多资产图景： 证券研究报告 | 2026年01月31日 多资产周报 贵金属大幅回调 贵金属大幅回调。1 月 30 日，金价在短短 30 小时内发生大跳水，单日跌 幅一度扩大至 12%，录得 1983 年以来最大单日跌幅。（1）原因来看， 1 月 30 日贵金属的崩盘，直接导火索是美国总统提名凯文·沃什为下一 任美联储主席。沃什以批评量化宽松著称，主张缩减美联储资产负债表 并维持更高的中性利率。市场此前一直定价持续降息和弱美元，沃什的 提名瞬间逆转了这一逻辑。与此同时，当黄金涨幅过大偏离价值中枢后， 地缘政治的利好已在盘面出尽，反而成为了多头获利了结的借口。（2） 交易层面看，金价跌破关键支撑位后，触发了大量量化模型的止损卖盘。 由于 1 月前两周的涨幅属于典型的加速赶顶，市场净多头头寸过于集中。 一旦方向反转，踩踏效应便不可避免。（3）往后看，短期市场正在消 化沃什时代的美联储可能带来的更高利率环境。美元指数在跌破 96 后 强力回升，这对以美元计价的所有大宗商品构成了系统性压制。经过大 跌后，市场情绪从极致亢奋转为恐慌。散户投资者在白银 ETF 上的大规 模撤离，预示着短期内恐难组织起有效的二次进攻。但中期 ...

Market Overview - The three major U.S. stock indices declined, with the Dow Jones Industrial Average falling below 49,000 points, closing down 179.09 points or 0.36% at 48,892.47 points. The Nasdaq Composite dropped 0.94% to 23,461.82 points, and the S&P 500 fell 0.43% to 6,939.03 points. Despite the decline, all three indices recorded gains in January, with the S&P 500 and Dow up 1.4% and 1.7%, respectively, and the Nasdaq up 1% [3][14]. Inflation and Economic Indicators - The U.S. Producer Price Index (PPI) for December exceeded expectations, with a month-over-month increase of 0.4% and a year-over-year increase of 3.5%, matching the highest level in nearly a year. This indicates persistent inflationary pressures in the U.S. economy [9][22]. Commodity Performance - International oil prices showed slight fluctuations, with WTI crude oil near-month contracts down 0.32% at $65.51 per barrel, and Brent crude down 0.03% at $70.69 per barrel. The precious metals market experienced significant declines, with COMEX gold futures for February delivery dropping 11.37% to $4,713.90 per ounce, marking the largest drop since January 1980. Silver futures fell 31.35% to $78.29 per ounce, the worst performance since March 1980 [4][15]. Individual Stock Performance - Apple Inc. saw a 0.46% increase, driven by strong iPhone demand, with Q1 FY2026 earnings surpassing Wall Street expectations. However, concerns regarding memory supply chain issues remain, with upcoming quarterly reports being critical for short-term stock performance [5][17]. - Tesla Inc. rose 3.32%, while other major tech stocks like Google, Nvidia, Microsoft, Amazon, Oracle, and Meta experienced declines ranging from 0.04% to 2.95% [5][17]. - Verizon Communications Inc. surged over 11% after reporting adjusted earnings and net revenue that exceeded market expectations, along with a $25 billion stock buyback plan [19]. Chinese Market Indices - The Nasdaq China Golden Dragon Index fell 2.36%, with major companies like Alibaba, NetEase, Baidu, and JD.com all declining over 2%, and Pinduoduo down 1.59% [8][20].

Compernolle指出，市场此前一度担心特朗普会选择一位"破坏美联储制度"的人选，因此沃什的提名在 投资者看来仍处于"可接受范围"。但新的担忧在于，沃什可能倾向于以更宽松的货币政策换取短期增 长，却牺牲长期通胀稳定。 沃什曾在2006年至2011年担任美联储理事，并在伯南克领导下美联储启动第二轮量化宽松后不久离任， 因此被视为更倾向于限制美联储资产负债表扩张的人士。近年来，他又公开主张降低利率并缩小美联储 规模，并曾表示特朗普对鲍威尔时期的政策感到不满"可以理解"。 Monetary Policy Analytics经济学家Derek Tang认为，沃什的政策立场未来可能继续演变，其过往观点并 不能完全代表他若出任主席后的行动方向。他强调，美联储主席只是FOMC中的一员，沃什需要说服其 他委员支持其政策主张。 不过，Tang也指出，沃什确实可能推动比市场预期更多的降息，"最终降息次数或许会比当前预测多出 一到两次，全年总降息可能达到四次，取决于经济与通胀走势"。 在美国规模约30万亿美元的国债市场，交易员正重新评估总统特朗普提名的下一任美联储主席人选。 周五，美国债券市场的交易走势显示，投资者对前美联储理 ...

专题：特朗普正式提名沃什出任美联储主席 美国总统唐纳德·特朗普于周五宣布，已选定前美联储理事凯文·沃什，接替将于今年5月卸任的现任主席 杰罗姆·鲍威尔，出任下一任美联储主席。 此次提名敲定了一场持续数月的遴选流程，这一过程近乎一场公开"海选"。期间，沃什、白宫经济顾问 凯文·哈塞特，以及其他热门人选——包括现任美联储理事克里斯托弗·沃勒和华尔街资深人士里克·里德 ——频繁现身电视媒体，展示自身资历，阐述对经济形势及美联储政策的见解。 受此消息影响，美元回吐了早盘部分涨幅，美国国债收益率走高，美股期货则预示华尔街股市开盘将走 弱。 市场评论 "对美元而言，这一提名的影响是中性的；对股市来说亦是如此。他依然倾向于降息，这对风险资产构 成支撑。但另一方面，他主张大幅缩减美联储资产负债表，而此前资产负债表的扩张正是推动资产价格 一路攀升的重要因素。" 伊佩克·奥兹卡德斯卡娅，瑞讯银行高级分析师（瑞士） "凯文·沃什的提名消息公布后，市场普遍弥漫着一股偏鹰派的预期。相较于其他多数候选人，他被认为 立场没那么鸽派，外界预计他会倾向于减少降息次数，这也解释了为何美元在消息公布初期应声走 强。" 彼得·卡迪洛，斯巴达资本证券 ...

Core Viewpoint - The sudden spike in the Secured Overnight Financing Rate (SOFR) by 15 basis points has caused significant concern in the funding market, despite the stability of the Interest on Reserve Balances (IORB) rate and the Federal Reserve's balance sheet size [1][4]. Group 1: Federal Reserve's Balance Sheet and Operations - The Federal Reserve's balance sheet has increased from $4 trillion in spring 2020 to nearly $8.5 trillion, primarily through bond purchases and liquidity injections [3]. - The FIMA Repo facility serves as an emergency liquidity channel for foreign central banks, allowing them to convert long-duration U.S. Treasury securities into overnight reserves quickly [3][6]. Group 2: Interest Rates and Market Signals - The IORB rate acts as a benchmark for banks, influencing their willingness to lend in the repo market; adjustments to this rate can signal tightening or easing of monetary policy [3][8]. - SOFR reflects the actual overnight repo costs in the market; a SOFR exceeding IORB by more than 5 basis points indicates abnormal market stress and potential risk aversion [4][9]. Group 3: Monitoring and Practical Implications - Investors should monitor the total balance sheet size, FIMA balances, IORB rates, and SOFR daily to gauge liquidity conditions [10]. - A significant rise in FIMA balances may indicate cash accumulation by foreign central banks, while a high SOFR could suggest tightening liquidity [12][11]. - Observing ON-RRP transaction volumes can provide insights into overall risk sentiment, with high volumes often signaling a decline in risk appetite [13].

Macro and Strategy Research - The manufacturing PMI for December 2025 is reported at 50.1%, indicating a return to the expansion zone after 8 months, with improvements in both production and demand [2][3] - The production index increased by 1.7 percentage points to 51.7%, attributed to reduced uncertainties from the external trade environment [3] - The new orders index rose by 1.6 percentage points to 50.8%, marking the first return to expansion in the second half of the year [3] - New export orders increased by 1.4 percentage points to 49.0%, showing a significant slowdown in contraction, while the import index continued to contract [3] - The December non-manufacturing business activity index rose by 0.7 percentage points to 50.2%, returning to the expansion zone, driven significantly by the construction sector [4] - The comprehensive PMI output index increased by 1.0 percentage point to 50.7%, reflecting a rebound in both manufacturing and non-manufacturing sectors [4] - The outlook for January 2026 suggests continued expansion in manufacturing due to a stable external trade environment and the gradual implementation of incremental policies [4] U.S. Monetary Series - The Federal Reserve's balance sheet is crucial for understanding changes in dollar liquidity, primarily through "bilateral accounting" methods [6][7] - The Fed's balance sheet has been in an expansion trend since its inception, influenced by economic development and institutional changes [7] - The historical changes in the Fed's balance sheet can be divided into four phases, with the most recent phase (2020-present) seeing accelerated expansion due to the pandemic [7] Financial Engineering Research - Company governance is identified as a critical component of corporate competitiveness, directly affecting resource allocation efficiency, profitability sustainability, and risk management [9] - A well-governed company enhances operational quality and market profitability expectations, leading to a steady increase in stock prices [9][10] - The report outlines six dimensions of corporate governance that impact stock pricing, including shareholder behavior, debt management, and ESG scores [10][11] - Future research will focus on the interaction effects of governance indicators, heterogeneity across different scenarios, and the development of a multidimensional governance evaluation system [11]

Group 1: Federal Reserve Balance Sheet Structure - The Federal Reserve's balance sheet is crucial for understanding changes in dollar liquidity, primarily impacting the financial system through "double-entry bookkeeping" [1] - The balance sheet expansion involves asset purchases to inject liquidity into the financial market or real economy, categorized into regular open market operations, unconventional quantitative easing, and reserve management purchases [1] - The main assets include U.S. Treasury securities and mortgage-backed securities, which reflect the implementation of quantitative easing or tightening policies [12] Group 2: Historical Changes in the Balance Sheet - The Federal Reserve's balance sheet has been in a trend of absolute expansion since its inception, influenced by economic development and institutional changes [2] - The historical changes can be divided into four phases: 1) Gold standard era (1914-1940), 2) Institutional establishment (1941-2007), 3) Breakthrough of norms (2008-2019), and 4) Flexible response (2020-present) [2] - The COVID-19 pandemic accelerated the expansion of the balance sheet, with asset purchases aimed at maintaining market liquidity and supporting macroeconomic recovery [2] Group 3: Asset Allocation Implications - Statistical analysis post-2008 shows that balance sheet reduction has a more significant and certain impact on U.S. Treasury yields compared to expansion [3] - The effect of balance sheet expansion on Treasury yields is most pronounced within 30 trading days post-announcement, gradually diminishing thereafter [3] - Both expansion and reduction of the balance sheet have ambiguous effects on U.S. stock market movements, necessitating consideration of the macroeconomic fundamentals [3]

Group 1 - Michael Burry, known for predicting the 2008 financial crisis, has issued a serious warning about the U.S. stock market, highlighting that household stock wealth has recently surpassed real estate wealth, a phenomenon last seen in the late 1960s and late 1990s, which preceded prolonged bear markets [1] - Burry criticized the Federal Reserve's recent decision to halt the reduction of its balance sheet and prepare to purchase approximately $35 billion to $45 billion in government bonds monthly, suggesting that this indicates a fragile banking system reliant on the Fed's support [4] - Burry's commentary includes skepticism towards major tech companies, expressing bearish views on Tesla, Nvidia, Palantir, and OpenAI, and suggesting that OpenAI is destined to fail despite significant funding [7] Group 2 - Burry's warnings have sparked mixed reactions online, with some agreeing that a bear market is imminent, while others question the validity of his analysis, citing the popularity of index investing and the simplicity of the metrics used [4] - The dynamics of the Federal Reserve's actions, according to Burry, may lead to the complete nationalization of the U.S. bond market, with the Fed potentially owning all $40 trillion of U.S. debt, which he views as a sign of weakness rather than strength [4] - Burry has recently launched a paid newsletter titled "Cassandra Unchained," promising more direct and unfiltered analysis, following the closure of his hedge fund [7]

Group 1 - Michael Burry, known as the "Big Short," warns that U.S. households' stock wealth has surpassed real estate wealth, a phenomenon last seen in the late 1960s and late 1990s, which preceded prolonged bear markets [2] - Burry's warning has sparked mixed reactions, with some agreeing on the likelihood of a bear market in the next 5 to 10 years, while others question the validity of the data and the simplicity of the indicators used [3] - Burry highlights the Federal Reserve's plan to purchase approximately $35 billion to $45 billion in government bonds monthly, indicating a fragile banking system that relies on significant Fed support [3] Group 2 - Burry criticizes the Fed's tendency to expand its balance sheet after each crisis to prevent banking system liquidity issues, suggesting this could lead to the nationalization of the entire U.S. bond market [4] - He has expressed skepticism towards major tech companies, including Tesla and Nvidia, labeling their valuations as excessive and challenging their business models [4] - Burry has recently closed his hedge fund and launched a paid newsletter titled "Cassandra Unchained," promising more direct and unfiltered analysis [4]

Core Viewpoint - Federal Reserve Governor Christopher Waller suggests that if he were the Fed Chair, he would have halted quantitative easing (QE) earlier, indicating that the current state of the Fed's balance sheet is quite ideal [1] Group 1: Federal Reserve's Balance Sheet - Waller believes that the Fed's balance sheet will not remain static, as natural reserve demand will drive its expansion, with potential growth occurring within a month or a few months [1] - He anticipates no significant changes in fiscal stimulus measures next year [1] Group 2: Market Interest Rates - Waller notes that market interest rates are gradually rising, indicating that the Fed is nearing a state of reserve scarcity, while the neutral level of interest rates remains unclear [1] - The Fed cannot simply refrain from cutting rates due to inflation being above target for five consecutive years; more substantial justification is required [1] - If the job market shows signs of recovery, the necessity for "insurance rate cuts" will diminish [1]