO2509 with an exercise price around 6600 at high prices and have a moderately bullish view [2]. - **Treasury Bonds**: Multiple negative factors led to a decline in bond futures. The bond market is in an unfavorable situation, and it is recommended to stay on the sidelines in the short term [2]. - **Precious Metals**: Gold is recommended to build a bullish spread strategy through call options at the low - price stage after price corrections. Silver is recommended to maintain a low - buying strategy or build a bullish spread strategy with options [2]. Black - **Steel**: Steel prices are supported due to limited inventory accumulation in steel mills and upcoming production restrictions. The 10 - month contracts of hot - rolled coils and rebar should pay attention to the support levels of 3400 yuan and 3200 yuan respectively [2]. - **Iron Ore**: The shipping volume increased, and the port inventory and port clearance improved. It follows the price fluctuations of steel, and it is recommended to short at high prices [2]. - **Coking Coal**: After the exchange's intervention, the futures price peaked and declined, and some coal prices weakened. It is recommended to short at high prices [2]. - **Coke**: The sixth - round price increase of mainstream coking plants has been implemented, and the seventh - round price increase is in progress. It is recommended to short at high prices [2]. Non - ferrous - **Copper**: The main contract fluctuates within the range of 78000 - 79500 yuan [2]. - **Aluminum Oxide**: The main contract fluctuates within the range of 3000 - 3300 yuan [2]. - **Aluminum**: The price fluctuated downward due to the additional tariff on aluminum. The main contract should pay attention to the pressure level of 21000 yuan and fluctuates within the range of 20000 - 21000 yuan [2]. - **Zinc**: The main contract fluctuates within the range of 22000 - 23000 yuan [2]. - **Tin**: It is recommended to wait and see, paying attention to the import situation of Burmese tin ore [2]. - **Nickel**: The main contract fluctuates within the range of 118000 - 126000 yuan [2]. - **Stainless Steel**: The main contract fluctuates in a narrow range, with cost support but demand drag, and fluctuates within the range of 12800 - 13500 yuan [2]. Energy and Chemical - **Crude Oil**: The short - term geopolitical risk is the main factor. It is recommended to stay on the sidelines for single - side trading and expand the spread between the October - November/December contracts. The support levels for WTI, Brent, and SC are given [2]. - **Urea**: The Indian tender news has a certain boost to the market. If there are no more positive factors after the price rebound, it is recommended to short at high prices [2]. - **PX**: The supply - demand pressure is not significant, and the demand is expected to improve. It is recommended to go long at the lower end of the 6600 - 6900 range and expand the PX - SC spread at a low level [2]. - **PTA**: The processing fee is low, and the cost support is limited. It is recommended to go long at the lower end of the 4600 - 4800 range and conduct a reverse spread operation on TA1 - 5 at high prices [2]. - **Short - fiber**: The supply - demand situation is expected to improve, but there is no obvious short - term driver. It is recommended to try to go long at the lower end of the 6300 - 6500 range [2]. - **Bottle - grade PET**: The production reduction effect is obvious, and the inventory is slowly decreasing. It is recommended to go long on the processing fee at a low price [2]. - **Ethanol**: The supply of MEG is gradually returning, and it is expected to follow the fluctuations of commodities. It is in the range of 4300 - 4500 yuan [2]. - **Caustic Soda**: The main downstream buyers are purchasing well, and the spot price is stable. It is recommended to wait and see [2]. - **PVC**: The supply - demand pressure is still high, and it is recommended to take a short - selling approach [2]. - **Benzene**: The supply - demand expectation has improved, but the driving force is limited due to high inventory. It follows the fluctuations of oil prices and styrene [2]. - **Styrene**: The supply - demand situation has marginally improved, but the cost support is limited. It is recommended to short on rebounds within the 7200 - 7400 range [2]. - **Synthetic Rubber**: The cost is in a range - bound state, and the supply - demand is loose. It is recommended to hold the seller position of the short - term put option BR2509 - P - 11400 [2]. - **LLDPE**: The basis remains stable, and the trading volume is acceptable. It is in a short - term volatile state [2]. - **PP**: The spot price has little change, and the trading volume has weakened. It is recommended to take profit on the short position in the 7200 - 7300 range [2]. - **Methanol**: The inventory is continuously tightening, and the price is weakening. It is recommended to conduct range - bound operations within 2350 - 2550 [2]. Agricultural Products - **Soybeans and Related Products**: The cost support is strong, and a long - term bullish expectation remains. It is recommended to arrange long positions for the January contract [2]. - **Pigs**: The spot price is in a low - level volatile state, and attention should be paid to the rhythm of production release [2]. - **Corn**: The supply pressure is emerging, and the futures price is in a weak state. It is recommended to short at high prices [2]. - **Palm Oil**: The Malaysian palm oil price is rising, and the domestic palm oil price is following the upward trend. It is expected to reach the 10000 - yuan mark in the short term [2]. - **Sugar**: The overseas supply outlook is loose. It is recommended to reduce the short position established at the previous high price [2]. - **Cotton**: The downstream market is weak. It is recommended to reduce the short position [2]. - **Eggs**: The spot price is weak. It is bearish in the long - term [2]. - **Apples**: The sales are slow. Attention should be paid to the price trend of early - maturing apples. The main contract is around 8250 [2]. - **Jujubes**: The price is stable. It is recommended to be cautious when chasing high prices and focus on short - term trading [2]. - **Soda Ash**: The supply is at a high level, and the fundamentals are weakening. It is recommended to try short - selling at high prices [2]. Special Commodities - **Glass**: The industry is in a negative feedback cycle, and the futures price is weak. It is recommended to hold the short position [2]. - **Rubber**: Attention should be paid to the raw material price increase during the peak production period [2]. - **Industrial Silicon**: Attention should be paid to the change in production capacity [2]. New Energy - **Polysilicon**: Attention should be paid to the change in policy expectations [2]. - **Lithium Carbonate**: The supply is subject to continuous disturbances, and the fundamentals are marginally improving. It is recommended to be cautious and try to go long with a light position at a low price [2].

0 一五年 2025 年 8 月 18 日 1、市场回顾与展望:上周市场延续上行,沪指一度突破 3700点,超越去年9-24 行情高点。板块方 面,通信、电子、非银金融涨幅居前;银行、钢铁、纺织服饰跌幅居前。海外方面,英美日股指也在上周 创下历史新高。当下行情的强势,主要由于宏观面延续偏多格局支撑带动,包括贸易摩擦未显著升级，国 内政策未出现明显利空转向,9月美联储降息前流动性预期偏积极,在风险偏好向好的支撑下,股市上涨 带动两融、新开户资金等入市形成正反馈循环,最终内盘股指跟随全球指数共振上行。 从上周发布的７月国内宏观数据来看,由于政策面向反内卷倾斜后,近两年供给端的强势状态出现祖 转,如制造业投资月度增速跌至负值;而地产等需求端依旧编弱,因此造成了经济供需双双走弱的结果。 从央行二季度货币政策执行报告来看,延续了 7·30 政治局会议政策向提质增效转向的趋势,传统稳增长 的意图降低。在资本市场方面,下阶段政策方向上未继续提及资本市场相关的结构性工具,淡化了涉及资 本市场的表述。不过,虽然细微处边际出现微调,但整体上当前市场风偏较强,短期影响暂不大。目前 看,如我们此前反复强调的,行情转势的驱动包括政策面 ...

Group 1 - The core viewpoint of the report indicates that the bond market is currently dominated by risk appetite, leading to a steepening adjustment in yields. This is primarily influenced by the performance of risk assets such as equities and commodities, which have shown a trend of upward movement [3][8][16] - The report highlights four specific scenarios that contribute to the current dominance of risk appetite in the bond market: 1) A trend in risk assets like equities and commodities; 2) A lack of clear direction from policy statements; 3) Interest rates being at historical lows, reducing attractiveness; 4) External market influences affecting sentiment [3][16][21] - The report suggests that if the influence of these factors diminishes, the market will eventually revert to being driven by fundamentals and liquidity conditions. Key indicators to watch include the operational space of monetary policy in the second half of the year and whether social financing (社融) shows signs of a turning point [3][16] Group 2 - The report notes that while there is an increasing expectation of "absence of total easing" in the short term, the core tone of monetary policy remains one of "moderate easing" and "maintaining ample liquidity," indicating that policy space has not been closed off [5][20] - It emphasizes that the urgency for total easing in the third quarter has decreased, with a shift in focus towards structural policies and stabilizing prices. However, the possibility of total policy re-engagement in the fourth quarter remains, especially if the fundamentals come under pressure [5][20] - The report also points out that the current market's expectations for monetary easing are relatively low, suggesting that the likelihood of a significant market adjustment similar to earlier in the year is reduced [5][20][21] Group 3 - The report indicates that the short-term market is influenced by insufficient release of risk appetite and institutional sentiment, leading to weaker performance. However, it cautions against overemphasizing concerns about an upward turning point in interest rates [6][33] - It highlights that the growth rate of social financing is likely to peak in the fourth quarter, and price increases may be a result of financing expansion rather than a sign of a new cycle [6][33] - The report concludes that while the market's expectations for monetary easing are low, the actual probability of easing remains significant, suggesting that interest rates may form a mid-term top after the current pullback [6][33]

Economic Overview - External conditions have improved while internal data has weakened, with inflation (PPI) down 3.6% year-on-year, below market expectations[22] - New loans in July turned negative at -426.3 billion CNY, indicating weakened credit demand from both households and enterprises[22] - Retail sales growth fell from 4.8% in June to 3.7% in July, and fixed asset investment growth dropped to 1.6% year-on-year for January to July[22] Real Estate Market - Second-hand housing prices in first-tier cities saw a month-on-month decline deepening from 0.7% to 1.0%, while second and third-tier cities maintained a decline of 0.5%[23] Bond Market Dynamics - Long-term bond yields have risen sharply, with the 10-year government bond yield reaching 1.75% (+5.4bp) and the 30-year yield at 2.00% (+7.3bp)[12] - The market is experiencing a bearish sentiment, with institutions increasingly shorting bonds amid high risk aversion[30] Investment Strategies - The bond market may face three scenarios: potential monetary easing by the central bank, a stock market correction undermining risk appetite, or continued high risk preference leading to a revaluation of bonds[35] - The 10-year government bond yield is seen as a psychological threshold at 1.75%, with a potential for a sharp rise if breached[36] Financial Products and Performance - The scale of wealth management products decreased by 120.6 billion CNY to 31.20 trillion CNY, reflecting a shift in investor sentiment towards equities[39] - The proportion of wealth management products with negative returns increased to 6.73%, indicating rising risk in the sector[45]

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]