晨 会 纪 要 [2025]第 232 号 主 题：对近期重要经济金融新闻、行业事件、公司公告等进行点评 时 间：2025 年 12 月 18 日 8:50-9:30 研究所今日晨会要点如下: 一、金融工程 1、基于风险角度的大类资产配置策略（邢维洁） 从风险角度进行大类资产配置 以风险管理为基石的现代资产配置哲学，与传统以预期收益为核心的方法不同，风险配 置的起点是量化投资者的风险承受能力，并以此设定明确的风险预算。其核心操作并非简单 地分配资金，而是追求各类资产对投资组合的风险贡献符合预设目标，从而实现真正的风险 分散。这种方法的优势在于能显著改善下行保护，提供更平滑的投资体验，并构建一个对各 种经济环境都具有韧性的反脆弱系统，最终帮助投资者在长期内获得更优的风险调整后收益。 基于风险平价模型的配置策略 作为风险配置理念的典范，风险平价模型被置于研究的中心。该模型通过数学优化，使 不同波动特性的资产对组合总风险产生相等的贡献，从而避免了传统股债组合中风险被股票 资产主导的弊端。回测结果显示，风险平价模型在观测期内实现了 6.1% 的年化收益率，并 将最大回撤控制在 3.4%，夏普比率达到 3.62，展现了 ...

在连续多日上涨后，金银走势再次出现分化，银价突发剧烈调整。展望明年，机构显然更加看好黄金，高盛甚 至喊出4900美元/盎司。 黄金逼近前高 当地时间12月12日，海外贵金属市场呈现冲高回落，黄金守住涨势、逼近前高，银价收盘大跌。伦敦金当日上 涨0.47%报4299.29美元/盎司，伦敦银则下跌2.5%、收报61.92美元/盎司。前者年初至今涨幅已达63.83%，后者 今年涨幅高达114.35%。 今年以来，贵金属在大类资产中表现格外抢眼。其中，金价年内大涨60%，银价更是翻倍有余。 相对白银，机构显然更加看好黄金。高盛认为，如果家庭或机构能够切实增加黄金持有量以作为风险分散手 段，尤其是在全球宏观经济形势充满不确定性的情况下，包括对财政前景的担忧时，那么这些资金流入可能 会"大幅推高"小规模黄金市场的价格。该行预测，到2026年底，黄金价格将达到4900美元/盎司，但同时表 示，如果私营不满的购买量超出近年来一直主导需求的央行范围，那么这一预测还将存在"显著的上涨风险"。 世界黄金协会出，2025年黄金表现卓越，全年创下逾50次历史新高，累计涨幅超60%。这一强劲表现得益于多 重因素的共同推动，包括地缘政治与 ...

今年以来，贵金属在大类资产中表现格外抢眼。其中，金价年内大涨60%，银价更是翻倍有余。 在连续多日上涨后，金银走势再次出现分化，银价突发剧烈调整。展望明年，机构显然更加看好黄金，高盛甚至喊出4900美 元/盎司。 相对白银，机构显然更加看好黄金。高盛认为，如果家庭或机构能够切实增加黄金持有量以作为风险分散手段，尤其是在全 球宏观经济形势充满不确定性的情况下，包括对财政前景的担忧时，那么这些资金流入可能会"大幅推高"小规模黄金市场的 价格。该行预测，到2026年底，黄金价格将达到4900美元/盎司，但同时表示，如果私营不满的购买量超出近年来一直主导需 求的央行范围，那么这一预测还将存在"显著的上涨风险"。 世界黄金协会出，2025年黄金表现卓越，全年创下逾50次历史新高，累计涨幅超60%。这一强劲表现得益于多重因素的共同推 动，包括地缘政治与经济不确定性加剧、美元走弱以及持续上涨的金价势能。投资者与各经济体央行纷纷增持黄金，以寻求 资产的多元与稳定。 黄金逼近前高 当地时间12月12日，海外贵金属市场呈现冲高回落，黄金守住涨势、逼近前高，银价收盘大跌。伦敦金当日上涨0.47%报 4299.29美元/盎司，伦敦银 ...

美国这艘巨轮，真的有救吗？最近彭博的一篇文章把话说得明白，意思是即便美联储又降一次息，也未 必能把美国经济从泥潭里拉起来，而中国央行在这个时候第十三次买金，像是在对未来下注，这事儿值 得我们好好看一看。 从美债收益率曲线的扭曲，到各国央行买金的连绵，这看起来像避险，但本质上是去中心化的布局，黄 金不指向某国货币，它指向的是数千年的集体记忆——最纯粹的财富载体，这种记忆，比短期利率预期 更沉重，也更难撼动。 市场用卖美债来"教育"美联储，推高收益率，这不是偶然，这是信任投票，大家在投票，投给了怀疑， 投给了不确定；华尔街不再像以前那样信任白宫和美联储能够稳住通胀，这种怀疑，一旦形成，连降息 这张老牌王牌也可能变成安全牌失灵的证明。 就在这时，中国央行在十一月再度增持黄金，这是第十三次增持，金库里已经有7412万盎司，实打实多 了3万盎司，这动作有它的逻辑，不是儿戏；央行买金，往往意味着在减持另一样东西——美债，别把 这当成小动作，这是对美元体系信任逐步折价的信号。 为什么要买黄金？因为黄金是非信用资产，不依赖任何国家的承诺，它的价值不需要别人的签字，它是 最原始也最老练的"压舱石"，在全球信用体系出现裂缝时，各 ...

·星展银行预计，新加坡2026年平均核心通胀率为1.0%，整体通胀率为1.2%，虽从2025年周期性低点回 升，但仍处于温和可控区间。2025年新加坡通胀已显著降温，主因进口及国内成本增长持续疲软。展望 2026年，尽管全球价格下行势头减弱，但企业向消费者转嫁成本的能力有限，通胀失控风险较低。 ·华侨银行策略师表示，日本央行行长植田和男12月1日的讲话释放明确信号，似为12月或1月加息做铺 垫，市场加息预期显著升温。即便日本央行在12月加息，其后续是否再度长期按兵不动仍是关键问题。 日元要实现持续性复苏，还需更强政策指引、财政审慎姿态及美元整体走弱配合。 ·三菱日联金融集团（MUFG）分析师指出，尽管印度央行可能加大外汇市场干预力度以支撑卢比，但 受经常账户赤字扩大和外资疲软影响，卢比仍将承压。随着进口攀升与资本外流持续，美元兑印度卢比 将在2026年升破90，并在同年第三季度触及90.80，创历史新低。受强劲GDP数据、财政整顿放缓及资 本外流影响，市场对印度央行近期降息的预期减弱。 ·野村证券指出，泰国南部宋卡府和洛坤府严重洪灾将主要加剧增长担忧，而非推升通胀。两地GDP合 计占全国2.6%，灾情恐重创本 ...

香港大埔宏福苑大火，牵动了无数人的心。11月30日，北京商报记者了解到，当前，保险公司正在多渠道联系客户，全速推进理赔工作。同时，多家机构通 过捐款、组织义工队伍参与救援、启动应急预案等多种方式支持救灾。据了解，香港大埔火灾涉事小区曾投保房屋保险，含大厦财产险、公众责任险、现金 保险和个人意外险。大厦及公共地方财产保险保额为20亿港元。 这场五级大火，也向保险行业抛出了一连串关乎核心机制的深层叩问：20亿港元保额的大厦财产险，叠加公众责任险、家居保险等多重险种保障，如果出现 巨额赔付，承保机构的风险承载体系能否从容应对？保险公司背后的再保险"安全网"究竟由谁搭建、如何运作？ 至少三家机构提供再保保障 太平香港此前也公开表示，事故后已启动应急机制，将依保险合约秉持"能赔快赔、应赔尽赔、合理预赔"原则，做好理赔与客户服务，助力受影响居民渡过 难关。 那么，如果此次事故触发了数十亿元的赔付，是否会导致保险公司"赔穿"？ 一般而言，保险公司会通过再保险制度进行风险分散。再保险亦称"分保"，是保险人在原保险合同的基础上，通过签订分保合同，将其所承保的部分风险和 责任向其他保险人进行保险的行为。香港保监局发布的《再保险指 ...

Core Viewpoint - The future of China's assets is positioned as a crucial component for global investors to diversify risks and enhance returns, supported by a well-established financial market system [1] Financial Market Development - China has developed a comprehensive and deep financial market system, with both bond and stock markets ranking second globally in terms of scale [1] - The stability of the Renminbi and the diversity of asset types contribute to global investors' ability to achieve diversified asset allocation and risk dispersion [1] Financial Opening and Stability - China's financial opening emphasizes institutional openness, including rules, regulations, management, and standards, which enhances market stability [1] - The stable value of the Renminbi and low volatility in exchange rates are long-term favorable factors for international investors allocating Renminbi-denominated assets [1] Economic Resilience and Asset Quality - The resilience of the Chinese economy and the presence of high-quality assets provide value for risk diversification and stable returns [1]

Core Viewpoint - Recent media claims suggest that China has "stopped selling US Treasury bonds," implying a significant victory in the financial arena, but this assertion is misleading as China continues to reduce its holdings of US debt [1][15]. Summary by Sections China's Holdings of US Treasury Bonds - As of February 18, 2025, China's holdings of US Treasury bonds have decreased to $759 billion, the lowest level since 2009 [2]. - From a peak of approximately $1.3 trillion in 2011, China has reduced its holdings by about $550 billion, a decline of over 40% [2]. - In 2024 alone, China sold off $57.3 billion in US Treasury bonds, with nine months of the year showing a reduction in holdings [4]. Reasons for Reducing Holdings - The reduction in US Treasury bonds is driven by several practical considerations: - Risk diversification is a key factor, as China seeks to allocate its foreign reserves of over $3 trillion across various assets, including European bonds and gold [5]. - Concerns over the weaponization of the dollar, particularly in light of US sanctions on Russia, have prompted a reevaluation of reliance on the dollar [5]. - The need to stabilize the yuan's exchange rate during periods of depreciation pressure has also influenced the decision to sell US bonds [5]. US Federal Reserve's Response - The characterization of the Federal Reserve's actions as "forced concessions" is exaggerated; the Fed is adjusting its monetary policy based on economic data [5][10]. - The Fed has been lowering interest rates, with the federal funds rate dropping from a high of 4.25-4.50% at the beginning of 2024 to a range of 4.00-4.25% [5]. - Internal disagreements within the Fed regarding the pace of rate cuts reflect a normal decision-making process rather than external pressures [7]. Market Dynamics - As of the end of 2024, the total US national debt exceeded $36 trillion, with foreign investors holding approximately 25.4% of this debt [8]. - Japan remains the largest foreign holder of US Treasury bonds, followed by the UK, which has surpassed China [8]. - The stability of the US Treasury market is primarily supported by domestic demand, indicating that foreign selling has a limited impact on overall market stability [8]. Implications for the Future - The US government's increasing financing needs, with net interest payments projected to exceed $1 trillion in the 2025 fiscal year, highlight the importance of attracting buyers for new debt issuances [9]. - While foreign investor reductions may exert some pressure on the US, the adjustments in the market are part of a normal regulatory process rather than a crisis [10]. - For China, reducing US Treasury holdings while increasing gold reserves enhances the safety and yield of its foreign reserves, contributing to the stability of the yuan [11]. - The global financial landscape is gradually diversifying, with a shift away from the dollar's dominance, although this change will be gradual [14].

Core Insights - Multi-asset strategy products have gained popularity in recent years, with 1,400 products registered from January to October 2025, second only to stock strategy products [2] - The average annual return for multi-asset strategies is 20.37%, with a Sharpe ratio of 1.65, indicating stable performance compared to other strategies [3][4] Performance Overview - The average returns and performance metrics for various private equity strategies are as follows: - Stock Strategy: 29.54% return, 93.14% positive return ratio, Sharpe ratio of 1.56, volatility of 35.96%, and drawdown of 11.20% [3] - Multi-Asset Strategy: 20.37% return, 91.73% positive return ratio, Sharpe ratio of 1.65, volatility of 25.84%, and drawdown of 7.41% [3] - Composite Fund: 18.98% return, 96.34% positive return ratio, Sharpe ratio of 1.89, volatility of 15.61%, and drawdown of 6.62% [3] - Futures and Derivatives Strategy: 13.79% return, 82.49% positive return ratio, Sharpe ratio of 1.11, volatility of 48.73%, and drawdown of 8.06% [3] - Bond Strategy: 8.46% return, 92.10% positive return ratio, Sharpe ratio of 1.93, volatility of 11.76%, and drawdown of 3.21% [3] Reasons for Increased Attention - Single asset strategies face limitations in risk resistance, prompting managers to seek new alpha across asset classes [4] - In a low-interest-rate environment and under new asset management regulations, high-net-worth clients and managers need to balance net value fluctuations with absolute returns, which multi-asset strategies can provide [4] - The proliferation of tools such as risk parity, machine learning factors, and cross-asset real-time risk control platforms has enabled managers to effectively expand and reconstruct their research and investment systems [4] Sub-Strategy Performance - Among sub-strategies, macro strategies exhibit the highest average returns, positive return ratios, and Sharpe ratios [5][6] - Arbitrage strategies show lower volatility and drawdown compared to macro and composite strategies, indicating more stable performance [5]

Core Viewpoint - The private equity industry in China is witnessing a shift from single strategy approaches, such as CTA, to multi-strategy frameworks due to declining returns and limited capacity in single strategies [2][3][10] Group 1: Industry Trends - Many CTA private equity firms have significantly reduced in size, with one firm shrinking from over 10 billion to less than 500 million [1][3] - The emergence of multi-strategy products is becoming mainstream, with the number of multi-asset strategy private equity products reaching 122 in October, accounting for 12.27% of total registrations [1][10] - The limitations of single strategies are increasingly evident, as the capacity of the futures market is much lower than that of the stock market, leading to a decline in the number of successful CTA firms [3][11] Group 2: Transition Challenges - Transitioning to a multi-strategy approach requires a complete overhaul of investment research frameworks, trading systems, and risk control standards [1][8] - The fundamental differences between CTA and quantitative stock strategies pose significant challenges, necessitating the development of new systems and methodologies [8][10] - Companies are investing in technology to support independent research and risk management for various strategies, ensuring effective collaboration between different asset classes [8][10] Group 3: Strategic Implementation - Different firms are adopting varied methods for implementing multi-strategy approaches, such as using quantitative methods to balance risk across asset classes [5][6] - Firms like Qianxiang Asset are combining CTA with quantitative stock strategies to enhance overall investment efficiency and reduce volatility [4][5] - The focus on creating a comprehensive investment and risk management system is crucial for the successful execution of multi-strategy frameworks [8][10] Group 4: Market Positioning - Multi-strategy products are gaining popularity among high-net-worth clients, transitioning from niche offerings to mainstream investment options [10][11] - The current low-interest-rate environment and evolving investor maturity are driving demand for distinctive multi-strategy products [10][11] - Compared to mature markets, the domestic multi-asset strategy space in China is still in its early stages, presenting significant growth opportunities as wealth management evolves [11]