- The report mentions the "TWO BETA" model, which continues to recommend the technology sector, focusing on communication equipment and military industry[3][4][9] - The industry allocation model suggests a mid-term focus on sectors experiencing a turnaround, recommending industries such as new energy[3][4][9] - The timing system signal shows that the distance between the 20-day and 120-day moving averages of the Wind All A Index has narrowed to 3.28%, indicating a market in a volatile state[2][4][11] - The report suggests that if the trading volume falls below 1.1 trillion yuan, the market is expected to rebound[2][4][11] - The current PE ratio of the Wind All A Index is around the 60th percentile, indicating a medium level, while the PB ratio is around the 20th percentile, indicating a relatively low level[3][12] - The position management model recommends maintaining a 50% position for absolute return products based on the Wind All A Index[3][12] Model and Factor Construction - **TWO BETA Model**: This model recommends the technology sector, focusing on communication equipment and military industry. The model's construction details are not provided in the report[3][4][9] - **Industry Allocation Model**: This model suggests a mid-term focus on sectors experiencing a turnaround, recommending industries such as new energy. The model's construction details are not provided in the report[3][4][9] - **Timing System**: The timing system uses the distance between the 20-day and 120-day moving averages of the Wind All A Index to determine market trends. The latest data shows the 20-day moving average at 5253 points and the 120-day moving average at 5086 points, with a distance of 3.28%[2][4][11] Model and Factor Evaluation - **TWO BETA Model**: Continues to recommend the technology sector, focusing on communication equipment and military industry[3][4][9] - **Industry Allocation Model**: Recommends a mid-term focus on sectors experiencing a turnaround, such as new energy[3][4][9] - **Timing System**: Indicates a market in a volatile state, with the distance between the 20-day and 120-day moving averages narrowing to 3.28%[2][4][11] Backtest Results - **Timing System**: The distance between the 20-day and 120-day moving averages of the Wind All A Index is 3.28%, indicating a market in a volatile state[2][4][11] - **Wind All A Index**: The current PE ratio is around the 60th percentile, and the PB ratio is around the 20th percentile[3][12] - **Position Management Model**: Recommends maintaining a 50% position for absolute return products based on the Wind All A Index[3][12]

Group 1 - Recent economic data indicates a resurgence of inflation in the U.S., coupled with concerns over the potential impact of the upcoming "reciprocal tariffs" policy from the Trump administration and signs of weak consumer spending [1] - The US Credit Fear Gauge has risen to its most alarming level since August of last year, reflecting a sharp decline in risk appetite within the financial markets [1] - The Markit CDX North America High Yield Index has continued its downward trend, falling 0.6 points to 105.14, indicating an increase in credit default risk and the worst performance in seven months [1] Group 2 - As risk appetite declines, risk assets such as stocks and cryptocurrencies have seen significant weakness, driven by heightened concerns over the impending "reciprocal tariffs" [2] - Major U.S. stock indices experienced substantial declines, with the Nasdaq Composite Index dropping nearly 3% in a single day, marking a "Black Friday" for the markets [2] - The "Magnificent 7" tech giants collectively fell 2.95% this week, with Nvidia experiencing a weekly decline of 6.82% [2] Group 3 - The core PCE, a key inflation measure favored by the Federal Reserve, showed a month-over-month increase of 0.4%, the largest rise in a year, with a year-over-year increase of 2.8%, both exceeding previous values and economist expectations [3] - Consumer confidence in the U.S. has dropped to a two-year low, exacerbating concerns over sustained pressure on consumer spending amid escalating trade tensions [6] - The expectation of "stagflation" has significantly increased, with the long-term inflation expectations reaching a 32-year high, driven by tariff impacts [6]

Core Viewpoint - The ETF fund flow situation at the beginning of Trump's second term in 2025 is showing similarities to the first term, with significant inflows but a notable decline in investor preference for stocks compared to 2017 [2][5]. Group 1: ETF Fund Flow Trends - As of March 7, 2025, ETF fund inflows have reached $200 billion, marking a record high for the year [2]. - In 2017, the initial fund inflow was $101 billion, indicating a strong start for that year as well [2]. - Despite the overall market asset growth, the preference for stocks has decreased, with only 56% of investors favoring stocks in 2025 compared to 73% in 2017 [2]. Group 2: Performance of Top ETFs - The top 100 ETFs from 2017 are experiencing mixed results in 2025, with only half showing an increase [5]. - The ARK Innovation ETF (ARKK), which rose by 87% in 2017, has seen a decline of 15% in 2025 [5]. Group 3: Investor Risk Appetite - In early 2025, investors displayed a stronger risk appetite, with a record difference in fund flows between high Beta and low Beta ETFs [6]. - The S&P 500 index has experienced 14 days with declines exceeding 1% in the past 100 days, a significant increase compared to the previous year [6]. - In contrast to Trump's first term, where the S&P 500 did not experience any single-day declines over 1%, the current market shows a higher volatility [6].

中信建投固收｜固羽增收 - 信用性价比框架失效了吗 20250320 摘要 Q&A 当前信用债的性价比框架是否失效？ 我们认为当前的信用债性价比框架在某些情况下确实失效。尽管按照之前的性 价比框架，短端信用债已经进入了较好的投资区间，但市场环境和前提条件发 生了变化。自 2022 年起，我们观察到中短票的信用利差（3A 评级、3 年期限） 在 30 到 50BP 之间波动。然而，2024 年的市场调整显示，这一规律并不总是适 用。 • 信用利差受资产荒、流动性及风险偏好影响，2024 年公募基金增持长端信 用债，改变了市场调整模式，3-7 年期债券调整幅度超过短端，需关注资 金面和货币政策。 • 构建信贷性价比框架需满足资产荒、流动性稳定和风险偏好不变三个假设， 否则适用性受限。当前利率债供给增加，传统信用利差配置区间逻辑可能 变化。 • 股市与理财产品存在互动，散户资金流向影响债市，需关注市场分化。广 义基金仓位平衡时应防守，仓位低则需配置，关注资金面和货币政策。 • 2025 年初专项债发行扰动市场，央行紧平衡操作并引导资金中枢偏高运行， 需关注银行态度及其引导方式，而非简单解读为阶段性扰动。 • 当前资 ...

Core Viewpoint - The overall CPI and core CPI in February were lower than expected, indicating a downward trend year-on-year and a weakening trend month-on-month [2][12] Group 1: February CPI Analysis - The CPI year-on-year decreased from 3% to 2.8%, while the core CPI fell from 3.3% to 3.1%, both below market expectations [2][12] - Month-on-month, the CPI increased by 0.2%, below the expected 0.3%, and the previous value of 0.5%; core CPI also rose by 0.2%, against an expectation of 0.3% and a prior value of 0.4% [2][12] - The proportion of CPI items with a year-on-year increase exceeding 2% rose from 40% to 41.4%, while the core CPI items increased from 44% to 48% [12] Group 2: Structural Characteristics of CPI Changes - Food prices saw a decrease in growth from 0.4% to 0.2%, contributing less to CPI growth, with the impact of rising egg prices offset by declines in other food categories [3][14] - Energy prices dropped from 1.1% to 0.2%, significantly reducing their contribution to CPI, with gasoline prices shifting from a 1.8% increase to a 0.9% decrease [3][15] - Core goods prices decreased from 0.3% to 0.2%, with the main improvement attributed to a slowdown in used car price increases [3][15] Group 3: Market Sentiment and Economic Outlook - Concerns about stagflation have eased, leading to a recovery in market risk appetite, as the CPI data alleviated fears of rising inflation [6][19] - The market's response to the CPI report included a slight increase in long-term U.S. Treasury yields and a rise in stock indices, indicating a shift towards expectations of economic stabilization [6][19] - The Federal futures market still anticipates three rate cuts this year, but the probability of a May rate cut has decreased from 41.3% to 31% [6][20] Group 4: CPI Forecast for the Year - The forecast for U.S. CPI remains unchanged, with core CPI expected to be around 3% and overall CPI at approximately 2.5% for the year [9][21] - Quarterly CPI projections are approximately 2.7%, 2.3%, 2.4%, and 2.5%, with core CPI expected to be 3.1%, 3.0%, 3.0%, and 2.9% respectively [9][21]

Core Viewpoint - The article discusses the current macroeconomic environment in China, highlighting the importance of improving microeconomic expectations, innovation capabilities, and credit expansion to support market risk appetite and overall economic growth. Group 1: Microeconomic Conditions - The improvement in microeconomic expectations, particularly among private enterprises, has contributed to a significant increase in market risk appetite, with the Wind All A Index rising by 17.4% as of the end of February [1] - Technological breakthroughs, exemplified by innovations like Deep Seek and Spring Festival robots, have drawn attention to the innovation capabilities of Chinese enterprises [1] - The high opening of credit at the beginning of the year has opened up expectations for broad liquidity and credit expansion [1] Group 2: Economic Growth Conditions - The central economic work conference emphasizes the need to balance quality improvement and total volume expansion, indicating that corporate profitability will become a constraint as total pressure increases in the second and third quarters of 2024 [1] - The article outlines three necessary conditions for achieving nominal growth rates: effective recovery of consumption, stabilization of the construction industry, and reasonable price recovery [2][3] - In 2024, consumption is expected to recover effectively, with retail sales growth projected at only 3.5%, indicating significant potential for improvement [2] Group 3: Global Economic Context - The article notes a global "risk-off" sentiment, with major stock markets experiencing declines, including the S&P 500 and Nasdaq, which fell by 0.98% and 3.47% respectively [4] - The U.S. economy is facing risks of slowdown, with consumer confidence indices falling below expectations and personal consumption expenditures declining by 0.2% in January [5] - The potential for U.S. fiscal contraction is highlighted, with discussions around reducing the deficit from over 6% to 3% [5] Group 4: Liquidity and Investment - Narrow liquidity is expected to enter a phase of temporary easing, with broad liquidity likely to continue expanding due to government and corporate bond issuance [7] - The article mentions that the financing scale of government and corporate bonds in February is expected to approach 2 trillion yuan, significantly increasing year-on-year [7] - The focus on infrastructure projects is expected to accelerate, with the construction industry showing signs of recovery as funding rates turn positive [8] Group 5: Sectoral Insights - The manufacturing sector, particularly equipment manufacturing, is showing leading indicators of recovery, with industries like electrical machinery and automotive returning to pre-holiday highs [9] - The construction industry is experiencing improved conditions, with a notable increase in the recovery rate of construction sites and labor utilization [8] - The article indicates that while industrial raw material prices are generally declining, consumer goods prices are experiencing seasonal slowdowns, with no consistent improvement in inflation signals [10]

中金研究 破解募资寒冬，促进投早投小投创新，需要吸引耐心资本入市。"耐心"与"长线"可能是表象，耐心资本的根本特点在于风险偏好较高。需要重视静态 财富效应与动态财富效应之于耐心资本的含义。静态财富效应是指由于财富积累边际效应递减规律，富裕群体通常风险偏好更高。一方面对于富裕群 体而言，单位财富增加用于满足生活必需品开支的必要性是较低的，因而更有能力去投资高风险活动；另一方面，投资活动的风险是相对的而非绝对 的，拥有更多财富的群体既有能力降低投资活动的感知风险，也有能力改变投资活动的实际风险。因此，有必要重视富裕群体对于耐心资本的重要 性。就美国而言，其通过构建遗产税与捐赠抵免相结合的政策组合，有利于富裕人群资金转化为耐心资本。动态财富效应是指壮大耐心资本的关键在 于实现资本市场的持续繁荣，而不是反过来。从1979年美国谨慎人规则澄清后的资金流入与市场表现来看，放宽准入规则确实在短期内会有助于更多 养老金流入资本市场，但从长期看资金尤其是耐心资本是否会持续流入市场，可能更多取决于市场是否具有动态财富效应。考虑到心理账户与禀赋效 应后，动态财富效应比静态财富效应更重要。对于耐心资本的形成而言，这意味着持续繁荣的股 ...