证券研究报告 | 行业定期报告 2025 年 09 月 25 日 招商证券 | 总量的视野 电话会议纪要（20250921） 研究部/总量研究 【宏观-罗丹】8 月经济数据解读 【策略-田登位】十一前后融资盘的规律和 A 股股价表现 【固收-朱蕾】继续防守策略，关注中短信用 【银行-文雪阳】银行债市存量浮盈 【资配-江雨航】招商系列大类资产配置指数解析与复盘 ❑ 【宏观-罗丹】8 月经济数据解读 推荐（维持） 相关报告 | 罗丹 | S1090524070004 | | --- | --- | | luodan7@cmschina.com.cn | | | 田登位 | S1090524080002 | | tiandengwei@cmschina.com.cn | | | 朱蕾 | S1090524100001 | | zhulei1@cmschina.com.cn | | | 文雪阳 | S1090524110001 | | wenxueyang@cmschina.com.cn | | | 江雨航 | S1090525070014 | jiangyuhang1@cmschina.com.cn 敬请阅读末页的 ...

Group 1 - The core viewpoint of the article highlights the growing importance of bond ETFs in the current investment landscape, particularly for bank wealth management companies facing an "asset shortage" and seeking refined investment management tools [1][3]. - The recent launch of the second batch of 14 sci-tech bond ETFs has increased the total number of such products to 24, indicating a significant uptick in market interest and investment [1][2]. - As of September 24, the total scale of the first batch of sci-tech bond ETFs reached 128.57 billion, with several products exceeding 15 billion, showcasing robust demand and growth in this sector [1][2]. Group 2 - Wealth management funds have become a crucial driver of the growth in sci-tech bond ETF scales, with institutions like Xingyin Wealth and Zhaoyin Wealth actively participating in the market [2][3]. - The dual considerations of optimizing asset allocation and enhancing liquidity are key reasons why bank wealth management funds favor bond ETFs, allowing for diversified and efficient investment strategies [3][4]. - Bond ETFs offer superior liquidity compared to other fixed-income assets, with mechanisms such as T+0 trading and the ability to pledge for financing, making them attractive to institutional investors [4][5]. Group 3 - The article warns of potential market volatility due to "coupon-snatching" behavior by institutions, which may lead to mispricing of component bonds within the ETFs [4][6]. - The rapid influx of new capital into credit bond ETFs has created a "snatching" phenomenon, where institutions preemptively purchase related component bonds, leading to increased trading activity and turnover rates [5][6]. - Analysts caution about the re-pricing risks associated with component bonds of sci-tech bond ETFs, particularly in a volatile market environment where large sell-offs could exacerbate losses [6].

·银河期货：未来全球大类资产配置或有继续向黄金倾斜的动力 ·金瑞期货：金银价格预计仍将会获得一定利好支撑 ·光大期货：黄金推涨因素并未转变下或较难改变其上行趋势 ·加拿大丰业银行：乐观预期下明年金价可能达到4800美元 ·Jefferies：按照美国人均可支配收入推断，本轮金价牛市顶峰的合理目标在6600美元 【机构分析】 银河期货表示，鲍威尔的发言表明其认为利率仍偏紧缩，被市场解读为或为进一步降息打开空间，市场 对于未来美国流动性宽松的预期仍较高，但美国的类滞胀风险犹存，且地缘冲突仍时有抬头，贵金属整 体维持强势。另外需要注意，最新的PMI数据指向美国经济具有一定韧性，有助于暂时缓解市场对美国 经济减速的担忧情绪，贵金属在历史高位附近出现一定的获利了结迹象。整体来看，由于美国处于降息 通道，海外多个主要经济体的财政都面临问题，未来全球大类资产配置或有继续向黄金倾斜的动力，贵 金属长期价值彰显的前提下，短期若遇波动可仍以低多思路为主。 金瑞期货表示，美国PPI数据低于预期，进一步支撑美联储宽松。总的来说，当前黄金的利好一方面来 自流动性宽松预期的发酵，8月非农数据不及预期，市场已经完全计入了9月开始降息以及年 ...

Report Overview - Report Title: Global Asset Market Performance - Major Asset Morning Report - Report Date: September 24, 2025 - Research Team: Macro Team of the Research Center 1. Report Industry Investment Rating - No industry investment rating is provided in the report. 2. Report's Core View - The report presents the performance data of various global asset markets on September 23, 2025, including 10 - year and 2 - year government bond yields of major economies, exchange rates of the US dollar against major emerging - economy currencies, major economy stock indices, credit bond indices, stock index futures trading data, and government bond futures trading data. 3. Summary by Relevant Catalogs 3.1 Global Asset Market Performance - Bond Yields - **10 - Year Government Bond Yields**: On September 23, 2025, the 10 - year government bond yields of the US, UK, France, etc. were 4.107%, 4.679%, 3.563% respectively. The latest changes ranged from - 0.041 (US) to 0.004 (France), with weekly changes from - 0.030 (Switzerland) to 0.078 (US), monthly changes from - 0.155 (US) to 0.065 (France), and annual changes from - 0.220 (Switzerland) to 0.912 (UK) [2]. - **2 - Year Government Bond Yields**: On September 23, 2025, the 2 - year government bond yields of the US, UK, Germany, etc. were 3.570%, 3.950%, 2.019% respectively. The latest changes ranged from 0.000 (US, Japan) to 0.011 (South Korea), with weekly changes from - 0.014 (China 1Y) to 0.058 (Japan), monthly changes from - 0.012 (UK) to 0.084 (Germany), and annual changes from - 0.432 (South Korea) to 0.544 (Japan) [2]. 3.2 Global Asset Market Performance - Exchange Rates - **US Dollar against Major Emerging - Economy Currencies**: On September 23, 2025, the exchange rates of the US dollar against the Brazilian real, South African rand, etc. were 5.282, 17.245 respectively. The latest changes ranged from - 0.99% (Brazil) to 0.24% (South Korean won), with weekly changes from - 0.54% (South African rand) to 1.09% (South Korean won), monthly changes from - 2.75% (Brazil) to 0.05% (South Korean won), and annual changes from - 5.07% (Brazil) to 4.58% (South Korean won) [2]. - **Renminbi**: On September 23, 2025, the on - shore RMB, off - shore RMB, and the central parity rate were 7.113, 7.113, 7.106 respectively. The latest changes were - 0.02%, - 0.03%, - 0.07% respectively, with weekly changes of - 0.02%, 0.12%, 0.04% respectively, monthly changes of - 0.55%, - 0.56%, - 0.18% respectively, and annual changes of 0.23%, 0.18%, 0.04% respectively [2]. 3.3 Global Asset Market Performance - Stock Indices - **Major Economy Stock Indices**: On September 23, 2025, the S&P 500, Dow Jones Industrial Average, and NASDAQ were 6656.920, 46292.780, 22573.470 respectively. The latest changes ranged from - 0.95% (NASDAQ) to 0.59% (Mexican stock index), with weekly changes from - 0.03% (Spanish stock index) to 1.21% (German DAX), monthly changes from - 2.24% (German DAX) to 7.29% (Mexican stock index), and annual changes from 5.45% (French CAC) to 31.35% (Spanish stock index) [2]. 3.4 Global Asset Market Performance - Credit Bond Indices - **Credit Bond Indices**: The latest changes of the US investment - grade credit bond index, euro - zone investment - grade credit bond index, etc. ranged from - 0.03% (euro - zone investment - grade credit bond index) to 0.40% (emerging - economy high - yield credit bond index), with weekly changes from - 0.39% (US investment - grade credit bond index) to 0.27% (euro - zone high - yield credit bond index), monthly changes from 0.26% (euro - zone investment - grade credit bond index) to 1.61% (US investment - grade credit bond index), and annual changes from 3.66% (US investment - grade credit bond index) to 13.30% (emerging - economy high - yield credit bond index) [2][3]. 3.5 Stock Index Futures Trading Data - **Index Performance**: The closing prices of A - shares, CSI 300, SSE 50, etc. were 3821.83, 4519.78, 2919.51 respectively, with changes of - 0.18%, - 0.06%, - 0.09% respectively [4]. - **Valuation**: The PE (TTM) of the CSI 300, SSE 50, and CSI 500 were 14.01, 11.64, 34.17 respectively, with环比 changes of 0.04, 0.07, - 0.25 respectively [4]. - **Fund Flow**: The latest values of the fund flow of A - shares, the main board, and small - and medium - sized enterprise boards were - 1566.78, - 1050.60, etc., with 5 - day average values of - 1037.14, - 806.14, etc. respectively [4]. - **Trading Volume**: The latest trading volumes of the Shanghai and Shenzhen stock markets, CSI 300, and SSE 50 were 24943.82, 6805.14, 1689.87 respectively, with环比 changes of 3728.99, 1173.65, 125.86 respectively [4]. - **Main Contract Premium/Discount**: The basis of IF, IH, and IC were - 35.98, 5.49, - 240.11 respectively, with premiums/discounts of - 0.80%, 0.19%, - 3.34% respectively [4]. 3.6 Government Bond Futures Trading Data - **Government Bond Futures**: The closing prices of T00, TF00, T01, and TF01 were 107.715, 105.625, 107.385, 105.505 respectively, with changes of 0.13%, 0.09%, 0.12%, 0.09% respectively [5]. - **Funding Rates**: The funding rates of R001, R007, and SHIBOR - 3M were 1.4619%, 1.5218%, 1.5620% respectively, with daily changes of - 7.00 BP, - 1.00 BP, 0.00 BP respectively [5].

读《哈利布朗的永久投资组合》一书，发现了很多需要补充的细节。 回顾一下永久组合的内容： 25%股票：受益于经济繁荣（增长）。 25%长期国债：受益于经济衰退和利率下降（通缩）。 25%黄金：受益于货币信用危机和通货膨胀（避险）。 25%现金：提供流动性，并在通缩中增强购买力（稳定）。 目前股票，30年国债，黄金，怎么都感觉在高位 这个组合还能玩下去吗？ 数据A 这种投资组合，收益可能就只有5%左右，不好的年份还会亏损。 其它三种都是稳定资产。最大的收益来源是股票，遇到牛市股票就算涨100%，因为四分之一 的仓位，带来的整体收益也只有25%。 你能忍受黄金10年不涨吗？ 你能忍受30年国债持有10年后反而亏损吗？ 你能忍受现金不断超发，货币购买力不断下降吗？ hare001 我配置过，30 年国债涨幅基本都吃到了，目前保留的是现金、标普 500 和黄金，总体感觉 还行吧，也是弱者思维，不择时，回撤也不会有特别大的回撤，被动按照持仓比例进行调 仓，我觉得最好不要把现金池子完全归入这个组合，不然工资和其他收入其实是一直在加仓 其他三类资产的。 imaocxh 30%大A+20%港股+20%美股+20%商品+10%现 ...

Core Viewpoint - The recent rise of A-shares above 3800 points presents an opportunity for investors to reassess their portfolios, emphasizing the importance of a diversified asset allocation strategy to navigate market volatility and potential downturns [4][6]. Group 1: Market Sentiment and Fund Performance - Despite the current bullish market sentiment and many funds reaching historical highs, a significant number of investors redeemed their holdings before the market's upswing, leading to missed opportunities [6]. - Data indicates that from 2022 to 2024, the net subscription scale of equity funds has continuously shrunk, with net redemptions peaking in the first quarter and fourth quarter of 2024 [6]. Group 2: Volatility and Historical Performance - The Shanghai Composite Index has a compound annual growth rate of 11.6% since its inception in 1990, but it also has an annualized volatility of 43.71%, which is significantly higher than many global indices [10][11]. - Since 2014, the annual maximum drawdown for the CSI 300 and equity fund indices has exceeded 15% in about 60% of the years, highlighting the challenges of long-term holding for domestic investors [12]. Group 3: Timing Strategies and Their Challenges - The desire to time the market is common among investors, but the reality often leads to missed opportunities, as evidenced by the significant drop in annualized returns when missing the best-performing days [16][18]. - From 2014 to the present, maintaining a position in equity funds yields an average annual return of around 15%, but missing the top-performing days drastically reduces this return [16][18]. Group 4: Asset Allocation Strategies - Given the high volatility of the A-share market, a diversified asset allocation strategy is recommended to mitigate risks and enhance returns [22]. - Different asset classes exhibit varying risk-return characteristics, and combining low or negatively correlated assets can help reduce overall portfolio volatility [22][24]. Group 5: Simulation of Asset Allocation - Simulations show that adjusting the asset allocation to include dividend stocks and global indices can lead to smoother net value curves and reduced drawdowns during market downturns [30][32]. - Incorporating bonds into the asset mix further stabilizes the portfolio, increasing the likelihood of maintaining positions during market fluctuations [35][37]. Group 6: Importance of Diversification - Diversification in asset allocation is emphasized as a crucial strategy for investors, with notable figures in finance advocating for a mix of uncorrelated return streams to enhance portfolio performance [38].

在关于高校基金会投资管理的讨论中，嘉宾们谈到了其长期性、低风险偏好和流动性约束等特点。广发 基金副总经理王海涛提出ESG可帮助规避非财务风险；兴银理财创新业务部总经理叶予璋认为银行理财 相对稳健的风格特征与高校资金需求有很多契合之处；宁泉资产投资经理曾铭伟则强调红利资产在低利 率环境下的配置价值。 转自：新华财经 兴银理财党委委员、总裁助理贺轶说，ESG投资作为推动经济、环境与社会协调发展的重要力量，不仅 是一种投资理念的创新，更是对人类未来发展模式的深刻思考与积极探索。兴银理财始终高度关注并积 极参与ESG投资市场，公司在成立之初便将ESG理财产品作为三大特色产品之一，目前不仅在固收领域 构建起全方位、多层次的ESG产品体系，还积极创设多资产多策略、权益类产品，不断丰富ESG产品货 架。 9月22日，由兴证全球基金、兴银理财与复旦大学管理学院联合主办的"投资·向善"复旦管院·兴动ESG大 讲堂暨高校基金会慈善资产管理研讨会圆满落幕。本次论坛汇聚资产管理行业领袖、高校基金会负责 人，围绕ESG投资、高校基金会资产管理、大类资产配置等热点议题展开深度研讨，跨界共话"向善"投 资的力量与可能。 复旦管院·兴动ES ...

| | | --- | | come of a propo con con-come and con- | | | 研究中心宏观团队 2025/09/23 | 全 球 资 产 市 场 表 现 | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 主要经济体10年期国债收益率 | | | | | | | | | | | 美国 | 英国 | 法国 | 德国 | 意大利 | 西班牙 | 瑞士 | 希腊 | | 2025/09/22 | 4.148 | 4.712 | 3.559 | 2.747 | 3.543 | 3.297 | 0.169 | 3.402 | | 最新变化 | 0.020 | -0.002 | 0.006 | 0.001 | 0.011 | 0.004 | -0.009 | 0.010 | | 一周变化 | 0.109 | 0.080 | 0.081 | 0.057 | 0.070 | 0.054 | -0.050 | 0.068 | | 一月变化 | -0.128 | 0.021 | 0.050 | ...

Report Industry Investment Rating No relevant content provided. Core View of the Report - From September 15th to September 19th, the US Federal Reserve cut interest rates by 25 basis points in its September FOMC meeting, and China and the US held economic and trade talks in Spain. The US stock market rose for the week, while the bond market and commodities declined. In China, the year-on-year growth rates of industrial added value and total retail sales of consumer goods in August were lower than market expectations. The stock market was divided, and the bond market and commodities fluctuated. After the Fed's FOMC meeting, the short - term market entered a rest period, and future market trends depend on the performance of macro - economic data at home and abroad [3][6][19]. Summary by Directory 1. Global Major Asset Overall Performance: Stock Market Rises, Bond Market and Commodities Fall - **Global Stock Market Overview**: Most major global stock markets rose. US stocks had the highest gains, emerging markets outperformed developed markets, and the VIX index remained low. For example, the MSCI Asia - Pacific region rose 0.09% in the past week, and the NASDAQ Composite Index led the gains in the US [8]. - **Global Bond Market Overview**: The yield of the 10 - year US Treasury bond increased by 8BP to 4.14% for the week. The bond market declined, and globally, credit bonds > high - yield bonds > government bonds. The global bond index fell 0.07% for the week [13]. - **Global Foreign Exchange Market Overview**: The US dollar index fluctuated slightly higher for the week, with a 0.03% increase. Major non - US currencies against the US dollar had mixed performance, and the RMB exchange rate fluctuated [14]. - **Global Commodity Market Overview**: International gold prices rose for the week, but lacked continuous upward momentum. International oil prices declined, and the prices of major industrial products and agricultural products generally fell [17]. 2. Domestic Major Asset Performance: Stock Market Divided, Bond Market and Commodities Fluctuated - **Domestic Stock Market Overview**: The major broad - based A - share indexes showed divergent trends. The average daily trading volume of the two markets increased compared to the previous week. The growth style was more resilient. The power equipment and new energy, and coal sectors led the gains, while the banking and non - ferrous metals sectors performed poorly. The Shanghai Composite Index fell 1.30% for the week [20]. - **Domestic Bond Market Overview**: The central bank's open - market operations had a net injection of 5923 billion yuan. The bond market fluctuated strongly. Overall, credit bonds > corporate bonds > government bonds. The ChinaBond Aggregate Total Return Index rose 0.05% for the week [22]. - **Domestic Commodity Market Overview**: The domestic commodity market rose slightly for the week. Among major commodity sectors, energy led the gains, while soft commodities performed poorly. The Nanhua Commodity Index rose 0.24% for the week [23][24]. 3. Major Asset Price Outlook - After the Fed's FOMC meeting, the short - term market entered a rest period. Future market trends require attention to the performance of domestic and international macro - economic data [3][27].

Core Viewpoint - The current investment landscape is characterized by a new economic cycle, with significant shifts in macroeconomic analysis, particularly the need to focus on country-specific dynamics rather than solely on the US economy [2][25]. Group 1: Major Challenges in Asset Allocation - The first challenge is the misalignment of global economic cycles, where non-US developed countries' monetary policies diverge significantly from the US, influenced by de-globalization and supply chain restructuring [23][24]. - The second challenge is the decline in long-duration risk returns, driven by prolonged monetary easing in the US and increased demand for long-term bonds in China due to economic transformation and aging demographics [26][27]. - The third challenge is the simultaneous volatility of stocks and bonds in overseas markets, necessitating a greater allocation to counter-cyclical assets like gold for risk hedging [29]. Group 2: Insights on Major Asset Classes - For US dollar assets, there is potential for short-term rebounds due to economic soft landing expectations, but long-term attractiveness may diminish due to debt monetization and rising credit risks [30]. - Chinese yuan assets are expected to appreciate in the short term due to improved economic momentum and foreign capital inflows, with long-term growth potential linked to the rising importance of physical assets [30]. - The outlook for bonds remains uncertain, with US Treasury yields expected to steepen while the long-term trajectory for Chinese bonds is influenced by demographic pressures and economic structural changes [30]. Group 3: Investment Strategies and Trends - The investment strategy for cyclical stocks involves a speculative approach based on commodity price movements, which carries high risks due to the assumption of uniformity among companies within the sector [21]. - A more strategic approach involves selecting stocks with high price and income elasticity based on demand expansion trends, particularly in sectors like new energy and lightweight materials [21]. - Value-based strategies focus on identifying buying opportunities in cyclical stocks by analyzing asset elasticity, valuation levels, and demand signals [22]. Group 4: Performance of Managed Funds - The managed funds by the manager have shown significant performance, with the flagship fund achieving a return of 32.9% year-to-date and a cumulative return of 705.37% since inception [2][3]. - The investment philosophy emphasizes a balanced strategy, focusing on high-quality companies and growth stocks, with a high concentration in top holdings [4][6]. - Recent adjustments in the portfolio include increased allocations to semiconductor and biopharmaceutical sectors, reflecting a proactive approach to market trends [7][14].