中金研究 美国宣布加征关税之后，出现了股债汇"三杀"的罕见局面。除了交易因素以外，从基本面上来讲，市场在定价"美国的滞胀"以及一个"没那么差的欧元 区"。与美国罕见的股债汇"三杀"对应的是人民币汇率韧性。人民币汇率的韧性为松货币增加了空间。除了传统的松货币工具以外，干预风险溢价是更 值得关注的政策选择，央行的结构性工具目前已经在稳定资本市场上有所尝试。 点击小程序查看报告原文 Abstract 美国宣布加征关税之后，出现了股债汇"三杀"的罕见局面。除了交易因素以外，从基本面上来讲，市场在定价"美国的滞胀"以及一个"没那么差的欧元 区"。 从1971年1月到现在，美国股债汇同时出现明显下跌[1]的月份只有6个，如果4月美股、美债、美元不再大幅变化，2025年的4月将是1971年以来第7 个单月美国股债汇都出现明显下跌的月份。一般来说，美股下跌、美债上涨、美元上涨是投资者更适应的资产变化组合。但如果美国面临的是"滞胀"风 险，同时其他经济可以凭借"非美国"的力量支撑基本面，那么就有可能出现美国股债汇三杀的局面。2022年12月的美国股债汇三杀可以帮助我们理解这一 轮调整的逻辑。 与美国罕见的股债汇"三杀"对应的是 ...

Market Performance - The recent 5 trading days saw the Sci-Tech 50 Index decline by 0.31%, the ChiNext Index by 0.64%, while large-cap value stocks rose by 2.62% and large-cap growth stocks fell by 0.24% [1] - The banking and real estate sectors performed well, while defense, military, agriculture, forestry, animal husbandry, and fishery sectors lagged behind [1] Risk Premium Analysis - The risk premium, measured as the inverse of the static PE of the CSI All Share Index minus the yield of 10-year government bonds, has reached historical extremes, with values exceeding 4% on multiple occasions since 2016 [1] - As of April 18, 2025, the risk premium stood at 4.05%, with the two-standard deviation boundary at 4.74% [1] Valuation Levels - As of April 18, 2025, the CSI All Share Index's TTM PE percentile is at 47%, with the SSE 50 and CSI 300 at 60% and 45% respectively, indicating that the ChiNext Index is relatively undervalued at close to 9% [2] - The long-term view of the Deep 100 Index suggests a cyclical pattern of bear and bull markets every three years, with the current adjustment phase starting in Q1 2021 showing sufficient time and space for a potential upward cycle [2] Fund Flow and Trading Activity - In the last 5 trading days, ETF inflows totaled 24.3 billion yuan, while margin trading decreased by approximately 3.4 billion yuan, with an average daily trading volume of 1,076.1 billion yuan across the two markets [3] AI and Data Analysis - The use of convolutional neural networks to model price and volume data has been explored, with features mapped to industry themes, indicating a focus on sectors such as banking and securities as of April 18, 2025 [2][8]

广发证券首席金工分析师 安宁宁 SAC: S0260512020003 anningning@gf.com.cn 广发证券资深金工分析师 张钰东 SAC: S0260522070006 zhangyudong@gf.com.cn 广发金工安宁宁陈原文团队 摘要 最近5个交易日，科创50指数跌0.31%，创业板指跌0.64%，大盘价值涨2.62%，大盘成长跌0.24%，上证50涨1.45%，国证2000代表的小盘涨0.05%，银行、 房地产市场表现靠前，国防军工、农林牧渔表现靠后。 风险溢价，中证全指静态PE的倒数EP减去十年期国债收益率，权益与债券资产隐含收益率对比，历史数次极端底部该数据均处在均值上两倍标准差区 域，比如2012/2018/2020年（疫情突发），2022/04/26达到4.17%，2022/10/28风险溢价再次上升到4.08%，市场迅速反弹，2024/01/19指标4.11%，自2016年 以来第五次超过4%。截至2025/04/18指标4.05%，两倍标准差边界为4.74%。 估值水平，截至2025/04/18，中证全指PETTM分位数47%，上证50与沪深300分别为60%、45%， ...

Group 1 - The core viewpoint of the article is that social financing (社融) has significantly exceeded expectations, with the loan balance year-on-year growth rate rebounding after two years, primarily supported by fiscal demand [2][11] - In March, new social financing reached 5.89 trillion yuan, an increase of 1.06 trillion yuan year-on-year, with the year-on-year growth rate rising from 8.2% to 8.4%, surpassing market expectations [2][4] - The net financing of government bonds in March reached 1.48 trillion yuan, an increase of approximately 1 trillion yuan year-on-year, indicating that rapid government bond issuance may lead to quicker commencement of key investment projects this year [2][4] Group 2 - M2 growth rate remained stable at 7.0%, while M1 growth rate increased from 0.1% in February to 1.6% in March, indicating relatively ample liquidity [7][11] - In March, short-term loans for enterprises increased by 460 billion yuan year-on-year, totaling 1.44 trillion yuan, while corporate loan rates remained unchanged at 3.30% [7][8] - The actual financing scale for enterprises in March remained roughly the same as last year, with net financing for the enterprise sector at 3.1 trillion yuan, indicating stability in overall financing demand [7][8] Group 3 - Fiscal deposits remain high, with a year-on-year growth rate of 16.9% in March, suggesting significant potential for fiscal support in the near term [11][13] - The central bank's decision to release favorable data on a Sunday is seen as a strategy to stabilize market confidence ahead of the Monday opening [13][14] - The central bank's balance sheet relative to GDP is at a historically low level, providing potential for expansion, which could help lower risk premiums in uncertain economic conditions [13][14]

广发证券首席金工分析师 安宁宁 SAC: S0260512020003 anningning@gf.com.cn 广发证券资深金工分析师 张钰东 SAC: S0260522070006 广发金工安宁宁陈原文团队 摘要 最近5个交易日，科创50指数跌0.63%，创业板指跌6.73%，大盘价值跌2.61%，大盘成长跌3.37%，上证50跌1.60%，国证2000代表的小盘跌6.29%，农林牧 渔、商贸零售市场表现靠前，电力设备、通信表现靠后。 风险溢价，中证全指静态PE的倒数EP减去十年期国债收益率，权益与债券资产隐含收益率对比，历史数次极端底部该数据均处在均值上两倍标准差区 域，比如2012/2018/2020年（疫情突发），2022/04/26达到4.17%，2022/10/28风险溢价再次上升到4.08%，市场迅速反弹，2024/01/19指标4.11%，自2016年 以来第五次超过4%。截至2025/04/11指标4.09%，两倍标准差边界为4.73%。 估值水平，截至2025/04/11，中证全指PETTM分位数45%，上证50与沪深300分别为56%、43%，创业板指接近9%，中证500与中证1000 ...

Market Performance - The recent five trading days saw the Sci-Tech 50 Index decline by 0.63%, the ChiNext Index drop by 6.73%, and the large-cap value index decrease by 2.61% [1] - The agricultural, forestry, animal husbandry, and fishery sectors, along with retail trade, performed well, while the power equipment and telecommunications sectors lagged behind [1] Risk Premium Analysis - The risk premium, measured as the inverse of the static PE of the CSI All Share Index minus the yield of ten-year government bonds, indicates that the implied returns of equity and bond assets are at historically high levels, reaching 4.17% on April 26, 2022, and 4.11% on January 19, 2024 [1] - As of April 11, 2025, the risk premium stands at 4.09%, with the two-standard deviation boundary at 4.73% [1] Valuation Levels - As of April 11, 2025, the CSI All Share Index's PE TTM percentile is at 45%, with the SSE 50 and CSI 300 at 56% and 43% respectively, indicating that the ChiNext Index is at a relatively low valuation compared to historical levels [2] - The long-term view of the Deep 100 Index suggests a cyclical pattern of bear and bull markets every three years, with the current adjustment phase starting in Q1 2021 showing sufficient time and space for a potential upward cycle [2] Fund Flow and Trading Activity - In the last five trading days, ETF inflows totaled 206.9 billion yuan, while margin financing decreased by approximately 98.3 billion yuan, with an average daily trading volume of 1.5742 trillion yuan [3] AI and Machine Learning Insights - The use of convolutional neural networks (CNN) for modeling price and volume data has been explored, with features mapped to industry themes, indicating a focus on sectors like securities as of April 11, 2025 [7][2]

Market Performance - The recent 5 trading days saw the Sci-Tech 50 Index decline by 1.29%, and the ChiNext Index drop by 1.12%, while the large-cap value index rose by 0.28% and the large-cap growth index increased by 0.04% [1] - The healthcare and agriculture sectors performed well, whereas the computer and defense industries lagged behind [1] Risk Premium Analysis - The static PE of the CSI All Share Index minus the yield of 10-year government bonds indicates a risk premium, which has historically reached extreme levels at two standard deviations above the mean during significant market bottoms [1] - As of January 19, 2024, the risk premium indicator was at 4.11%, marking the fifth occurrence since 2016 of exceeding 4% [1] Valuation Levels - As of March 28, 2025, the CSI All Share Index's PE TTM percentile was at 53%, with the SSE 50 and CSI 300 at 58% and 48% respectively, while the ChiNext Index was close to 14% [2] - The ChiNext Index's valuation is relatively low compared to historical averages [2] Long-term Market Trends - The Shenzhen 100 Index has experienced bear markets approximately every three years, followed by bull markets, with declines ranging from 40% to 45% [2] - The current adjustment cycle, which began in Q1 2021, appears to have sufficient time and space for a potential upward trend [2] Fund Flow and Trading Activity - In the last 5 trading days, ETF inflows totaled 16.2 billion yuan, while margin financing decreased by approximately 24.8 billion yuan [3] - The average daily trading volume across both markets was 1.2346 trillion yuan [3] Thematic Investment Focus - As of March 28, 2025, the recommended investment themes include construction materials and low-volatility dividend stocks [2][8]

广发证券首席金工分析师 安宁宁 SAC: S0260512020003 SAC: S0260522070006 zhangyudong@gf.com.cn 广发金工安宁宁陈原文团队 摘要 最近5个交易日，科创50指数跌4.16%，创业板指跌3.34%，大盘价值跌0.91%，大盘成长跌2.89%，上证50跌2.38%，国证2000代表的小盘跌 1.89%，石油石化、建筑材料市场表现靠前，计算机表现靠后。 风险溢价，中证全指静态PE的倒数EP减去十年期国债收益率，权益与债券资产隐含收益率对比，历史数次极端底部该数据均处在均值上两倍标准差区 域，比如2012/2018/2020年（疫情突发），2022/04/26达到4.17%，2022/10/28风险溢价再次上升到4.08%，市场迅速反弹，2024/01/19指标4.11%，自2016 年以来第五次超过4%。截至2025/03/21指标3.61%，两倍标准差边界为4.72%。 估值水平，截至2025/03/21，中证全指PETTM分位数54%，上证50与沪深300分别为58%、47%，创业板指接近15%，中证500与中证1000分别为35%、 42%，创业板指风格 ...

Core Viewpoint - In 2024, major asset classes generally recorded positive returns, but performance varied significantly among them, with large-cap stocks outperforming small-cap stocks and gold showing substantial gains [1][3][6]. Summary by Sections Asset Performance - Large-cap stocks achieved a return of 18.24%, significantly higher than the 2.79% return of small-cap stocks [2][4]. - Long-term government bonds yielded 9.38%, with approximately 6.9% of this return attributed to price increases from declining interest rates [4]. - Newly included gold assets saw a remarkable increase of 28.19% [5][6]. Long-term Return Effectiveness - The report addressed concerns regarding the long-term return calculations from 2005 to 2024, confirming that the historical returns are stable and provide valuable reference for investors [8][10][11]. - The current price-to-earnings (PE) and price-to-book (PB) ratios are lower than those at the end of 2004, indicating that the long-term return rates of the Chinese stock market are objectively stable [10][11]. Gold's Long-term Returns - From 2003 to 2024, Shanghai gold had an annualized return of 8.98%, while London gold from 1969 to 2024 had a return of 7.66% [13]. - Gold's performance is highly cyclical, with significant returns during periods of high inflation and geopolitical risk, but underperforming during stable economic conditions [14][15][16]. Diversification Benefits - The report illustrated the advantages of diversification, showing that as the number of stocks in a portfolio increases, the average return becomes more concentrated and predictable, reducing the risk of individual stock failures [18][19]. - Holding more than 10 stocks leads to diminishing returns in terms of average yield improvement, while the volatility approaches the market's systemic risk [19]. Risk Premium Analysis - The report decomposed the long-term risk premiums of various asset classes, indicating that all risk premiums are positive, with stocks offering the highest risk premium [22][23]. - The characteristics of risk premiums in China are similar to those in the U.S., suggesting that higher risks are compensated with higher returns over the long term [23].

广发证券首席金工分析师 安宁宁 最近5个交易日，科创50指数涨2.67%，创业板指涨1.61%，大盘价值涨1.01%，大盘成长涨1.28%，上证50涨1.63%，国证2000代表的小盘涨4.00%，有色金 属、国防军工市场表现靠前，石油石化表现靠后。 SAC: S0260512020003 anningning@gf.com.cn 广发证券资深金工分析师 张钰东 SAC: S0260522070006 zhangyudong@gf.com.cn 广发金工安宁宁陈原文团队 摘要 风险溢价，中证全指静态PE的倒数EP减去十年期国债收益率，权益与债券资产隐含收益率对比，历史数次极端底部该数据均处在均值上两倍标准差区域，比 如2012/2018/2020年（疫情突发），2022/04/26达到4.17%，2022/10/28风险溢价再次上升到4.08%，市场迅速反弹，2024/01/19指标4.11%，自2016年以来第五 次超过4%。截至2025/03/07指标3.65%，两倍标准差边界为4.71%。 估值水平，截至2025/03/07，中证全指PETTM分位数55%，上证50与沪深300分别为59%、47%，创业 ...