| 1.前言 | 2 | | --- | --- | | 2.美国经济的基本情况展示 | 2 | | 3.美国重要宏观经济指标预测 | 5 | | 4.大类资产配置时钟信号 | 6 | | 5.其他跟踪指标 | 6 | | 6.总结 | 7 | | 图 | 1：美国重要宏观经济指标 | 2 | | --- | --- | --- | | 图 | 2：美大中小企业增长态势 | 2 | | 图 | 3：美国通胀率背板 | 3 | | 图 | 4：美国失业率背板 | 3 | | 图 | 5：美国联邦基金利率背板 | 3 | | 图 | 6：美国马歇尔 K 超额流动性度量 | 4 | | 图 | 7：主要利差走势 | 4 | | 图 | 8：美联储扩表行为 | 4 | | 图 | 9：美国实际利率跟踪 | 5 | | 图 | 10：美国 OECD 预测模型 | 5 | | 图 | 11：美国 CPI 预测模型 | 6 | | 图 | 12：大类资产配置时钟状态 | 6 | | 图 | 13：恐慌指数 VIX 涨跌幅 | 7 | 宏观研究 1.前言 本报告的目的在于，对美国经济情况进行跟踪从而更好的把握海外市场的基本面 ...

Group 1 - The report highlights a marginal improvement in domestic liquidity, while overseas fundamentals are expected to rebound from low levels, indicating a mixed outlook for major asset classes [4][24][37] - Commodity prices have generally declined due to weak global demand, with only gold experiencing a slight increase of 0.55% driven by risk aversion stemming from fluctuating U.S. tariff policies [4][9] - The A-share market is under pressure with a notable rotation of hot sectors, while developed markets, particularly the U.S., are performing strongly, nearing new highs due to resilient macro data and strong earnings from companies like NVIDIA [4][9][37] Group 2 - The report recommends increasing exposure to U.S. equities, particularly in the technology and consumer sectors, due to better-than-expected economic growth [5] - It suggests a neutral stance on gold, as growth differentiation supports it, but short-term pressures from declining risk aversion are noted [5] - A cautious outlook is advised for A-shares, as profit expectations remain weak and liquidity improvements may not offset growth and inflation pressures [5][50] Group 3 - The macroeconomic perspective indicates that China's Business Condition Index (BCI) remains above the threshold but shows signs of slowing expansion, with profit expectations deteriorating significantly [24][32] - The liquidity index has shown a continuous improvement, driven by policy signals, although the efficiency of transmission to the real economy remains weak [28] - Inflationary pressures are highlighted, with PPI expectations hitting new lows and CPI showing consecutive months of negative growth, indicating weak consumer demand [32][36]

Core Viewpoint - The article presents a comprehensive analysis of major asset classes from both macroeconomic and technical perspectives, indicating a generally favorable outlook for equities, bonds, industrial products, and gold, while highlighting specific trends and valuation metrics for each asset class [1][3][19]. Macroeconomic Perspective - The macroeconomic indicators suggest a positive outlook for equities, bonds, industrial products, and gold, with specific indicators showing varying degrees of influence on asset performance [5][19]. - The analysis employs T-tests to assess the impact of macroeconomic trends on asset returns, indicating significant differences in average returns under different macro conditions [3][4]. Technical Perspective - The technical analysis indicates that as of May 31, 2025, bond and gold prices are trending upwards, while equity and industrial product prices are trending downwards [9][10]. - Different methods are used to calculate trend indicators for various asset classes, with historical performance data guiding the selection of the most effective methods [7]. Valuation Metrics - The current equity risk premium (ERP) is at 82.51%, indicating that equity valuations are relatively low compared to historical averages [12][13]. - The analysis of funding flow metrics shows that the equity market is experiencing a net outflow of 1.3 billion yuan, suggesting a cautious sentiment among investors [15][16]. Asset Allocation Performance Tracking - Historical performance data indicates that the fixed ratio combined with macro and technical indicators yielded a return of 0.09% in May 2025, with an annualized return of 11.82% since April 2006 [2][20]. - The performance of various asset allocation strategies is tracked, showing that combinations of macro and technical indicators can enhance returns while managing risk [24][25].

大类资产配置·年中展望 - 寻找新灯塔 20250602 摘要 A 股市场正经历从早期经济修复红利到科技变迁的第二阶段演进，未来 一段时间内，将以市值较高的大盘股为基础，并围绕短期科技主题增厚 收益，同时关注大众品消费和成长性消费板块。 美元指数近期在 98 到 100 之间波动，走弱预期增强，但程度可能有限。 美国单边主义和贸易摩擦使得美元信用受损，各国央行增配黄金以减少 美元权重，长期来看美元偏弱但下修幅度有限。 美债利率长期将维持高位，25 年期国债中标利率突破 5%表明需求疲软， 债务问题加剧美元信用贬值。若 10 年期美债收益率突破 4.7%，可能引 发更大抛售，长端利率易涨难跌。 日本债券利率上升通过货币互换协议影响全球金融市场，若日债收益率 持续攀升，将影响美债需求。当前 10 年期日债与美债利差较小，一年 期日元外汇掉期显示市场预期日元升值，可能减少美债套息交易。 亚洲市场货币近期升值，与亚洲寿险业投资行为和美元资产期限错配风 险有关。若美元主导地位减弱，亚洲资本回流可能导致利率波动和资产 扰动，亚洲经济体经常账户余额对资本市场影响重大。 美债市场目前面临哪些挑战？ 美债经过前段时间利率大幅上 ...

中信证券首席经济学家明明分析称，目前，全球经济正经历深层次重构。美国当下面临财政赤字高企等 结构性矛盾，美联储在通胀与经济走弱的压力共同交织下降息或较为犹豫。反观国内市场，则呈现出波 动中复苏的特点，社零消费、基建和制造业投资均存亮点，出口具备一定韧性。下半年降准降息仍有空 间，全年经济有望实现5%的增长。 "接下来关税扰动仍是影响经济运行的主线。"中信证券宏观与政策首席分析师杨帆认为，不确定性可能 贯穿2025年全年的经济运行，关税影响下部分工业品可能面临降价压力或需求冲击，预计低物价趋势仍 将延续。 基于这样的情况，明明认为，在大类资产配置方面，股债性价比指标显示A股的估值水平依旧占优；国 债收益率仍有下行空间，收益率曲线预计"先陡后平"；在扰动和支撑因素相对均衡的情况下，下半年人 民币汇率或呈现震荡偏强走势。 下半年降准降息仍有空间 "资本市场生态持续优化，中国资产吸引力提升。"在5月28日的中信证券2025年资本市场论坛上，该公 司总经理邹迎光说，在全球资本市场动荡不断的背景下，中国资本市场展现出独特韧性，资本市场信心 得到进一步稳固，一个投融资更加协调、投资者保护更加到位的市场生态也正在逐步形成。 ...

Core Viewpoint - 华夏基金 announced an adjustment to the performance benchmark of its 华夏聚恒优选三个月 (FOF) fund, reflecting a trend in the industry where fund performance benchmarks are being modified, although such changes are relatively rare for FOF funds [1][3]. Group 1: Benchmark Adjustment Details - The previous benchmark was "中证800指数收益率×45%+中证港股通综合指数收益率×5%+中债综合指数收益率×50%", which will be changed to "中证偏股型基金指数收益率×12.5%+经汇率调整后的标准普尔500指数收益率×12.5%+上海期货交易所有色金属期货价格指数收益率×3%+大连商品交易所豆粕期货价格指数收益率×3.5%+上海黄金交易所Au99.99现货实盘合约收益率×3.5%+中证纯债债券型基金指数收益率×65%" [2]. - The new benchmark includes six indices instead of three, providing a more balanced and diversified reference compared to the previous structure [2]. Group 2: Industry Context and Trends - The domestic public FOF sector has seen rapid growth since its inception in September 2017, with the number of funds reaching 512 and total assets growing to 1510.79 billion yuan, an increase of 179.29 billion yuan compared to the end of 2024 [3]. - Many FOF funds have previously had simple performance benchmarks, often limited to major stock and bond indices, which may not fully reflect the diversified asset allocation strategies employed by fund managers [3][4]. - Over 100 public fund products have changed their performance benchmarks this year, with multi-asset combination products being the primary focus of these changes [3]. Group 3: Market Evolution and Regulatory Changes - The evolution of the benchmark system is driven by the expansion of the securities market and innovation in financial instruments, with the number of listed companies in A-shares surpassing 5,000 [4][5]. - New regulations emphasize the importance of benchmark transparency and investor protection, requiring institutions to clarify that benchmarks reflect allocation frameworks rather than income commitments [5].

Group 1 - The company maintains a tactical underweight view on Japanese stocks due to a slowing economic recovery and high inflation risks, leading to lower risk-return ratios in the equity market [1] - The company holds a tactical overweight view on government bonds, citing a stable economic recovery and favorable interest rate conditions, with mid to short-duration bonds offering higher allocation value compared to long-duration bonds [1] - The company adopts a tactical neutral view on gold, recognizing its role as a hedge against geopolitical risks and economic downturns, while noting potential price volatility due to uncertainties surrounding trade policies [2] Group 2 - The domestic active asset allocation portfolio achieved a return of 0.11%, outperforming the benchmark index by 0.10%, with a cumulative excess return of 3.72% as of May 25, 2025 [3] - The global active asset allocation portfolio recorded a return of 0.03%, matching the benchmark index, with a cumulative excess return of 3.11% as of May 25, 2025 [3]

Core Viewpoint - The public REITs market has shown significant growth in 2023, with many funds achieving high returns, attracting institutional investors and expanding their market presence [1][6][9]. Group 1: Performance of REITs - As of May 23, 2023, the returns for 华夏大悦城商业REIT and 华安百联消费REIT are approximately 49.21% and 48.90% respectively, with both funds experiencing price increases exceeding 50% compared to their issuance prices [3][4]. - A total of 54 out of 58 listed REITs have generated positive returns this year, with 19 REITs yielding returns between 20% and 40%, and 40 REITs exceeding 10% [6][5]. Group 2: Market Expansion and Institutional Interest - The public REITs market is expanding, with 8 new REITs launched this year and several new projects and expansions in the pipeline [10][9]. - Institutional investors, including insurance companies and brokerages, are increasingly participating in the REITs market, with institutions holding 83% of the total shares in 富国首创水务REIT [9].

Core Viewpoints - The recent LPR reduction and deposit rate cuts are part of a broader monetary easing policy, with limited impact on bank interest margins expected in the short term [3][21][22] - The small-cap stocks are likely to continue outperforming due to a lack of systemic risk in the capital market and improving risk appetite [6][25] - The aerospace sector is expected to benefit from increased military spending and China's growing share in the global arms trade [13] Interest Rate and Monetary Policy - The LPR was lowered for the first time this year, with the 1-year rate dropping to 3% and the 5-year rate to 3.5%, both down by 10 basis points [3] - Major banks have also reduced deposit rates, with cuts ranging from 5 to 25 basis points, indicating a shift in the monetary policy landscape [3][21] - The impact of these rate cuts on bank net interest margins is expected to be limited, as the trend of deposit rates falling faster than loan rates continues [3][21] Equity Market Insights - Citic Securities highlights that uncertainty surrounding Trump’s policies remains a key factor in asset allocation, with a focus on potential shifts towards domestic policies [5] - The Hong Kong stock market is currently lacking catalysts for upward movement, with external uncertainties and insufficient internal momentum [7] - The small-cap stock trend is expected to persist, supported by a favorable liquidity environment and ongoing economic transformation [6] Industry Research - The aerospace and defense sector is poised for growth due to rising global military expenditures and China's technological advancements in military equipment [13] - The U.S. nuclear energy sector has seen a surge following policy changes, which may influence the domestic nuclear power industry positively [14] - A balanced investment approach is recommended, with optimism for AI and high-end manufacturing sectors amid ongoing uncertainties in U.S.-China trade relations [15] Macro and Fixed Income - The recent deposit rate cuts are not expected to significantly disrupt the funding landscape before 2024, with limited effects on market liquidity anticipated [21] - Short-term interest rate bonds are seen as having strong investment value due to the downward pressure on rates from deposit rate cuts [22] - Gold is viewed as a strategic asset in light of ongoing uncertainties in U.S. policies and potential dollar weakness, suggesting a diversified approach to asset allocation [23]

Core Viewpoint - Public REITs have achieved record high returns this year, with significant interest from institutional investors and a growing number of new listings and projects [1][4][6]. Group 1: Performance Highlights - As of May 23, 2023, both Huaxia Dayuecheng Commercial REIT and Huaxia BaiLian Consumption REIT have returns close to 50%, specifically 49.21% and 48.90% respectively [2][4]. - A total of 54 out of 58 listed REITs have generated positive returns this year, with 19 REITs yielding between 20% and 40%, and 40 REITs exceeding 10% [4][5]. Group 2: Regulatory Actions - Due to the significant price increase, both Huaxia Dayuecheng Commercial REIT and Huaxia BaiLian Consumption REIT experienced a trading suspension for one hour after their prices deviated from the benchmark price by 50% [2][3]. Group 3: Institutional Interest - The investment value of public REITs has attracted various institutional investors, including insurance companies, brokerages, and wealth management subsidiaries, leading to a diverse ownership structure [6][7]. - For instance, institutional investors hold 83% of the total shares in the FuGuo ChuangShang Water REIT, indicating strong institutional confidence in the asset class [6]. Group 4: Market Expansion - This year, eight new REITs have been listed, including ZhongHang YiShang Warehousing Logistics REIT and HuaXia JinYu Intelligent Manufacturing REIT, with several new projects and expansions in the pipeline [7].