近期债券市场出现回调，7月中下旬至8月中下旬先震荡后下行，十年期国债利率上破1.7%，市场担忧 会重现2022年理财大规模赎回引发的债市负反馈循环，进而导致债市从牛转熊。但此轮回调并非源于基 本面，更多受情绪面驱动，核心是"股债跷跷板"效应，股市情绪得到提振，对债市形成短期情绪压制与 有限的资金分流，并非债市自身逻辑生变。 从"股债跷跷板"效应影响来看，其对债市中长期冲击有限。当前利率存在超调，回调后债市配置价值凸 显。资金面看，股市对债市资金分流实际有限，银行自营作为债市核心配置力量，受股市虹吸影响极 小；理财规模仍处净买入状态，不会重蹈2022年负循环覆辙；交易型资金虽降久期，但配置型资金正积 极逢低加仓。 回顾近20年四轮债券熊市均具备两大核心特征：一是央行收紧货币政策，二是实体经济修复强劲、融资 需求旺盛。而当前债市不具备牛熊转换基础：基本面方面，7月社零、固投、工业增加值增速下滑，信 贷罕见负增长，经济修复力度偏弱，下半年增速预期偏低；政策面方面，央行二季度货币政策执行报告 延续"保持流动性充裕"表述，下半年流动性宽松基调不变；资金面方面，资产荒逻辑未来有望延续，保 险、银行等仍有刚性配置需求，债市 ...

Group 1 - The recent bond market adjustment is primarily driven by emotional factors and the "stock-bond seesaw" effect, with limited impact on the bond market from stock market fluctuations [1][2] - Historical data indicates that stock market gains are based on expectations of improved policies and economic fundamentals, with some flexible funds shifting from bonds to stocks, but the long-term pricing of stocks and bonds will revert to fundamental logic [2][3] - The main force behind bond allocation is banks, which held over 99 trillion yuan in bonds by the end of July, accounting for more than half of China's total bond market [2][3] Group 2 - The current loan rates do not significantly increase the attractiveness of bonds for banks, meaning there is no substantial crowding out effect on bond investments from loans [3] - Despite some flexible funds withdrawing from the bond market, banks and insurance companies are actively buying bonds, indicating that allocation-type funds are seizing the opportunity presented by the market adjustment [4][5] - Data shows that while some trading-type funds are reducing their duration, banks and insurance companies are increasing their bond duration, suggesting a strategic shift towards bond accumulation during market volatility [4][5] Group 3 - The ten-year government bond ETF (511260) is highlighted as a favorable investment option due to its low fees and ease of trading, with ten-year bonds offering higher coupon rates compared to shorter-duration bonds [5]

Core Insights - The report focuses on cross-asset timing strategies for interest rates, systematically backtesting various assets (including stock indices, commodities, and bonds) to identify performance under different market conditions [1]. Group 1: Cross-Asset Rotation Effects - The "stock-bond seesaw" effect arises from shifts in risk appetite, where strong economic expectations lead to capital flowing into equity markets, putting pressure on bond prices and raising yields [2][14]. - The relationship between commodities and bonds is closely tied to inflation expectations, with rising commodity prices typically leading to higher inflation and interest rates, which suppress bond valuations [2][14]. Group 2: Timing Strategies in Commodity and Equity Markets - In equity markets, strategies focused on volatility structures yield higher excess returns compared to trend-based moving average strategies, particularly in high-volatility environments [3]. - For commodities, timing strategies exhibit high odds and low win rates, aligning with the trend-driven nature of commodity trading. Multi-signal strategies outperform in various market conditions due to their adaptability [3][51]. Group 3: Cross-Asset Timing Strategies - The report employs a "cross-validation signal triggering method" for each asset, enhancing the robustness of cross-asset timing strategies. The "look at stocks, trade bonds" and "look at commodities, trade bonds" approaches aim to mitigate drawdowns while maintaining excess returns [4][86]. Group 4: Future Optimization Outlook - A dynamic weighting mechanism is proposed to adjust the importance of different market signals based on macroeconomic conditions, enhancing the adaptability of strategies over time [5]. - The report suggests exploring pair trading strategies in the foreign exchange market to provide additional support for cross-asset trading logic [5].

Core Viewpoint - The article discusses the implications of the Federal Reserve's shift towards a dovish stance, indicating a potential interest rate cut in September, which may lead to a temporary easing of dollar liquidity and impact various asset classes positively [2][4][6]. Group 1: Federal Reserve and Inflation Outlook - The Federal Reserve's recent comments suggest a preference for stabilizing growth over controlling inflation, which may reduce recession risks but increase stagflation risks [4]. - Market expectations for a September rate cut have risen to 86%, reflecting investor sentiment towards a more accommodative monetary policy [2]. - The article predicts that inflation in the U.S. may have reached an upward turning point, with an expected upward cycle lasting nearly a year [4][6]. Group 2: Market Reactions and Asset Performance - Historical data indicates that during periods of "inflation rising + growth declining," the dollar typically depreciates, U.S. Treasury yields decline, and gold prices increase, while stock market performance can be mixed [6]. - The article highlights that the current liquidity in the U.S. market is robust, with bank reserves significantly higher than during the 2019 liquidity crisis, which reduces liquidity risks [13][15]. Group 3: China’s Economic Environment - China's fiscal policies have been proactive, enhancing macro liquidity and shifting it towards the stock market, which has improved market sentiment and reduced downside risks for equities [18][21]. - The article notes that the correlation between stocks and bonds in China may turn negative in a low-inflation environment, leading to a "stock-bond seesaw" effect [24]. Group 4: Investment Recommendations - The article recommends overweighting A-shares and Hong Kong stocks, maintaining a standard allocation to U.S. and Chinese bonds, and adjusting U.S. stocks from underweight to standard weight due to improved liquidity conditions [29][42]. - It emphasizes the potential for gold to perform well in a declining interest rate environment, suggesting a continued overweight position in gold [34][40].

就一级市场的发行成本来看，上周（8月18日至22日）各等级新债发行成本环比全面大幅上行。举例来 看，AAA、AA+级信用债的平均票息为2.23%、2.59%，相比前一周分别跳涨了10bp、13bp。 不仅如此，上周各等级、各期限信用债估值亦全面调整（幅度在5bp至8bp之间），上行斜率增大，信用 利差开始走阔，尤其是短端信用债，补跌幅度较大，出乎市场意料。再就二级市场的成交情况而言，信 用债流动性进一步下滑，换手率环比下行了0.09个百分点至1.64%。 新华财经上海8月28日电（记者杨溢仁）近期，信用债市场全面调整，且出现了明显的补跌特征，看空 情绪集中释放。 伴随市场担忧情绪的升温，债市会否就此"牛熊切换"？ 分析人士认为，各机构无需过于悲观，甚至在负面情绪集中释放后可以重新增配信用债。当前，短端信 用债依然是确定性最强的品种——毕竟市场对待久期依然非常谨慎。考虑到市场中的配置需求仍在，叠 加资金面稳中有松——税期扰动结束后资金面整体平稳，目前建议各机构继续关注信用债市场补跌后的 参与机会。 信用债呈现"补跌"行情 显然，前期表现坚挺的信用债市场终于开启了"补跌"模式。 "短期来看，市场风险偏好提振对债市 ...

Group 1 - The core viewpoint of the news is that the bond futures market is experiencing a significant decline, influenced by a shift of funds from the bond market to the stock market due to a V-shaped rebound in A-shares and rising inflation expectations driven by domestic policies [1][2][3] - As of August 28, the 30-year main contract fell by 0.72%, the 10-year main contract fell by 0.19%, and the yields on major government bonds increased, with the 10-year government bond yield rising by 2.15 basis points to 1.7865% [1][2] - The bond market adjustment shows that short-term bonds have smaller declines while long-term and ultra-long-term bonds experience larger drops, indicating a close correlation between long bonds and the stock market [3] Group 2 - Analysts suggest that the current bond market adjustment is primarily driven by sentiment and changes in fund flows rather than a deterioration in the fundamentals, with a steepening yield curve indicating concerns over long-term inflation and fiscal pressures [3] - In the context of a strong stock market, the bond market is expected to remain weak in the short term, with potential for repeated bottom testing [3] - Investment strategies recommended include cautious observation for conservative investors, while aggressive investors may consider small positions for bottom-fishing, and combining bond investments with stock market strategies to hedge against potential downturns [4]

矫枉必须过正，不过正不能矫枉。反转，必须有扭转乾坤之势。突破后要 快速远离阻力位，把原趋势力量的嚣张气焰狠狠地给打下去，先打出一定的战 略空间。 ——笔记哥《交易》 【笔记20250828— 股民不寒而栗，债农寒风刺骨（-股市午后强势反弹-外媒称中国计划削减钢铁产量+资金面均衡偏松=中上)】 资金面均衡偏松，长债收益率明显上行。 央行公开市场开展4161亿元7天期逆回购操作，今日有2530亿元逆回购到期，净投放1631亿元。 资金面均衡偏松，资金利率平稳，DR001在1.31%附近，DR007在1.54%附近。 -------------------------- 今天"股债跷跷板"效应似乎又失灵了，据说逻辑是：股跌了意味着快要涨了，债先跌；股涨了意味着还要涨，债更跌。股民：当我看到沪指跌1%的时候 债都不涨，我就知道该抄底了，果然沪指收盘涨超1%，是谓"看债做股"！ 今日寒武纪涨超15%，股价再度碾压茅台，股民只是"不寒而栗"（形容因不持有寒武纪而惶恐不安的样子），债农却已是"寒风刺骨"，只盼着10Y国债利 率能死守1.80%别破防。 -------------------------- 【今日盘面】 25 ...

Core Viewpoint - The migration of deposits to wealth management products is increasing, driven by lower deposit rates and the search for higher returns, but the wealth management market faces challenges such as market volatility and declining asset yields [1][2][3]. Group 1: Deposit Migration Trends - In July, household deposits decreased by 1.1 trillion yuan, while non-bank institution deposits increased by 2.14 trillion yuan, indicating a shift of funds from traditional savings to other asset classes [2][3]. - The growth rate of household deposits has been declining for three consecutive months, with July's growth rate at 10.3%, down 0.5 percentage points from June [2][3]. - The gap between household deposit growth and M2 growth has narrowed significantly, suggesting a potential confirmation of the deposit migration trend if it falls into negative territory [2][3]. Group 2: Wealth Management Market Dynamics - The scale of bank wealth management products is expected to grow significantly, with estimates suggesting an increase of approximately 2 trillion yuan by July 2025, reaching 32.67 trillion yuan [3][6]. - The average performance benchmark for open-ended wealth management products is 2.27%, while closed-end products average 2.51%, both showing slight declines [5]. - The current market is experiencing an "asset shortage," with declining yields on underlying assets, leading to challenges in meeting investor demand for higher returns [5][6]. Group 3: Product Trends and Investor Behavior - There is a notable shift towards low-volatility and stable short-term fixed-income products as investors seek alternatives to traditional deposits [6][7]. - The popularity of rights-embedded products is increasing, driven by the recent strong performance of the A-share market and the growing demand for enhanced returns [7]. - Cash management products are experiencing negative growth, while open-ended fixed-income products remain the main growth driver due to their liquidity advantages [7].

国债期货日报 2025年8月28日 反弹中断 观点：反复探底 南华研究院 徐晨曦（Z0001908） 投资咨询业务资格：证监许可【2011】1290号 盘面点评： 周四期债早盘走弱，午后跌幅加剧，品种全线收跌。现券收益率全线上行，长端上行幅度较大。公开市场净 投放1631亿。资金面宽松，DR001保持在1.31%附近。 日内消息： 1.上海发布《关于加快推进本市城中村改造工作的实施意见》。 行情研判： 今日A股午后一度下探，但此后大幅上扬，将昨日跌幅收复大半，尽显强势，导致债市再度大幅走弱。前期有 部分资金选择做多国债期货对冲股市波动风险，这些资金的出逃可能亦是导致期债下跌的原因之一。目前债 市尚不能完全摆脱股债跷跷板的影响，可能需要反复探底。但近两日大盘波动超百点亦表明股市高位后风险 加剧，债市不必过度悲观。操作思路上，反弹有利即可出场，可小仓保留部分低位多单，空仓者可关注前期 低点。 国债期货日度数据 source： wind,南华研究 元 TS基差：主连 TS IRR：主连(右轴) ％ 02/28 04/30 06/30 -0.5 -0.25 0.25 -1 0 1 2 3 长债与超长债利率走势 sou ...

近期股市持续走高，沪指站上3800点再创10年新高，与股市一路走强形成鲜明对比的是，债市却同步经 历显著调整。那么，近期债市回调的原因是什么？后市会如何走？投资者该如何应对？一起来看长城基 金固定收益研究部副总经理吴冰燕的分析。 近期债市经历大幅回调，主要原因有哪些？ 吴冰燕：主要因素在于"股债跷跷板"和风险偏好抬升。四月初中美关税冲击以来，股票市场稳定修复， 呈现"高收益，低波动"的反常表现，其风险收益比明显高于债券，造成资金分流。同时，商品市场同步 上涨也进一步压制了债市情绪。另一方面，债券收益率去年12月一定程度上以大斜率超速下行，今年债 市整体呈"N"型走势，即使有关税冲击等突发利好，10Y国债收益率也未曾突破1月初低点，总体上其实 是在对去年底透支的下行空间进行修复，利率中枢在降准降息等重大利好出台之前难创新低。因此，债 券与股票、商品资产的不同表现带来一定的资产配置转移倾向。此外，虽然部分经济指标还有待改善， 但政治局会议明确"反内卷"决心，需求端政策陆续推出，引发市场对于供需矛盾改善的预期，也提振了 市场风险偏好。 吴冰燕：目前债券市场虽暂时受到压制，但经济数据显示宏观经济运行周期仍在市场预期内 ...