Investment Rating - The report maintains an investment rating of "Outperform" for the Hong Kong stock market, indicating a positive outlook compared to the broader market [5]. Core Insights - The report emphasizes a new understanding of the equity risk premium (ERP), suggesting that it is significantly influenced by short-term growth expectations, particularly the nominal GDP growth rate in USD terms [1][2]. - The analysis identifies a strong correlation between the Hang Seng Index's ERP and the short-term growth rate of China's nominal GDP, with a correlation coefficient of -0.8, indicating that predicting ERP is effectively predicting short-term growth [2][4]. - The report outlines three phases of the current bull market in Hong Kong stocks, driven by factors such as the recovery of US dollar liquidity, changes in domestic policy, and expectations of aggressive monetary easing by the US government [3][4]. Summary by Sections Risk Premium: A Short-Term Growth Indicator - The report revisits the concept of ERP, previously viewed as a stable emotional indicator, and suggests that recent market conditions have led to a re-evaluation of its significance [1][14]. - It highlights that the ERP has broken historical lower limits, particularly in the context of the Hang Seng Index, which reflects a shift in nominal growth expectations [1][19]. Direct Derivation of Short-Term Growth - The report breaks down China's nominal GDP growth into three components: real GDP growth, inflation, and exchange rate changes, emphasizing the importance of these factors in predicting short-term growth [45][46]. - It notes that while real GDP growth is a primary driver, inflation and exchange rate fluctuations have become increasingly significant in recent years [46][51]. Reconstruction of Short-Term Growth Framework - The report proposes a new framework for predicting short-term growth by focusing on the relationship between China's real GDP and the value of the US dollar, suggesting that these factors are more relevant than previously considered [69][75]. - It concludes that the value of Chinese assets in USD terms is primarily determined by China's real GDP and the ratio of US dollar supply to US real GDP, simplifying the predictive model for nominal GDP growth [75].

——资产配置全球跟踪 2025 年 10 月第 1 期 本报告导读： 策 略 研 究 资产概览：资产分化显著，日股黄金新高 [Table_Authors] 方奕(分析师) 9/30-10/10，全球权益整体承压，日股逆势创新高。COMEX 白银年内涨幅破 60%， 黄金破 50%并首次站上 4000 美元/盎司高位。原油承压下行。日元大幅贬值 2.2%。 投资要点： 策略研究 /[Table_Date] 2025.10.13 | | 021-38031658 fangyi2@gtht.com | | --- | --- | | 登记编号 | S0880520120005 | | | 郭佼佼(分析师) | | | 021-38031042 | | | guojiaojiao2@gtht.com | | 登记编号 | S0880523070002 | [Table_Report] 相关报告 成交活跃度升高，万得全 A 估值领涨 2025.10.09 资产概览：商品表现强于股债 2025.09.27 内需周期品价格回暖，服务消费景气提升 2025.09.24 私募积极加仓，外资重回中国市场 2025.09.22 成 ...

报告导读： 9/30-10/10 ， 全球权益整体承压 ，日股逆势创新高。 COMEX 白银年内 涨幅破 60% ，黄金破 50% 并首次站上 4000 美元 / 盎司高位。原油承压下行。日元大 幅贬值 2.2%。 以上内容节选自国泰海通证券已发布的证券研究报告。 报告名称： 资产概览：资产分化显著，日股黄金新高；报告日期：2025.10.13 报告作者： 方奕（分析师），登记编号：S0880520120005 郭佼佼（分析师），登记编号：S0880523070002 商品与汇率：黄金涨原油跌，美元涨日元跌。（ 1 ）商品： 南华商品指数与 CRB 商品指数分别上涨 0.2% 、 2.0% 。 13 类主要商品期货中有 11 类录得 上涨，仅 WTI 与布油下跌。贵金属领涨， COMEX 白银年内涨幅突破 60% ， COMEX 黄金涨幅突破 50% 。库存方面， COMEX 黄金与白银库存下降， 铜库存则上升。 OPEC+ 同意自 11 月起小幅增产 13.7 万桶 / 日，并计划于 11 月 2 日会议讨论 12 月产量政策。 （ 2 ） 汇率： 美元指数上涨 1% 。欧 元、英镑、人民币（ CFETS ...

本文作者为创金合信基金首席经济学家魏凤春 前两期首席视点指出，用花旗经济意外指数表示的风险溢价有抬升的趋势，用技术指标衡量的中证A50 调整并没有到位，从杰文斯悖论的基本原理出发，无论是布局AI+技术，还是布局能源都是基于主导产 业的投资。假日期间，海外科技涨幅良好，黄金创出新高，全球秩序重构呈现新的态势。节后A股开盘 两天冰火两重天，A股、美股与港股有所调整。特朗普故技重施，投资者开始担忧4月冲击的重演。这 种担心其实是四季度资产配置分歧加大，趋势、结构与节奏紊乱的真实写照。 一、市场回顾：科技成长调整明显 从数据看，过去一个季度成长股涨势最好，科创50、创业板指涨幅40%左右，恒生科技涨幅19%，北证 50涨幅只有6%，显示科技成长之间分化严重。白银、黄金涨幅靠前，全球资金避险情绪明显，布油、 螺纹钢涨幅落后，投资者对全球增长的担心并没有消失。 从周度走势看，恒生科技、创业板指、布油跌幅靠前，黄金、焦煤涨幅靠前，上周投资者避险情绪明 显，权益市场高低切换的防守策略开始成为共识。10月12日，市场聚焦特朗普重新采取加征关税的非理 性行为会否引发次生性灾害，在成长科技有所调整的时刻，这一催化为四季度的资产配置 ...

近日，宗馥莉辞去娃哈哈集团董事长等职务的消息引爆舆论，这场由非婚生家族成员点燃的豪门内斗危 机，不仅牵扯出宗庆后生前复杂的离岸信托与股权安排，更牵出了中国混合所有制企业转型发展等重点 议题：这家承载了国民记忆的民族企业未来将走向何方？中国企业已普遍到了代际交接时期，面对娃哈 哈几成空壳的现状，又该如何传承和创造中国的百年品牌？ 改革开放以来，中国发展出了"国股民营"的企业模式，具体指公有资本持有企业相当比例的股份，但不 干预具体经营，企业的运营权完全交由市场选拔的职业经理人。公有资金的目的仅仅限制在把"风险溢 价"部分收归公有并回到经济循环，并不干涉企业内部经营和分配。 作者指出，许多企业的一代创始人仍在发挥重要作用，在这种情况下，他们希望自身作为管理层能掌控 公司的一切，各种制度设计均有利于管理层控制公司。但随着一代退出，二代未必会有管理公司的能 力，他们的角色就会从管理者转变为股份持有者。倘若企业的投资决策权集中于少数人，不仅容易滋生 腐败，一旦决策失误，也难以纠正。 理想的"国股民营"模式，则是国家以资管计划的历史表现来分配资金，将具体投资决策分散给相互竞争 的市场机构。这样，没有单个决策者能左右全局， ...

来源：智通财经 智通财经9月30日讯（编辑 胡家荣）近期AH溢价指数逼近10年低位，南下资金成交占比已达40%，港 股配置正成为机构投资者的重要战略选择。对此华泰证券在其研报中讨论在公司同质情况下，如何判断 弹性。 现象：AH溢价的近期表现与市场困惑 AH溢价指数从今年5月的134一度下降至117，处于2018年以来的最低水平。这一现象引发了市场广泛关 注：为何同一家公司在不同市场的股价会出现如此显著的差异？ 这种溢价差异不仅突破了最近5年的下限，正在逼近10年下限，且下行速度超过了市场预期。投资者最 关心的是：AH溢价为何持续走低？往后走势如何判断？这对投资决策有何指引？ 从历史数据来看，AH溢价并不具备短期快速均值回归的特性。2015年至2019年AH溢价均值为127，而 2021年至2024年则跃升为143，表明其中枢水平本身就不稳定，且指标往往偏离中枢程度大、时间长。 本质：AH溢价存在的根本原因 虽然AH两地股份同属一家上市公司，只具有一个理论上的内在价值，但两地不同投资者对企业价值的 不同估值会以交易行为反应为价格差异。 根本原因在于两地股票无充分套利机制。A股投资者并不能将其股票换成H股去香港交 ...

A 股市场快照：宽基指数每日投资动 和中证 2000（-1.55%）跌幅最大。当年涨跌情况，创业板指（47.16%）涨幅最大， 其次是中证 2000（30.22%）和中证 500（26.46%），中证 1000（24.17%）和中证全 指（21.27%）涨幅缩小，而上证 50（9.54%）涨幅最小。另外，创业板指连续八周 连阳。 ◆均线比较：除上证 50，其余跟踪指数全部跌破 5 日均线，中证 1000 和中证全指 跌破 10 日均线，上证 50 和中证 2000 跌破 20 日均线。各跟踪指数已远离近 250 日 高位超过 1%。 证券研究报告·金融工程报告 2025 年 9 月 29 日 江海证券研究发展部 金融工程定期报告 金融工程研究组 A 股市场快照：宽基指数每日投资动态 2025.09.29 ◆市场表现：2025 年 9 月 26 日, 各宽基指数（表 1）全部下跌，其中创业板指（-2.6%） 投资要点： 分析师：梁俊炜 执业证书编号：S1410524090001 相关研究报告 态 2025.09.26 A 股市场快照：宽基指数每日投资动 态 2025.09.25 A 股市场快照：宽基指数每日投资 ...

跨 资产比较： 商品表现强于股债。上周，（ 1 ）资产表现： 大宗商品整体上行，贵金属与原油领涨。权益市场震荡调整。美股三大股指回调； A 股逆势上 涨，科创板表现亮眼。中债市场整体承压，三大债指均小幅下行。美元指数上涨 0.6% ，美元兑日元走强 1.0% 。 （ 2 ）相关性： 1 年滚动相关系数显 示，与上上周相比， A 股与中债国债间负相关、与港股间正相关的程度均显著下降。 （ 3 ）相对价值： A 股、美股相对 10Y 国债的风险溢价均边际下降； A 股相对商品的风险溢价边际上升。金油比、金铜比、金银比均边际下降。 权益：全球权益指数回调， A 股上涨且科创亮眼。 上周， MSCI 全球指数结束连续三周的上涨趋势，下跌 0.5% 。从区域表现看，新兴市场跌幅高于发 达，亚洲市场跌幅高于欧洲和北美。（ 1 ）发达市场中，美国三大股指均小幅下跌；港股恒指与恒科均跌逾 1.5% 。相较之下，欧股普遍走强， STOXX50 （ +0.8% ）、富时 100 （ +0.7% ）及德国 DAX （ +0.4% ）均录得正收益，日经 225 亦上涨 0.7% 。（ 2 ）新兴市场中， A 股表现亮眼，科创 50 ...

The provided content does not contain any specific quantitative models or factors, nor does it detail their construction, evaluation, or backtesting results. The report primarily focuses on descriptive statistics and market analysis of broad-based indices in the A-share market, including metrics such as risk premium, PE-TTM, dividend yield, and turnover rates. Below is a summary of the key points extracted from the content: Quantitative Analysis and Metrics - **Market Performance**: The report tracks the performance of broad-based indices such as the CSI 300, CSI 500, CSI 1000, and others, analyzing daily, weekly, monthly, and yearly returns[1][10][12] - **Moving Averages**: All indices have fallen below their 5-day moving averages, with the ChiNext Index showing the most significant distance from its moving average support levels[15][17] - **Turnover Rates**: The CSI 2000 has the highest turnover rate (4.56), while the CSI 1000 and ChiNext Index follow with 3.06 and 3.28, respectively[19][20] - **Risk Premium**: The CSI 300 and ChiNext Index exhibit high 5-year percentile risk premiums (54.52% and 47.62%), while the CSI 1000 and CSI 2000 show lower values (31.11% and 24.21%)[31][32][33] - **PE-TTM**: The CSI 500 and CSI All Share Index have the highest 5-year PE-TTM percentiles (99.75% and 96.61%), while the ChiNext Index has a relatively lower percentile (59.5%)[43][45][46] - **Dividend Yield**: The ChiNext Index and CSI 1000 have the highest 5-year dividend yield percentiles (66.03% and 44.46%), while the CSI 500 and CSI 2000 have the lowest (14.88% and 13.14%)[55][56] - **Break-even Rates**: The ChiNext Index has the lowest break-even rate (1.0%), while the CSI 2000 and CSI 1000 follow with 3.35% and 7.4%, respectively[57] Observations on Statistical Distributions - **Kurtosis and Skewness**: The ChiNext Index has the highest kurtosis and skewness, indicating a higher concentration of returns and a greater likelihood of extreme positive returns. Conversely, the CSI 2000 has the lowest values, suggesting a more dispersed return distribution[26][27] Risk Premium Analysis - **Volatility Trends**: The risk premium of indices like the CSI 1000 and CSI 2000 shows significant volatility, with notable spikes in September 2024 and April 2025 due to external events[30][31] - **Distribution Characteristics**: The CSI 1000, CSI 2000, and ChiNext Index exhibit more dispersed risk premium distributions, indicating higher uncertainty compared to indices like the SSE 50 and CSI 300, which have more concentrated distributions[36][37] PE-TTM and Valuation - **Historical Trends**: The PE-TTM values of most indices have shown a sharp increase since September 2024, with the CSI 500 and CSI All Share Index reaching the highest valuation levels relative to their historical ranges[41][43][45] - **Investment Implications**: The report highlights that no indices currently exceed their 80% valuation opportunity threshold, with the CSI 500 falling below its 20% danger threshold[48] Dividend Yield Analysis - **Historical Context**: The ChiNext Index and CSI 1000 have the highest historical dividend yield percentiles, suggesting their attractiveness in terms of cash flow returns. In contrast, the CSI 500 and CSI 2000 have the lowest percentiles, indicating less favorable dividend yields[55][56] Break-even Rates - **Current Levels**: The ChiNext Index has the lowest break-even rate, reflecting a more optimistic market valuation, while the CSI 2000 and CSI 1000 have slightly higher rates, indicating relatively lower market confidence[57] This report does not include specific quantitative models or factors, nor does it provide detailed construction methodologies, formulas, or backtesting results. Instead, it focuses on descriptive metrics and their implications for market analysis.

Report Overview - The report is a macro asset market analysis released by the research center's macro team on September 18, 2025, covering global asset market performance, including bond yields, exchange rates, stock indices, and trading data of stock index futures and treasury bond futures [2][3] Global Asset Market Performance Bond Yields - **10 - year Treasury Bond Yields**: Yields of major economies showed different trends. For example, the US 10 - year Treasury bond yield was 4.089 on September 17, 2025, with a latest change of 0.060, a one - week change of 0.042, a one - month change of - 0.203, and a one - year change of 0.388 [3] - **2 - year Treasury Bond Yields**: The US 2 - year Treasury bond yield was 3.540 on September 17, 2025, with a latest change of - 0.020, a one - week change of 0.050, and a one - year change of - 0.210 [3] Exchange Rates - **USD against Major Emerging Economies' Currencies**: The exchange rate of the US dollar against the Brazilian real was 5.305 on September 17, 2025, with a latest change of 0.14% and a one - month change of - 3.24% [3] - **Renminbi**: The on - shore RMB exchange rate was 7.104 on September 17, 2025, with a latest change of - 0.14%, a one - week change of - 0.24%, a one - month change of - 1.00%, and a one - year change of - 0.13% [3] Stock Indices - **Major Economies' Stock Indices**: The S&P 500 index was 6600.350 on September 17, 2025, with a latest change of - 0.10%, a one - week change of 1.05%, a one - month change of 3.20%, and a one - year change of 20.64% [3] - **Emerging Economies' Stock Indices**: The emerging economies' stock index was 1347.850 on September 17, 2025, with a latest change of 0.59%, a one - week change of 3.09%, a one - month change of 6.98%, and a one - year change of 26.74% [3] Credit Bond Indices - Different credit bond indices, such as the US investment - grade credit bond index (3528.030 on September 17, 2025) and the euro - zone high - yield credit bond index (407.110 on September 17, 2025), showed various trends in the latest, one - week, one - month, and one - year changes [3][4] Stock Index Futures Trading Data Index Performance - The A - share index closed at 3876.34 with a 0.37% increase, the CSI 300 index closed at 4551.02 with a 0.61% increase, etc. [5] Valuation - The PE (TTM) of the CSI 300 was 14.16 with a 0.07环比 change, and the PE (TTM) of the S&P 500 was 27.47 with a - 0.03环比 change [5] Risk Premium - The risk premium (1/PE - 10 - year interest rate) of the S&P 500 was - 0.45 with a - 0.06环比 change, and that of the German DAX was 2.52 with a 0.02环比 change [5] Fund Flows - The latest fund flow of A - shares was - 198.10, and the latest fund flow of the CSI 300 was 79.42 [5] Trading Volume - The latest trading volume of the Shanghai and Shenzhen stock markets was 23767.38, and the latest trading volume of the CSI 300 was 6084.54 [5] Basis and Spread - The basis of IF was 2.18 with a 0.05% spread, the basis of IH was 3.42 with a 0.12% spread, and the basis of IC was - 7.64 with a - 0.11% spread [5] Treasury Bond Futures Trading Data - Treasury bond futures T00, TF00, T01, and TF01 closed at 108.155, 105.890, 107.855, and 105.760 respectively, with increases of 0.18%, 0.13%, 0.18%, and 0.14% [6] - The R001, R007, and SHIBOR - 3M in the money market were 1.5536%, 1.5493%, and 1.5540% respectively, with daily changes of 5.00 BP, 5.00 BP, and 0.00 BP [6]