Quantitative Models and Construction Methods 1. Model Name: Six-Cycle Model - **Model Construction Idea**: The model characterizes macroeconomic states based on three dimensions: monetary, credit, and growth. It identifies different economic phases to guide asset allocation strategies[1][7] - **Model Construction Process**: - The model divides the economic cycle into six stages, with stages 4-6 representing credit contraction and stages 1-3 representing credit expansion[1][7] - Historical data shows that during credit contraction, bonds, gold, and value styles perform better, while credit expansion favors stocks, commodities, and growth styles[7][10] - **Model Evaluation**: The model effectively captures macroeconomic trends and provides actionable asset allocation insights[7] 2. Model Name: Credit Pulse Timing Model - **Model Construction Idea**: This model uses the three-month difference of the year-over-year trailing twelve-month (TTM) growth rate of new medium- and long-term loans to identify the direction of the credit cycle[11] - **Model Construction Process**: - The credit pulse indicator is calculated as the three-month difference of the TTM growth rate of new medium- and long-term loans[11] - Historical analysis shows that during credit expansion, A-shares exhibit high return elasticity, while performance is weaker during credit contraction[11] - Timing based on this model yields an annualized excess return of 6.9%, annualized volatility of 15.2%, maximum drawdown of 24.1%, and a Sharpe ratio of 1.03[11] - **Model Evaluation**: The model demonstrates strong timing ability, significantly improving risk-adjusted returns during credit expansion phases[11] 3. Model Name: CDS-Based Timing Model - **Model Construction Idea**: This model uses the level and direction of China’s sovereign CDS (Credit Default Swap) as a proxy for overseas sentiment towards China’s fundamentals, which is negatively correlated with A-share performance[14] - **Model Construction Process**: - The model assigns different A-share allocation weights based on the rolling 4-year z-score of CDS levels and the 20-day difference in CDS direction[14] - Allocation rules: - CDS declining and at low levels: 100% A-share allocation - CDS declining and at high levels: 75% A-share allocation - CDS rising and at low levels: 25% A-share allocation - CDS rising and at high levels: 0% A-share allocation[15] - Backtesting results show an annualized excess return of 6%, annualized volatility of 14.2%, maximum drawdown of 25.7%, and a Sharpe ratio of 1.03 relative to the CSI 800 index[14] - **Model Evaluation**: The model effectively captures overseas sentiment and provides a systematic approach to adjusting A-share exposure[14] 4. Model Name: Six-Cycle FOF Allocation Model - **Model Construction Idea**: This model integrates the six-cycle framework into a risk-budgeting approach to dynamically allocate assets across equities, bonds, and gold[18] - **Model Construction Process**: - The model adjusts asset risk budgets monthly, targeting a volatility level of 3%[18] - Equity allocation is based on the six-cycle phases: - Phase 1: Growth - Phases 2-3: Manufacturing - Phase 4: Cyclical sectors - Phases 5-6: Dividend-paying stocks[18] - Backtesting from 2013 shows an annualized return of 8%, annualized volatility of 2.6%, maximum drawdown of 2.9%, and a Sharpe ratio of 3.04[18][19] - **Model Evaluation**: The model achieves stable returns with low volatility, making it suitable for conservative investors[18][19] --- Backtesting Results of Models 1. Six-Cycle Model - Annualized Return: Not explicitly provided - Annualized Volatility: Not explicitly provided - Maximum Drawdown: Not explicitly provided - Sharpe Ratio: Not explicitly provided 2. Credit Pulse Timing Model - Annualized Return: 6.9% (excess return) - Annualized Volatility: 15.2% - Maximum Drawdown: 24.1% - Sharpe Ratio: 1.03[11] 3. CDS-Based Timing Model - Annualized Return: 6% (excess return) - Annualized Volatility: 14.2% - Maximum Drawdown: 25.7% - Sharpe Ratio: 1.03[14] 4. Six-Cycle FOF Allocation Model - Annualized Return: 8% - Annualized Volatility: 2.6% - Maximum Drawdown: 2.9% - Sharpe Ratio: 3.04[18][19]

Report Industry Investment Rating No information provided regarding the report industry investment rating. Core Viewpoints of the Report - The overall view is that it's not the right time to over - allocate commodities, and patience is needed. The 10 - year Chinese Treasury bond interest rate is expected to be in the range of 1.6 - 1.8%, and Treasury bond futures should be bought on dips. The stock index has a ceiling and a floor [2][3]. - In 2025, the US economy faces "stagflation" or "recession" risks, while China is on a long "re - inflation" path. Based on these economic judgments, there are corresponding trading opportunities and asset - allocation suggestions in the second half of 2025 [8][25][37]. Summary According to the Directory 1. Review of the First Half of 2025 - **Differentiation of Sino - US Commodities**: In the first half of 2025, US commodities first rose and then fell, while Chinese commodities were weak. Overseas, Trump's tariff policy and the trend of rising initial jobless claims and slowing new employment in the US affected commodity prices. The US had obvious inventory - replenishing imports, with imports from January to March reaching $1.2 trillion, a year - on - year increase of 23%, and retail and food service sales from January to March at $2.1 trillion, a year - on - year increase of 4.6%. Domestically, from March to April, the sales of commercial housing weakened, and the domestic demand was still weak. In May, China's PPI was - 3.3% and continued to decline. Exports were supported by the rush - to - export factor, but overall, under the high - interest - rate environment of the Fed, prices were under pressure [5][6]. 2. Outlook for the Second Half of 2025 2.1 The US: Risk of Economic "Soft Landing" to "Recession" - **Risk of "Stagflation" or "Recession"**: The US government's debt support for residents' income and consumption is difficult to sustain. The US government faces the pressure of reducing fiscal deficits (the fiscal deficit/GDP in 2024 - 25 was still as high as 6.8%). In April 2025, the US fiscal expenditure was $591.8 billion, and the 12 - month Rollsum was $7.09 trillion, a year - on - year increase of 11.8%; the fiscal revenue was $850.2 billion, and the 12 - month Rollsum was $5.06 trillion, a year - on - year increase of 7.4%. The annual deficit in April 2025 was $2.03 trillion, accounting for 6.8% of the US GDP in Q1 2025 [8][9]. - **Economic Slowdown**: The real GDP growth rate in the first quarter of 2025 was - 0.2% on a quarter - on - quarter annualized basis, indicating an obvious economic slowdown. It is expected that the real GDP growth rate in 2025 will be between 1.6% - 2.3%, depending on the Fed's interest - rate cut speed and the realization of stable tax - cut policy expectations. Trump's policies have both positive and negative impacts on the US economy [19]. - **High Inflation and Interest - Rate Expectations**: Inflation may remain above the 2% target, forcing the Fed to maintain the policy interest rate above 3.5%. It is expected that by the end of 2025, the US federal funds rate will drop to 3.75%, and the first interest - rate cut in the second half of 2025 is expected to be in October [23]. 2.2 China: A Long "Re - inflation" Road - **Difficulty in PPI Recovery**: In May 2025, China's PPI was - 3.3% year - on - year, and CPI was - 0.1% year - on - year. Under the background of de - globalization and the reconstruction of the Chinese real - estate model, the path for China's PPI to turn positive is long and difficult. The slow recovery of commercial housing sales and M1, as well as the decline in US imports, will lead to a slow recovery of China's PPI [25]. - **Challenges in Inflation Upturn**: China's inflation upturn faces challenges, including the Fed's high - interest - rate policy, the difficulty of the real - estate price recovery, and over - capacity in some industries. To get out of deflation, China can observe three groups of variables: the continuous expansion of base money and stock money, the continuous resilience of external demand exports, and the maintenance of an "active fiscal policy" [25][31][33]. - **Monetary Policy Stance**: Monetary policy will maintain a supportive stance and strengthen the amplitude of reserve - requirement ratio cuts and interest - rate cuts. It is expected that in 2025, China's policy interest rate will be cut by 30 - 40BP in two installments, and the deposit - reserve ratio will be cut by 50 - 100BP in two installments [36]. 3. Allocation Outlook for the Second Half of 2025 - **US Economic Situation and Asset Allocation**: It is expected that in the second half of 2025, the resilience of the US economy will decline, consumption and imports will fall, and private investment will be under pressure. The yield of US Treasury bonds will oscillate at a high level with a risk of decline; the US dollar will oscillate with a risk of further weakening; gold can still be bought on dips, but trading opportunities are not obvious. The 10 - year US Treasury bond yield will oscillate between 3.8% - 4.5% and is expected to decline; the US dollar is expected to oscillate between 95 - 100 and tend to decline [37][38]. - **China's Economic Situation and Asset Allocation**: The active fiscal policy will support the Chinese economy, and the currency will be further loosened. It is expected that inflation will still be under pressure in the second half of 2025. There is still an expectation of a 30 - 40BP interest - rate cut in the monetary - policy end. With the support of liquidity, the A - share market will maintain active trading, and the yield of Treasury bonds will further decline. Before the policy supports the improvement of the fundamentals, commodity prices will still be suppressed by insufficient demand. The CSI 300 index is expected to be between 3400 - 4400 points; the yield of 10 - year Chinese Treasury bonds is expected to be between 1.6 - 1.8%; commodities are expected to oscillate weakly in the second half of 2025, and attention should be paid to the market opportunities in the third quarter of 2025 [37][38][39].

Group 1: Financial Data Overview - The growth rate of social financing (社融) remained stable at 8.7% in May, with new social financing of 2.29 trillion yuan, an increase of 227.1 billion yuan year-on-year[9] - Government bonds, corporate bonds, and foreign currency loans were the main supporting items for social financing, while weak entity credit continued to be the largest drag, indicating a weak internal financing willingness[9] - New corporate short-term loans amounted to 1.1 trillion yuan, a year-on-year increase of 230 billion yuan, while new medium- and long-term loans were 330 billion yuan, a year-on-year decrease of 170 billion yuan[21] Group 2: Household Sector Insights - Household short-term loans decreased by 20.8 billion yuan, a year-on-year decrease of 45.1 billion yuan, while new medium- and long-term loans were 74.6 billion yuan, a year-on-year increase of 23.2 billion yuan[22] - The real estate market showed signs of marginal recovery, with the transaction area of commercial housing in 30 cities decreasing by 3.3% year-on-year, but rebounding by 8.8 percentage points compared to the previous month[22] Group 3: Monetary Supply Trends - M1 growth rate increased by 0.8 percentage points to 2.3%, while M2 growth rate slightly decreased by 0.1 percentage points to 7.9%[35] - The increase in M1 was attributed to a low base effect from last year and a tendency for companies to hold cash rather than invest[35] - The marginal decline in M2 was influenced by a decrease in the attractiveness of deposits relative to wealth management products and an increase in fiscal deposits of 880 billion yuan, a year-on-year increase of 116.7 billion yuan[38] Group 4: Future Outlook and Risks - The outlook for social financing growth is expected to fluctuate within the range of 8.5%-9.0%, with government bonds continuing to act as a stabilizer[44] - Key risks include macroeconomic performance falling short of expectations, slower demand recovery, and potential geopolitical risks[45]

Core Viewpoint - The article discusses the May financial statistics released by the central bank, highlighting the continued weakness in credit demand and the implications for the banking sector and overall economic recovery [3][9]. Group 1: Credit and Loan Statistics - In May, new RMB loans amounted to 620 billion, a year-on-year decrease of 330 billion, with a growth rate of 7.1%, indicating insufficient effective financing demand [3][4]. - Corporate loans accounted for 86% of new loans, with an increase of 530 billion, while short-term and medium-long term loans showed contrasting trends [4]. - The weighted average interest rate for newly issued loans remained at 3.2%, indicating a stabilization in loan pricing despite previous rate cuts [5]. Group 2: Consumer and Retail Loan Trends - Residential loans in May totaled 54 billion, a year-on-year decrease of 217 billion, with both short-term and medium-long term loans reflecting weak consumer demand [6]. - Retail loan data showed some improvement compared to April, but mortgage loans continued to exhibit slight negative growth, indicating ongoing weakness in consumer credit expansion [6]. Group 3: Social Financing and Monetary Supply - New social financing in May reached 2.3 trillion, with a stable growth rate of 8.7%, maintaining the upward trend observed since the beginning of the year [7]. - M2 growth rate was 7.9%, while M1 growth rate was 2.3%, indicating a slight improvement in monetary activity, although private sector consumption and investment remained low [8]. Group 4: Banking Sector Outlook - The banking index has risen by 11.8% year-to-date, outperforming the CSI 300 index, with significant gains following the implementation of supportive financial policies [9]. - The "package" policy measures are expected to benefit the banking sector's operational fundamentals, suggesting that positive stock performance may continue [9].

——2025 年 5 月份金融数据点评 银行业 买入（维持） 2025 年 6 月 15 日 行业研究 信用扩张走向量价平衡 作者 分析师：王一峰 执业证书编号：S0930519050002 010-57378038 wangyf@ebscn.com 分析师：赵晨阳 执业证书编号：S0930524070005 010-57378030 zhaochenyang@ebscn.com 行业与沪深 300 指数对比图 资料来源：Wind 相关研报 如何看待 4 月社融与信贷"大劈叉"？——2025 年 4 月份金融数据点评 贷款投放超预期，关注需求修复持续性——2025 年 3 月份金融数据点评 2 月信用活动的"三组关系"——2025 年 2 月份金 融数据点评 1 月信贷"开门红"超预期——2025 年 1 月份金融 数据点评 社融增速触底回升——2024 年 12 月份金融数据点 评 年末贷款增长拖累因素增多——2024 年 11 月份金 融数据点评 货币增速筑底回升，静待政策"组合拳"显效—— 2024 年 10 月份金融数据点评 政策聚焦"房"与"股"，托举资产价格助力需求 修复——2024 年 9 月份 ...

Core Viewpoints - The economic cycle has been continuously improving since September 2024, with the April data showing a persistent improvement in the deposit scissors difference between enterprises and residents [4][21] - Non-bank institutions have seen the highest deposit growth in the past five years, indicating a potential shift in resident deposits and a response to the central bank's efforts to stabilize the market [4][9] - Loan data reveals a structural shift, with an increase in consumer loans for residents and a decrease in operational loans, while enterprises are seeing a rise in short-term loans but a decline in medium- to long-term loans [4][8] Financial Asset Side Observations - April is typically a month of weak credit expansion, with the new social financing scale at 1.16 trillion, which is relatively stable compared to previous years [6][12] - The structure of resident loans is changing, with consumer loans increasing while operational loans are declining, reflecting a shift in demand and potential impacts on household debt and bank income [7][14] - Enterprise loans have shown a strong performance in 2025, with a total of 9.3 trillion in new loans, although the duration of these loans is shortening compared to previous years [8][18] Financial Liability Side Observations - Leading indicators of the economic cycle are improving, with the enterprise-resident deposit scissors difference recovering from -14.7% in August 2024 to -8.4% currently [9][21] - Non-bank institution deposits have increased significantly, with a total of 2.2 trillion in new deposits in the first four months of 2025, indicating strong performance in the equity market [9][23] - The central bank's protective measures in the financial market are evident, with interventions aimed at stabilizing asset prices during market shocks [10][24] April Financial Data Highlights - In April, RMB loans increased by 280 billion, with a total loan balance of 265.7 trillion, reflecting a year-on-year growth of 7.2% [29][31] - The social financing scale increased by 1.16 trillion, with a year-on-year growth of 8.7%, indicating ongoing government debt issuance [31][32] - M2 growth was recorded at 8%, while new M1 growth was at 1.5%, showing a mixed trend in monetary aggregates [32][33]

Group 1: Financial Asset Observations - In April 2025, new social financing amounted to 1.16 trillion RMB, a decrease from 5.89 trillion RMB in the previous period[1] - The total amount of new RMB loans was 280 billion RMB, down from 3.64 trillion RMB previously[1] - The year-on-year growth of social financing stock was 8.7%, compared to 8.4% in the previous period[1] Group 2: Loan Structure Changes - Since September 2024, there has been a continuous increase in consumer loans while operating loans have been declining[2] - For enterprises, short-term loans are increasing while medium to long-term loans are decreasing[2] - The proportion of medium to long-term loans in enterprise loans has decreased from approximately 76% in 2023 to about 62% in 2025[5] Group 3: Economic Cycle Indicators - The enterprise-resident deposit scissors difference improved from -14.7% in August 2024 to -8.4% currently, indicating a recovery in the economic cycle[6] - Non-bank institutions saw a strong increase in deposits, with a total of 2.2 trillion RMB added in the first four months of 2025, higher than previous years[6] Group 4: Government Leverage and Financing - In April, the net financing of government bonds was 972.9 billion RMB, an increase of 10.67 trillion RMB year-on-year[6] - The total social financing increment was 11.59 trillion RMB, with a year-on-year increase of 12.25 trillion RMB[6] - M2 growth was 8% year-on-year, up from 7% in the previous month[6]

Core Viewpoint - The credit bond ETF from Bosera is experiencing a tight market with active trading and significant liquidity, reflecting a structural contrast in credit expansion and economic policies in China [2][3]. Group 1: Market Performance - As of May 15, 2025, the Bosera credit bond ETF is priced at 100.54 yuan, with a turnover rate of 25.28% and a trading volume of 1.521 billion yuan, indicating active market participation [2]. - The ETF has reached a new high in scale at 6.028 billion yuan and a new high in shares at 59.9751 million, ranking in the top quarter among comparable funds [3]. - Over the past five days, the ETF has seen continuous net inflows, with a maximum single-day inflow of 286 million yuan, totaling 515 million yuan, averaging 103 million yuan daily [3]. Group 2: Financial Metrics - The ETF has recorded a maximum drawdown of 0.89% since inception, with a recovery period of 26 days, indicating resilience in performance [3]. - The management fee is 0.15% and the custody fee is 0.05%, which are the lowest among comparable funds [3]. - The ETF has a historical monthly profit percentage of 66.67% and a 100% probability of profit over a three-month holding period [3]. Group 3: Economic Context - As of April 2025, China's social financing scale increased by 8.7% year-on-year, with M2 balance growing by 8%, indicating a robust monetary environment [2]. - The average interest rate for new corporate loans in April was approximately 3.2%, down by about 4 basis points from the previous month, maintaining a historically low level [2]. - The current economic policies are focused on expanding fiscal measures to stimulate consumption and investment, with potential for further monetary easing [2].

Core Viewpoint - The central viewpoint of the article emphasizes that the combination of loose monetary policy and fiscal efforts is supporting credit expansion, with M2 and social financing growth rates exceeding expectations, despite short-term pressures from local debts and external uncertainties [1][3]. Group 1: Financial Data Overview - As of the end of April, M2 balance reached 325.17 trillion yuan, with a year-on-year growth of 8%, surpassing the market expectation of 7.2% [3]. - M1 balance stood at 109.14 trillion yuan, showing a year-on-year increase of 1.5%, with a slight decline in growth rate compared to the end of March [3]. - In April, the incremental social financing was 1.16 trillion yuan, which is 1.22 trillion yuan more than the previous year [3]. - The cumulative social financing increment for the first four months was 16.34 trillion yuan, an increase of 3.61 trillion yuan year-on-year, with government bond net financing being a major support [3]. Group 2: Loan Structure and Trends - In the first four months, new RMB loans totaled 10.06 trillion yuan, remaining stable compared to the same period last year, with April alone contributing 280 billion yuan [3][10]. - Resident loans increased by 518.4 billion yuan, with medium to long-term loans (like mortgages) rising by 760.1 billion yuan, while short-term loans decreased by 241.6 billion yuan [10]. - Corporate loans increased by 9.27 trillion yuan, accounting for 92% of the total loan increment, with a rising proportion of medium to long-term corporate loans [11]. Group 3: Economic Support and Policy Implications - The financial data from the first four months indicates that the growth rates of social financing, M2, and RMB loans continue to exceed the nominal GDP growth rate, reflecting strong financial support for the real economy [13]. - The central bank's counter-cyclical adjustment policies, such as interest rate cuts and structural tools, have facilitated monetary supply expansion, alongside accelerated government bond issuance [15]. - Government bond net financing for the first four months was 4.85 trillion yuan, contributing significantly to social financing growth [16]. Group 4: Interest Rates and Future Expectations - The average interest rate for newly issued corporate loans in April was 3.2%, while the personal housing loan rate was 3.1%, both at historical lows [22]. - Market expectations suggest that the central bank will continue to maintain a loose environment through interest rate cuts and reserve requirement ratio reductions, with a focus on stabilizing growth and promoting reasonable price recovery [23].