偃旗息鼓:全球风险偏好反弹上行 -- 大类资产配置周度点评(20250630) 王子翌(分析师) 02 -386 /6666 本报告导读: 我们调整此前的战术性大类资产配置观点。我们维持对 A 股的战术性标配观点,维 持对国债的战术性标配观点,下修黄金的战术性配置观点至标配,维持对美元的战 术性低配观点。 投资要点: ne Hill - S 黨略 经济修复节奏以及市场对经济景气的预期相对企稳,权益市场表现 较好在一定程度上限制了债市的相对吸引力。此外,资金利率的不 确定性以及市场对央行操作的高度博弈亦限制了利率的下行动能。 参研究报 请务必阅读正文之后的免责条款部分 策略研究 / 2025.06.30 登记编与 □ 我们维持对 A 股的战术性标配观点。投资者对于政策的不确定性消 除提振市场风险偏好中枢,无风险利率的下行有利于A股表现。定 价资金"以我为主",而对复杂多变的外部宏观背景逐渐钝化。总量 政策层面,财政积极发力、货币政策维持宽松;产业层面,中国科 技的突破有利于企业增加信心并增加资本开支。近期市场对 A 股定 价因子的预期亦相对稳定。 我们维持对国债的战术性标配观点。在融资需求与信贷供给不平衡 D ...

Group 1 - The report maintains a tactical benchmark view on A-shares, citing the elimination of policy uncertainty and a decline in risk-free interest rates as factors that enhance market performance [4][11][13] - The tactical benchmark view on government bonds is upheld, with the report noting an imbalance between financing demand and credit supply, which limits the downward movement of interest rates [4][11][13] - The tactical allocation view on gold is downgraded to benchmark, as geopolitical tensions have eased and market risk appetite has rebounded, reducing gold's appeal as a safe-haven asset [4][11][13] - A tactical underweight view on the US dollar is maintained, with concerns over fluctuating policies and persistent fiscal deficit issues impacting the dollar's credibility [4][14] Group 2 - The report highlights that the recent market sentiment is stable, with expectations for economic recovery and a favorable environment for equity assets due to declining risk-free rates and high trading volumes [11][12] - The report indicates that the geopolitical situation in the Middle East and improved China-US relations have boosted global risk appetite, suggesting structural opportunities within equity markets [11][12] - The report emphasizes that the current macroeconomic environment limits the potential for significant downward adjustments in bond yields, as the market has already priced in the prevailing interest rate levels [11][12]

Quantitative Models and Construction Methods 1. Factor Name: Beta Factor - **Construction Idea**: The Beta factor measures the sensitivity of a stock's returns to the overall market returns, indicating its systematic risk[29] - **Construction Process**: - Calculate the covariance between the stock's returns and the market returns - Divide this covariance by the variance of the market returns - Formula: $ \beta = \frac{\text{Cov}(R_i, R_m)}{\text{Var}(R_m)} $ where $R_i$ is the return of the stock and $R_m$ is the return of the market[29] - **Evaluation**: The Beta factor is a widely used measure of risk, indicating how much a stock's price is expected to move relative to the market[29] 2. Factor Name: Liquidity Factor - **Construction Idea**: The Liquidity factor assesses the ease with which a stock can be traded without affecting its price, reflecting the market's depth and breadth[29] - **Construction Process**: - Measure the average daily trading volume - Calculate the bid-ask spread - Combine these metrics to form a composite liquidity score - Formula: $ \text{Liquidity} = \frac{\text{Average Daily Volume}}{\text{Bid-Ask Spread}} $[29] - **Evaluation**: The Liquidity factor is crucial for understanding the trading costs and potential price impact of large trades[29] 3. Factor Name: Profitability Quality Factor - **Construction Idea**: The Profitability Quality factor evaluates the financial health and earnings quality of a company, focusing on sustainable and high-quality earnings[29] - **Construction Process**: - Analyze various financial ratios such as return on equity (ROE), return on assets (ROA), and profit margins - Combine these ratios into a composite score - Formula: $ \text{Profitability Quality} = \frac{\text{ROE} + \text{ROA} + \text{Profit Margin}}{3} $[29] - **Evaluation**: This factor helps in identifying companies with strong and sustainable earnings, which are likely to perform well in the long term[29] Factor Backtesting Results 1. Beta Factor - **IR**: 0.45[29] - **Annualized Return**: 8.5%[29] - **Volatility**: 12.3%[29] 2. Liquidity Factor - **IR**: 0.38[29] - **Annualized Return**: 7.8%[29] - **Volatility**: 11.5%[29] 3. Profitability Quality Factor - **IR**: 0.52[29] - **Annualized Return**: 9.2%[29] - **Volatility**: 10.8%[29] Additional Factors and Their Performance 1. Factor Name: Skewness Factor - **Construction Idea**: The Skewness factor measures the asymmetry of the return distribution, indicating the potential for extreme positive or negative returns[33] - **Construction Process**: - Calculate the third moment of the return distribution - Normalize by the cube of the standard deviation - Formula: $ \text{Skewness} = \frac{E[(R - \mu)^3]}{\sigma^3} $ where $R$ is the return, $\mu$ is the mean return, and $\sigma$ is the standard deviation[33] - **Evaluation**: This factor is useful for understanding the tail risks and potential for extreme outcomes in the return distribution[33] 2. Factor Name: Position Change Factor - **Construction Idea**: The Position Change factor tracks changes in the holdings of large institutional investors, indicating their sentiment and market positioning[33] - **Construction Process**: - Monitor the quarterly filings of institutional investors - Calculate the net change in positions for each stock - Formula: $ \text{Position Change} = \frac{\text{Current Quarter Holdings} - \text{Previous Quarter Holdings}}{\text{Previous Quarter Holdings}} $[33] - **Evaluation**: This factor provides insights into the buying and selling activities of major market players, which can influence stock prices[33] Factor Backtesting Results 1. Skewness Factor - **IR**: 0.42[33] - **Annualized Return**: 8.1%[33] - **Volatility**: 11.9%[33] 2. Position Change Factor - **IR**: 0.47[33] - **Annualized Return**: 8.7%[33] - **Volatility**: 11.2%[33]

Report Summary 1. Report Industry Investment Rating - No information provided in the given content. 2. Core Viewpoints - No explicit core viewpoints are presented in the provided text. The report mainly offers data on global asset market performance, including bond yields, exchange rates, stock indices, and trading data for stock and bond futures. 3. Summary by Relevant Catalogs Global Asset Market Performance - **10 - Year Treasury Bond Yields**: On June 24, 2025, yields varied across major economies. For example, the US was at 4.296%, and Japan at 3.864%. Changes over different time - frames (latest, one - week, one - month, one - year) also differed. The US had a latest change of - 0.053, a one - year change of 0.074 [3]. - **2 - Year Treasury Bond Yields**: Yields on June 24, 2025, were as follows: the US at 3.900%, and Japan at 0.733%. There were also different changes over various time - periods. The US had a latest change of 0.060 and a one - year change of - 0.850 [3]. - **Dollar to Major Emerging Economy Currency Exchange Rates**: On June 24, 2025, the exchange rate of the dollar to the Brazilian real was 5.511 with a 0.26% latest change. Rates and changes varied for other currencies like the Russian ruble, South African rand, etc [3]. - **Major Economies' Stock Indices**: On June 24, 2025, the S&P 500 was at 6092.180 with a 1.11% latest change. Different indices had different performance over various time - frames. The S&P 500 had a one - year change of 12.16% [3]. - **Credit Bond Indices**: Different types of credit bond indices (US investment - grade, euro - zone investment - grade, etc.) had positive changes over different time - periods. For example, the US investment - grade credit bond index had a latest change of 0.42% and a one - year change of 5.35% [3]. Stock Index Futures Trading Data - **Index Performance**: On June 24, 2025, the A - share index closed at 3420.57 with a 1.15% increase. Other indices like the CSI 300, SSE 50, etc., also had their respective closing prices and percentage changes [4]. - **Valuation**: PE (TTM) values for indices such as the CSI 300, SSE 50, etc., were provided. The CSI 300 had a PE (TTM) of 13.03 with a 0.13环比 change [4]. - **Risk Premium**: Risk premium values and their环比 changes were given for different indices. The CSI 300 had a risk premium of 3.70 with a 0.00环比 change [4]. - **Fund Flow**: Latest values and 5 - day average values of fund flow were presented for different segments of the A - share market. The A - share market had a latest fund flow value of 491.60 and a 5 - day average of - 240.08 [4]. - **Trading Volume**: Latest trading volume values and环比 changes were provided for different market segments. The Shanghai and Shenzhen stock markets had a latest trading volume of 14145.82 with a 2919.75环比 change [4]. - **Main Contract Premium/Discount**: Basis and percentage changes were given for futures contracts such as IF, IH, and IC. The IF contract had a basis of - 51.63 and a - 1.32% change [4]. Treasury Bond Futures Trading Data - **Closing Prices and Percentage Changes**: On June 24, 2025, the T00 contract closed at 109.025 with a 0.00% change, and the T01 contract closed at 109.045 with a 0.02% change [5]. - **Funding Rates**: Funding rates such as R001, R007, and SHIBOR - 3M were provided along with their daily changes. R001 was at 1.4380% with a - 12.00 BP daily change [5].

Core Viewpoint - Asset management institutions are shifting towards a diversified asset allocation strategy that includes stocks, bonds, gold, market-neutral strategies, and overseas assets to achieve relatively stable returns in a low-interest-rate environment [1][2]. Group 1: Investment Strategy - The evolution of China's low-interest-rate environment mirrors that of overseas markets, where initial strategies focused on credit exploration, leverage, and duration have lost profitability due to the narrowing of credit and term spreads [1]. - The current market has transitioned to a new phase centered on diversified asset allocation, which, despite its theoretical effectiveness, is now favored over fixed-income strategies that were previously attractive due to low volatility and high Sharpe ratios [1]. Group 2: Optimal Asset Allocation Criteria - An ideal diversified asset allocation strategy must meet three key conditions: low correlation between assets (below 0.2), the ability to generate returns without relying on market price fluctuations, and immunity to macroeconomic volatility [2]. - Four to five asset classes that meet these criteria include stocks, bonds, commodities represented by gold, market-neutral strategies (quantitative and macro hedging), and overseas assets [2]. Group 3: Risk Management and Future Outlook - Asset management institutions need to establish defensive mechanisms to address extreme tail risks, focusing on two dimensions: using derivatives to hedge against interest rate risks and preventing global liquidity tightening or sudden inflation shocks [2]. - In the current low-interest, low-inflation environment, a risk parity strategy between stocks and bonds may become the optimal choice in the next 1-2 years, as the bond market still has downward potential while the stock market is at a valuation bottom with significant upside potential as the economy recovers [2].

1. Report Industry Investment Rating - No investment rating information is provided in the report. 2. Core Viewpoints of the Report - From June 16th to June 20th, the Fed's June FOMC meeting kept rates unchanged, the Middle - East geopolitical situation further escalated, the US dollar index rose weekly, stocks and bonds were weak, and commodities continued to rise. In general, commodities > bonds > stocks in terms of USD - denominated assets [3][6]. - In China, from June 16th to June 20th, the year - on - year growth rate of industrial added value of large - scale industries in May was lower than expected, the year - on - year growth rate of total retail sales of consumer goods in May was higher than expected, and the year - on - year growth rate of urban fixed - asset investment from January to May was 3.7%, lower than expected. The year - on - year decline of national real estate development investment from January to May was 10.7%. The stock market declined, and the bond market and commodities rose. Generally, commodities > bonds > stocks [3]. - The market will focus on the Middle - East situation in the short term. The price fluctuations of related large - scale assets, especially energy prices, may increase. It is necessary to closely monitor the situation [3][23]. 3. Summary by Relevant Catalogs 3.1 Global Large - scale Asset Overall Performance - **Global Stock Market**: From June 16th to June 20th, the Middle - East situation increased market risk - aversion, and most global stock markets declined. European stocks performed poorly, and emerging markets were slightly more resilient than developed markets. The VIX index fluctuated weekly [8]. - **Global Bond Market**: From June 16th to June 20th, the Fed's June FOMC meeting maintained the target range of the federal funds rate at 4.25% - 4.5%, in line with market expectations. The divergence of Fed officials' monetary policy expectations increased. Medium - and long - term US bond yields declined, and the 10 - year US bond yield fell 3BP to 4.38% weekly. The bond market fluctuated weekly. Globally, high - yield bonds > credit bonds > government bonds [13]. - **Global Foreign Exchange Market**: From June 16th to June 20th, the US macro data was generally stable, market risk - aversion increased, and the US dollar index rose weekly. Most major non - US currencies depreciated against the US dollar, and the RMB exchange rate fluctuated narrowly. The US dollar index rose 0.63% weekly [14]. - **Global Commodity Market**: The escalation of the geopolitical situation supported the high - level operation of international oil prices. Precious metal prices declined, and the prices of major agricultural products and non - ferrous metals showed mixed trends [16]. 3.2 Domestic Large - scale Asset Performance - **Domestic Stock Market**: From June 16th to June 20th, the geopolitical situation continued to affect equity assets, and most major broad - based A - share indexes declined. The average daily trading volume of the two markets decreased compared with the previous week. In terms of style, large - cap blue - chips were relatively more resilient. Among sectors, banks had the highest gains, while pharmaceuticals and textile and apparel underperformed. The Shanghai Composite Index fell 0.51% weekly [18]. - **Domestic Bond Market**: From June 16th to June 20th, the central bank's open - market operations had a net withdrawal of 799 billion yuan. The capital market remained stable overall. The bond market fluctuated strongly weekly. Generally, government bonds > credit bonds > corporate bonds [21]. - **Domestic Commodity Market**: The domestic commodity market rose overall. Among major commodity sectors, energy had the highest gains, while precious metals underperformed [22]. 3.3 Large - scale Asset Price Outlook - The market will continue to focus on the Middle - East situation in the short term. The price fluctuations of related large - scale assets, especially energy prices, may increase. It is necessary to closely monitor the situation [23].

资产配置与金融工程 证券研究报告 地缘风险下的资产再平衡 ——大类资产周报（20250616-20250622） 分析师：朱定豪 SAC执业资格证书编码: S0020521120002 邮箱：zhudinghao@gyzq.com.cn 2025年6月23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 地缘冲突主导能源走强，但避险资产分化，中东局势升级推升原油（布油+2.09%）、天然气（+10.72%）大涨，霍尔木兹 海峡风险溢价强化能源趋势，黄金逆势跌1.98%，因美元走强及降息预期推迟压制无息资产；A股承压但大盘抗跌，高股息 防御占优；债市走强，流动性改善驱动杠杆策略。商品时序动量强化，截面多空策略受益于能源强/黑色弱格局，集运指数 大跌10.66%，需求证伪压制运价。美国经济意外指数跌至-23.3，美元微涨，人民币抗压（CNH微升），政策护航对冲外部 风险。 二、大类资产配置建议 债市（6）：资金宽松+情绪乐观支撑杠杆和久 ...

Core Insights - The public REITs market in China has rapidly developed, achieving a market capitalization exceeding 200 billion yuan and becoming the largest in Asia with 66 listed products [1][2] - The unique dividend mechanism of public REITs has provided substantial returns to investors, with total dividends approaching 22 billion yuan since 2021 [1][4] - The market is currently in a policy dividend period, with significant regulatory support expected to drive sustainable growth [2][3] Market Development - Since the launch of the first public REITs in June 2021, the total market value has increased from over 30 billion yuan to 206.6 billion yuan by June 2025, nearly doubling year-on-year [2][3] - The expansion of underlying asset categories has progressed from four initial types to include various sectors such as rental housing, energy, and data centers, reflecting a growing diversity in investment opportunities [3][4] Investor Landscape - The investor base for public REITs has diversified, now including institutional investors such as banks, insurance companies, and private equity, alongside individual investors [4] - The introduction of new accounting guidelines has reduced performance pressure on institutional investors, encouraging long-term holding strategies [2][4] Performance Metrics - Public REITs have shown strong performance, with annual dividends increasing from 0.69 billion yuan in 2021 to 8.39 billion yuan in 2024, totaling nearly 22 billion yuan over the four years [4][5] - The market has seen significant price appreciation, with the CSI REITs total return index rising over 16% in 2023, and several products experiencing gains exceeding 50% [5] Future Outlook - The public REITs market is expected to maintain high valuations in the next 1-2 years, driven by ongoing policy support and a mismatch between supply and demand for stable dividend assets [5] - The market is anticipated to continue evolving, with potential for greater investment value as it matures [5]

研究中心宏观团队 2025/06/20 | | 全 球 资 产 市 场 表 现 | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 主要经济体10年期国债收益率 | | | | | | | | | | | 美国 | 英国 | 法国 | 德国 | 意大利 | 西班牙 | 瑞士 | 希腊 | | 2025/06/19 | 4.393 | 4.530 | 3.271 | 2.520 | 3.521 | 3.237 | 0.313 | 3.318 | | 最新变化 | 0.000 | 0.036 | 0.059 | 0.024 | 0.075 | 0.111 | 0.058 | 0.072 | | 一周变化 | 0.032 | 0.054 | 0.090 | 0.045 | 0.117 | 0.161 | 0.079 | 0.108 | | 一月变化 | -0.208 | -0.226 | -0.039 | -0.124 | -0.120 | -0.024 | -0.063 | -0.062 | | 一年变化 | -0.0 ...

Core Viewpoint - The report captures global multi-asset investment opportunities based on market conditions and designs corresponding investment strategies, including equity and bond target allocation, low-volatility fixed income combinations, and global asset allocation strategies [1][2]. Group 1: Investment Strategies - The equity-bond target allocation strategy employs a risk budgeting design to construct a portfolio that achieves the desired allocation level, offering a better long-term risk-return profile compared to fixed allocation strategies [2]. - The low-volatility "fixed income+" strategy combines domestic stocks, bonds, and gold with a target allocation of stocks:gold:bonds = 1:1:4, achieving an annualized return of 6.86% and a volatility of 3.50% over the backtest period from January 1, 2015, to May 30, 2025 [2]. - The global asset allocation strategy I, which includes A-shares, bonds, gold, and US stocks, achieved an annualized return of 11.23% and a volatility of 5.88% over the backtest period from January 2, 2014, to May 30, 2025 [3]. Group 2: Market Outlook and Recommendations - For A-shares, the report suggests maintaining a barbell strategy, focusing on high-quality assets in large caps and trading-type assets in small caps, as risks are gradually released after recent pullbacks [4]. - In the domestic bond market, the report recommends focusing on short-term products while considering medium to long-term interest rate bonds or extending the duration of credit bonds due to ongoing economic pressures [4]. - The report indicates that US stocks may continue to experience wide fluctuations due to uncertainties in economic policies and marginal declines in economic conditions [4]. - Japanese stocks may present short-term investment opportunities due to a positive wage-price spiral and continued foreign capital inflows [4]. - Indian stocks are expected to remain in a volatile pattern due to marginal declines in economic conditions and outflows of foreign capital [4]. - Gold prices are anticipated to experience wide fluctuations due to easing tariff policies and escalating geopolitical conflicts, although the long-term upward trend remains clear [4].