Group 1: Market Performance - Shanghai gold (Au) rose 0.52% to 774.02 yuan/gram, and Shanghai silver (Ag) rose 1.29% to 8761.00 yuan/kilogram; COMEX gold rose 0.22% to 3350.50 US dollars/ounce, and COMEX silver rose 0.45% to 36.28 US dollars/ounce [2] - The yield of 10-year US Treasury bonds was reported at 4.29%, and the US dollar index was reported at 97.53 [2] - The Dow Jones Index fell 0.25%, the S&P 500 Index remained unchanged, the Nasdaq Index rose 0.31%, and the VIX Index fell 4.12% [4] Group 2: Market Outlook and Factors - The current market expectation for the Fed's loose monetary policy has further increased, and the US dollar liquidity will benefit from the changes in bank regulatory bills, which are clear positive factors for the silver price [2] - The Fed announced a proposal to relax the capital rules of large US banks, which aims to enhance the ability of these banks to act as intermediaries for US Treasury bonds in the US capital market, and is beneficial to the stable operation of the prices of precious metals [2] - Although Powell's short-term stance is neutral to hawkish, in the medium term, affected by the interest expenditure of US Treasury bonds, it is certain that the Fed will enter an interest rate cut cycle in the second half of the year [3] Group 3: Investment Strategy - It is recommended to buy silver on dips. The reference operating range of the main contract of Shanghai gold is 747 - 801 yuan/gram, and the reference operating range of the main contract of Shanghai silver is 8545 - 9075 yuan/kilogram [3] Group 4: Key Data Summary - For COMEX gold on June 25, 2025, the closing price was 3346.40 US dollars/ounce (up 0.24%), the trading volume was 12.75 million lots (down 42.80%), the open interest was 44.12 million lots (up 5.77%), and the inventory was 1150 tons (down 1.25%) [6] - For COMEX silver on June 25, 2025, the closing price was 36.22 US dollars/ounce (up 0.96%), the open interest was 18.48 million lots (up 6.05%), and the inventory was 15562 tons (up 0.40%) [6] Group 5: Price Structure and Spread - On June 25, 2025, the SHFE - COMEX spread of gold was 17.42 US dollars/ounce, and the SGE - LBMA spread was -3.39 US dollars/ounce [49] - On June 25, 2025, the SHFE - COMEX spread of silver was 1.58 US dollars/ounce [49]

Quantitative Models and Construction Methods Model Name: Net Liquidity - **Construction Idea**: Net liquidity is derived from the Federal Reserve's balance sheet, focusing on the core components of cash in circulation and bank reserves[2] - **Construction Process**: - Calculate net liquidity as total assets minus Treasury General Account (TGA) and reverse repos - Formula: $ \text{Net Liquidity} = \text{Total Assets} - \text{TGA} - \text{Reverse Repos} $ - This represents the base money supply under the money multiplier effect, directly determining the amount of money available for transactions and credit activities in the market[2][21] - **Evaluation**: Net liquidity effectively reflects the real available funds in the market, providing a clearer signal than total assets[31] Model Name: Federal Reserve Credit Support - **Construction Idea**: Federal Reserve credit support is based on the quality of collateral purchased by the Fed, aiming to enhance credit by buying lower-grade collateral[2] - **Construction Process**: - Construct the credit support indicator as the ratio of long-term government bonds, federal agency bonds, and mortgage-backed securities (MBS) to cash in circulation, reserves, and reverse repos - Formula: $ \text{Credit Support} = \frac{\text{Long-term Government Bonds} + \text{Federal Agency Bonds} + \text{MBS}}{\text{Cash in Circulation} + \text{Reserves} + \text{Reverse Repos}} $ - This indicator is smoothed and compared year-over-year to identify the direction of credit support changes[2][42] - **Evaluation**: The credit support indicator is significantly negatively correlated with credit spreads, indicating its effectiveness in reducing default risk in the economy[42] Model Name: Fed Sentiment Index - **Construction Idea**: The Fed Sentiment Index captures the sentiment of Federal Reserve officials' public statements to predict policy tendencies[3] - **Construction Process**: - Use Natural Language Processing (NLP) to analyze the sentiment of Fed officials' speeches, interviews, tweets, etc. - Assign scores ranging from extremely dovish to extremely hawkish - Calculate the total sentiment score daily to provide timely and comprehensive interpretations of Fed communication[57][59] - **Evaluation**: The Fed Sentiment Index improves the accuracy of predicting federal funds rates and bond yields, offering better differentiation for the S&P 500 compared to low-frequency document signals[59] Model Name: Market Implied Rate - **Construction Idea**: The market implied rate tracks the market's expectations of future interest rate changes based on federal funds rate futures contracts[3] - **Construction Process**: - Calculate the implied rate as $ 100 - \text{futures price} $ - Focus on the price difference between futures contracts maturing in the next month and those maturing in the month of the upcoming FOMC meeting - Smooth the quarterly differences to identify marginal changes in market expectations[68][72] - **Evaluation**: The market implied rate indicator leads actual policy rate adjustments, providing early signals of policy shifts[72] Model Name: Announcement Surprise - **Construction Idea**: Announcement surprise captures the unexpected impact of FOMC meeting decisions on market expectations[3] - **Construction Process**: - Use the price changes of federal funds rate futures contracts maturing three months after the meeting to calculate the difference between actual and implied rate changes - Sample high-frequency data 10 minutes before and 20 minutes after the meeting to precisely capture the policy expectation gap[74][75] - **Evaluation**: Announcement surprise effectively identifies the unexpected tightening or easing of Fed policies, with significant impacts on bond yields[74] Model Backtest Results Net Liquidity - **Annualized Excess Return**: 5.1% relative to S&P 500 equal-weight benchmark[92] - **Annualized Excess Return**: 7.2% relative to Nasdaq 100 equal-weight benchmark[92] - **Maximum Drawdown Reduction**: 15% for S&P 500, 31% for Nasdaq 100[92] Federal Reserve Credit Support - **Annualized Sharpe Ratio**: Enhanced for most assets during periods of increased credit support[48] Fed Sentiment Index - **Annualized Excess Return**: Significant differentiation for S&P 500 returns in hawkish vs. dovish sentiment periods[61] Market Implied Rate - **Annualized Excess Return**: Effective in predicting policy shifts, leading actual rate adjustments[72] Announcement Surprise - **Bond Yield Impact**: Higher future bond yields in unexpected easing scenarios compared to unexpected tightening scenarios[76] Quantitative Factors and Construction Methods Factor Name: Net Liquidity - **Construction Idea**: Derived from the Federal Reserve's balance sheet, focusing on cash in circulation and bank reserves[2] - **Construction Process**: - Calculate net liquidity as total assets minus TGA and reverse repos - Formula: $ \text{Net Liquidity} = \text{Total Assets} - \text{TGA} - \text{Reverse Repos} $ - This represents the base money supply under the money multiplier effect, directly determining the amount of money available for transactions and credit activities in the market[2][21] - **Evaluation**: Net liquidity effectively reflects the real available funds in the market, providing a clearer signal than total assets[31] Factor Name: Federal Reserve Credit Support - **Construction Idea**: Based on the quality of collateral purchased by the Fed, aiming to enhance credit by buying lower-grade collateral[2] - **Construction Process**: - Construct the credit support indicator as the ratio of long-term government bonds, federal agency bonds, and MBS to cash in circulation, reserves, and reverse repos - Formula: $ \text{Credit Support} = \frac{\text{Long-term Government Bonds} + \text{Federal Agency Bonds} + \text{MBS}}{\text{Cash in Circulation} + \text{Reserves} + \text{Reverse Repos}} $ - This indicator is smoothed and compared year-over-year to identify the direction of credit support changes[2][42] - **Evaluation**: The credit support indicator is significantly negatively correlated with credit spreads, indicating its effectiveness in reducing default risk in the economy[42] Factor Name: Fed Sentiment Index - **Construction Idea**: Captures the sentiment of Federal Reserve officials' public statements to predict policy tendencies[3] - **Construction Process**: - Use NLP to analyze the sentiment of Fed officials' speeches, interviews, tweets, etc. - Assign scores ranging from extremely dovish to extremely hawkish - Calculate the total sentiment score daily to provide timely and comprehensive interpretations of Fed communication[57][59] - **Evaluation**: Improves the accuracy of predicting federal funds rates and bond yields, offering better differentiation for the S&P 500 compared to low-frequency document signals[59] Factor Name: Market Implied Rate - **Construction Idea**: Tracks the market's expectations of future interest rate changes based on federal funds rate futures contracts[3] - **Construction Process**: - Calculate the implied rate as $ 100 - \text{futures price} $ - Focus on the price difference between futures contracts maturing in the next month and those maturing in the month of the upcoming FOMC meeting - Smooth the quarterly differences to identify marginal changes in market expectations[68][72] - **Evaluation**: Leads actual policy rate adjustments, providing early signals of policy shifts[72] Factor Name: Announcement Surprise - **Construction Idea**: Captures the unexpected impact of FOMC meeting decisions on market expectations[3] - **Construction Process**: - Use the price changes of federal funds rate futures contracts maturing three months after the meeting to calculate the difference between actual and implied rate changes - Sample high-frequency data 10 minutes before and 20 minutes after the meeting to precisely capture the policy expectation gap[74][75] - **Evaluation**: Effectively identifies the unexpected tightening or easing of Fed policies, with significant impacts on bond yields[74] Factor Backtest Results Net Liquidity - **Annualized Excess Return**: 5.1% relative to S&P 500 equal-weight benchmark[92] - **Annualized Excess Return**: 7.2% relative to Nasdaq 100 equal-weight benchmark[92] - **Maximum Drawdown Reduction**: 15% for S&P 500, 31% for Nasdaq 100[92] Federal Reserve Credit Support - **Annualized Sharpe Ratio**: Enhanced for most assets during periods of increased credit support[48] Fed Sentiment Index - **Annualized Excess Return**: Significant differentiation for S&P 500 returns in hawkish vs. dovish sentiment periods[61] Market Implied Rate - **Annualized Excess Return**: Effective in predicting policy shifts, leading actual rate adjustments[72] Announcement Surprise - **Bond Yield Impact**: Higher future bond yields in unexpected easing scenarios compared to unexpected tightening scenarios[76]

证券研究报告 | 朝闻国盛 gszqdatemark 2025 05 20 年 月 日 朝闻国盛 重回价值投资 今日概览 ◼ 重磅研报 【宏观】不只是关税—全面解读 4 月经济——20250519 【策略研究】【行业联合推荐】重回价值投资 ——20250519 【金融工程】美联储流动性的量价解构与资产配置应用——20250519 【固定收益】强韧数据背后的内外需压力——20250519 【固定收益】煤炭调度回落，化工开工率回升——基本面高频数据跟踪 ——20250519 【固定收益】可转债产业链大图谱——2025 年 5 月——20250519 ◼ 研究视点 【海外】阿里巴巴-W（09988.HK）-电商和云增长提速，AI 投入坚定不 改——20250519 请仔细阅读本报告末页声明 gszqdatemark 2025 05 20 年 月 日 作者 | 分析师 沈猛 | | | | | --- | --- | --- | --- | | 执业证书编号：S0680522050001 | | | | | 邮箱：shenmeng@gszq.com | | | | | 行业表现前五名 | | | | | 行业 | 1 ...

Core Viewpoint - The financial markets are exhibiting extreme sensitivity to statements made by influential figures, indicating a fragile market sentiment that could lead to significant volatility [1][3]. Group 1: Market Reactions - The yield on the 10-year U.S. Treasury surged to 4.536%, while the 20-year yield approached 5%, reflecting a level of market volatility typically triggered by major events [1]. - The dollar index experienced a sharp increase, while the Japanese yen appreciated, and gold prices fell significantly, suggesting tightening dollar liquidity and potential issues in the dollar financing market [5]. Group 2: Central Bank Concerns - The European Central Bank has begun requiring certain banks in the Eurozone to assess their resilience in the event of a dollar liquidity crunch, raising concerns about the Federal Reserve's ability to continue acting as a global liquidity provider [3][5]. - The Federal Reserve signaled its capability to provide dollar liquidity to other central banks through swap lines, but this raises fears about the consequences if such support is withdrawn [5]. Group 3: Global Financial System Vulnerability - The current situation highlights the fragility of the global dollar financing system, with the 10-year Treasury yield serving as a barometer for global dollar liquidity [7]. - The total global debt has reached $324 trillion, and the U.S. faces a significant challenge with $9 trillion in debt needing to be rolled over by 2025, raising questions about the sustainability of the dollar system [5]. Group 4: Shifts in Market Dynamics - The traditional strategies employed by the U.S. to stabilize the dollar's dominance are becoming less effective, as evidenced by the market's failure to respond positively to past measures [7][12]. - There is a growing skepticism regarding the reliability of the Federal Reserve's interventions, with many questioning the long-held beliefs about the safety of U.S. Treasuries and the effectiveness of quantitative easing [10][12]. Group 5: Future Implications - The ongoing situation suggests that the established financial norms may be eroding, leading to a potential reconfiguration of the global financial order as the cracks in the current system become more apparent [10][12]. - The dynamics of global economic competition have shifted from mere trade disputes to a deeper struggle for financial and monetary power, indicating a complex and evolving landscape [12].

Group 1: Copper and Non-Ferrous Metals - The non-ferrous metals ETF (512400) surged nearly 2%, aiming for a third consecutive increase, with a trading volume of 119 million yuan as of 10:16 AM on March 26, 2025 [1] - The index tracking the non-ferrous metals sector, the Zhongzheng Shenwan Non-Ferrous Metals Index, rose by 0.61%, with notable increases in individual stocks such as Northern Copper (up 7.02%), Silver Non-Ferrous (up 4.32%), Jiangxi Copper (up 3.62%), and Jinli Permanent Magnet (up 2.76%) [1] - On March 25, 2025, copper futures prices on the New York Commodity Exchange (Comex) reached a historical high of $5.2145 per pound, surpassing the previous record of $5.199 set on May 20, 2024 [1] Group 2: Market Sentiment and Future Outlook - Guosheng Securities indicated that expectations of tariffs and current shortages are driving up copper prices, with anticipation of macroeconomic stimulus leading to increased downstream demand [1] - Xinda Futures noted that the demand season supports copper demand, alongside a positive domestic macro sentiment and easing concerns over mining tightness, suggesting that copper prices may maintain a strong trend moving forward [1] Group 3: Gold Market Insights - Dongfang Securities reported that the Federal Reserve's decision to keep interest rates unchanged during the meeting from March 17 to 23, 2025, aligns with expectations, with guidance indicating two rate cuts within the year [2] - The Fed's decision to reduce the pace of balance sheet reduction starting April 1, 2025, from a monthly cap of $25 billion to $5 billion, signals a loosening of monetary policy, which is expected to positively impact gold prices [2] - The improvement in dollar liquidity and the opening of future rate cut space are seen as favorable for investment opportunities in the gold sector [2]

Group 1: Gold Investment Opportunities - The Federal Reserve's decision to keep interest rates unchanged aligns with expectations, with guidance indicating two rate cuts within the year, which is favorable for gold prices [1] - The market anticipates improved dollar liquidity and potential rate cuts, suggesting a positive outlook for the gold sector [1] - The COMEX gold price has shown a slight increase of 1.16% week-on-week, reaching 3028.2 USD/ounce, with a significant rise in non-commercial net long positions by 9.25% [3] Group 2: Steel Sector Insights - The steel sector has experienced a three-year correction, and current levels present high potential for investment [1] - Recent data indicates a 4.19% week-on-week increase in national rebar consumption, totaling 2.43 million tons, while the overall price index for common steel has decreased by 1.17% [1] - The profitability and stability of leading steel companies have improved, and changes in upstream iron ore supply dynamics may lead to a recovery in domestic steel industry profitability [1] Group 3: Industrial Metals Outlook - The LME aluminum settlement price has decreased by 2.25% week-on-week, indicating market volatility [2] - The copper smelting fee has dropped significantly by 44.65%, reaching -2.3 USD/thousand tons, suggesting tightening supply conditions [2] - The demand for copper is expected to rise due to growth in solar energy, electric vehicles, and AI applications, leading to a potential increase in copper prices [2]