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成长成为共振因子——量化资产配置月报202508
申万宏源金工· 2025-08-04 08:01
Group 1 - The article emphasizes the importance of combining macro quantification with factor momentum to select resonant factors, particularly focusing on growth factors while considering market conditions [1][4] - Current macro indicators show economic decline, slightly loose liquidity, and improving credit indicators, leading to a correction in the direction of economic downturn and tight liquidity [3][4] - The article identifies that the stock pools are still biased towards growth factors, especially in the CSI 300 and CSI 1000 indices, while the CSI 500 leans more towards fundamental factors [4][5] Group 2 - Economic leading indicators suggest a potential slight increase after reaching a short-term bottom in August 2025, despite recent declines in PMI and new orders [6][8] - Various leading indicators are analyzed, indicating that many are in a downward cycle, with expectations for some to reach their bottom by early 2026 [9][10] - The liquidity environment is assessed as slightly loose, with interest rates remaining stable and monetary supply indicators suggesting a continuation of this trend [12][14] Group 3 - Credit indicators are generally weak, but the overall credit environment remains positive, with some signs of recovery in recent months [15][16] - The article recommends increasing stock allocations due to improving equity trends, while reducing allocations in other asset classes [16][17] - The focus remains on liquidity as the most significant variable affecting market dynamics, with credit and inflation also being monitored [18][20] Group 4 - The article suggests industry selection based on economic sensitivity and credit sensitivity, highlighting sectors that are less sensitive to economic downturns but more responsive to credit conditions [20][21] - Industries identified as having high growth potential include electronics, media, and beauty care, which are less affected by economic fluctuations [20][21]
固定收益市场周观察:北交所打新:适合“固收+”的低回撤增厚策略
Orient Securities· 2025-08-04 03:45
Group 1 - The report highlights the impact of the restoration of VAT on pure bond markets, predicting a reduction in interest income for bond investors by 5-10 basis points [9][10][11] - Short-term effects of the VAT policy may lead to a scarcity of tax-exempt existing bonds, potentially triggering a buying spree [9][10] - In the medium term, the VAT restoration could slow the inflow of funds into the bond market, as institutions may seek higher yields from other asset classes [10][11] Group 2 - The report emphasizes the advantages of participating in the Beijing Stock Exchange (BSE) new share offerings, which offer low costs and high returns, making them suitable for enhancing fixed income+ products [11][12] - Historical data shows that new shares listed on the BSE have maintained significant first-day price increases, averaging over 300% since 2025 [12][13] - The report suggests that the optimal strategy for new share subscriptions involves balancing the amount of capital invested with the probability of successful allocation, with findings indicating that investing 1.7 times the minimum subscription amount yields the highest efficiency [23][25] Group 3 - The report notes that the fixed income market is currently facing challenges due to declining returns, prompting investors to explore fixed income+ strategies [8] - It outlines the expected issuance of 8,285 billion in interest rate bonds this week, indicating a high level of activity in the bond market [27][29] - The sentiment in the bond market is recovering, with various interest rate bonds showing a downward trend in yields, suggesting a favorable environment for bond investors [32][33]
国信证券(002736) - 2025年8月1日投资者关系活动记录表
2025-08-04 00:52
Group 1: Company Performance - In the first half of 2025, the company focused on core capabilities and business transformation, leading to significant growth in major business revenues compared to the same period last year [2] - The self-operated investment business and commission income from the brokerage business saw substantial increases, contributing to a significant year-on-year performance growth [2] Group 2: Brokerage and Internet Business - The company's brokerage business market share for stock-based transactions reached 2.75% in 2024, with continuous improvement in account numbers and quality [2] - The company is enhancing its digital operations to meet customer needs, focusing on both new and existing clients [2] Group 3: Investment Advisory Services - There is a notable increase in demand for professional asset allocation and advisory services, driven by a low-interest environment and market recovery [3] - The company has promoted a "full account commission" advisory service model, enhancing service value and customer loyalty [3] Group 4: Proprietary Investment Strategy - The company employs a diversified asset allocation strategy to manage investments, including stocks, bonds, derivatives, and funds, to mitigate risks and seize investment opportunities [4] - The focus on dividend investment and stable fixed-income strategies aims to maintain overall risk levels while exploring customer-driven trading opportunities [4] Group 5: Acquisition Progress - The acquisition of Wanhe Securities has been approved by the Shenzhen Stock Exchange's merger and acquisition review committee, pending registration completion [6] - Post-acquisition, the company aims to leverage Wanhe Securities' advantages in cross-border asset management within the Hainan Free Trade Port [6] Group 6: Dividend Policy - The company has maintained a cash dividend ratio exceeding 40% for four consecutive years, positioning it as a leader among large listed brokerages [6] - Future dividend policies will adhere to regulatory requirements and company bylaws, ensuring consistency and stability in cash dividends [6]
【广发宏观陈礼清】高风偏遇上减速带:大类资产配置月度展望
郭磊宏观茶座· 2025-08-03 23:50
Core Viewpoint - In July 2025, major asset performance was led by the ChiNext Index, followed by oil and the CSI 500, with a general upward trend in risk assets, particularly in Chinese markets, while commodities showed mixed results [1][2][14]. Group 1: Asset Performance - In July, risk assets mostly rose, with Chinese assets leading the way and U.S. stocks reaching new highs, while domestic commodities experienced low-level increases [2][14]. - The performance of commodities was predominantly positive, with oil prices rising due to multiple favorable factors, while copper prices retreated due to lower-than-expected copper tariffs [2][17]. - The three major U.S. stock indices closed higher, with technology stocks showing significant resilience due to strong earnings reports [2][19]. Group 2: Macroeconomic Insights - The macroeconomic landscape in July 2025 was characterized by a divergence between hard and soft data in the U.S., while China's soft data indicated a slowdown [4][62]. - The domestic "stock-bond seesaw" effect deepened, with the total A-share index rising by 4.7% in July, while the yield on 10-year government bonds increased by 5.75 basis points to 1.71% [2][32]. Group 3: Key Drivers of Equity Assets - Future drivers for equity assets may include "profitability and risk appetite," with A-shares needing to respond to fundamental factors such as PPI trends and mid-year earnings [5][62]. - The reduction of uncertainties surrounding U.S.-China tariffs could enhance short-term export certainty, as recent high-level trade talks indicated a potential extension of tariff measures [5][62]. - New technological themes, such as advancements in artificial intelligence, are expected to create investment opportunities [5][62]. Group 4: Market Timing Signals - The M1-BCI-PPI timing system indicated a slight improvement in overall positive signals despite a slowdown in actual GDP growth [6][62]. - The stock-bond valuation ratio showed a return to neutrality, suggesting that while equity assets have lost some advantage, the overall score still leans towards equities [7][62]. Group 5: Sector Performance - In July, over 90% of industries in the domestic market reported positive returns, with growth and cyclical sectors leading the gains, particularly in steel, pharmaceuticals, and construction materials [2][32][44]. - The real estate sector saw a widening year-on-year decline in sales, with second-hand home sales showing more resilience compared to new homes [2][42]. Group 6: Commodity Market Dynamics - The commodity market showed a general upward trend in July, with significant increases in domestic pricing for black metals and polysilicon, while international oil and copper prices exhibited mixed performance [17][62]. - The Brent crude oil futures price increased by 7.3% in July, driven by geopolitical factors and tariff negotiations, although it faced a pullback in early August [17][62].
2025年8月大类资产配置展望:穿越震荡,韧性上行
Soochow Securities· 2025-08-03 09:02
Group 1 - The report anticipates a strong rebound in the A-share market in August 2025, with potential volatility due to alternating negative scores in the internal model [2][6][30] - The Hong Kong stock market is expected to follow a similar trend as the A-share market, with recent easing of pressure on the Hong Kong dollar from the US dollar index [2][6] - Growth style is likely to outperform in relative returns, while dividend sectors may perform moderately [2][6][30] Group 2 - The US stock market is projected to experience wide fluctuations in August, with high risk levels indicated by the risk trend model [2][6] - The gold market is assessed to have a medium risk level, with no significant overvaluation or undervaluation expected [2][6] - The report suggests a continued inverse fluctuation pattern between US stocks and gold, with attention needed on events driven by the "Trump 2.0" tariff framework [2][6] Group 3 - The domestic bond market is expected to show limited fundamental recovery, with a prevailing loose policy tone and overall interest rates likely to remain strong [2][6] - The US bond market is supported by fundamental pressures, easing supply, and rising risk aversion, contributing to a downward trend in interest rates [2][6] Group 4 - The report recommends a relatively balanced asset allocation strategy, anticipating a wide fluctuation market with ongoing structural opportunities [2][6]
国信证券:公司始终坚持采用大类资产配置的方式进行投资管理
Zheng Quan Ri Bao Wang· 2025-08-01 12:11
证券日报网讯 国信证券(002736)8月1日发布公告,在公司回答调研者提问时表示,公司始终坚持采 用大类资产配置的方式进行投资管理,通过股票、债券、衍生品、可转债、基金等资产配置,降低波动 风险,规避市场资产轮动风险,把握各大类资产的投资机会,同时也通过资产间的对冲机制控制整体风 险水平,实现在不同市场下自营业务的稳定性。权益投资方面,公司采取了分红投资、价值成长投资和 折价保护投资等策略,以分红投资策略为主,固收投资方面,公司坚持稳健投资,持仓以利率债及高等 级信用债为主,在低利率环境下积极把握交易性机会,积极探索客需型交易业务。衍生品业务方面,公 司以稳健为思路,合规展业,主动控制风险,推进业务高质量发展,将根据实际业务需求进一步提高业 务品种丰富度、优化客户结构,并持续加强和完善衍生品业务系统的建设。 ...
国信证券(002736) - 2025年7月31日投资者关系活动记录表
2025-08-01 01:22
Group 1: Brokerage Business and Internet Development - The company's brokerage business market share for stock-based transactions is 2.75% of the total market, with continuous improvement in client account numbers and quality [2] - The company emphasizes both new and existing clients, particularly leveraging internet methods to enhance operational efficiency and transform offline outlets [2] - There will be increased investment in digital operations to meet diverse client needs [2] Group 2: Wealth Management Ecosystem - For individual clients, the company has established a professional investment advisory team and various wealth management service brands, enhancing product offerings and quality [2] - For institutional clients, the company provides customized comprehensive financial services, addressing their investment pain points through an integrated service platform [2] Group 3: Proprietary Investment Business - The company employs a major asset allocation strategy to manage investments, utilizing stocks, bonds, derivatives, convertible bonds, and funds to mitigate volatility and market risks [3] - The focus is on dividend investment, value growth investment, and discount protection investment strategies, with a strong emphasis on stable fixed-income investments [3] - The derivatives business is conducted with a focus on compliance and risk control, aiming for high-quality development [3] Group 4: Acquisition of Wanhe Securities - The acquisition of Wanhe Securities has been approved by the Shenzhen Stock Exchange's merger and reorganization review committee, pending completion of registration and other procedures [4] - Post-acquisition, the company aims to leverage Wanhe Securities' advantages in cross-border asset management within the Hainan Free Trade Port [4] Group 5: Investment Banking Development Strategy - The investment banking division focuses on core responsibilities, enhancing professional capabilities, and increasing the scale of equity financing projects [4] - There is a push for business innovation, particularly in mergers and acquisitions, Hong Kong stock business, and technology innovation bonds [4] - Long-term planning is emphasized to develop an industrial investment banking model and enhance service capabilities for technology enterprises [4]
大类资产配置模型周报第 34 期:权益资产稳步上涨,资产配置模型7月均录正收益-20250731
- Model Name: Domestic Asset BL Model 1; Model Construction Idea: The BL model is an improvement of the traditional mean-variance model, combining subjective views with quantitative models using Bayesian theory; Model Construction Process: The model optimizes asset allocation weights based on investor market analysis and asset return forecasts, effectively addressing the sensitivity of the mean-variance model to expected returns; Model Evaluation: The BL model provides a higher fault tolerance compared to purely subjective investments, offering efficient asset allocation solutions[14][15] - Model Name: Domestic Asset BL Model 2; Model Construction Idea: Similar to Domestic Asset BL Model 1; Model Construction Process: The model is built on the same principles as Domestic Asset BL Model 1 but with different asset selections; Model Evaluation: Similar to Domestic Asset BL Model 1[14][15] - Model Name: Global Asset BL Model 1; Model Construction Idea: Similar to Domestic Asset BL Model 1; Model Construction Process: The model is built on the same principles as Domestic Asset BL Model 1 but targets global assets; Model Evaluation: Similar to Domestic Asset BL Model 1[14][15] - Model Name: Global Asset BL Model 2; Model Construction Idea: Similar to Global Asset BL Model 1; Model Construction Process: The model is built on the same principles as Global Asset BL Model 1 but with different asset selections; Model Evaluation: Similar to Global Asset BL Model 1[14][15] - Model Name: Domestic Asset Risk Parity Model; Model Construction Idea: The risk parity model aims to equalize the risk contribution of each asset in the portfolio; Model Construction Process: The model calculates the risk contribution of each asset and optimizes the deviation between actual and expected risk contributions to determine final asset weights; Model Evaluation: The model provides stable returns across different economic cycles[20][21] - Model Name: Global Asset Risk Parity Model; Model Construction Idea: Similar to Domestic Asset Risk Parity Model; Model Construction Process: The model is built on the same principles as Domestic Asset Risk Parity Model but targets global assets; Model Evaluation: Similar to Domestic Asset Risk Parity Model[20][21] - Model Name: Macro Factor-Based Asset Allocation Model; Model Construction Idea: The model constructs a macro factor system covering growth, inflation, interest rates, credit, exchange rates, and liquidity; Model Construction Process: The model uses the Factor Mimicking Portfolio method to construct high-frequency macro factors and optimizes asset weights based on subjective macro views; Model Evaluation: The model bridges macro research and asset allocation, reflecting subjective macro judgments in asset allocation[23][24][27] - Domestic Asset BL Model 1, Weekly Return: 0.02%, July Return: 0.61%, 2025 YTD Return: 2.46%, Annualized Volatility: 2.16%, Maximum Drawdown: 1.31%[17][19] - Domestic Asset BL Model 2, Weekly Return: -0.06%, July Return: 0.48%, 2025 YTD Return: 2.41%, Annualized Volatility: 1.93%, Maximum Drawdown: 1.06%[17][19] - Global Asset BL Model 1, Weekly Return: -0.09%, July Return: 0.56%, 2025 YTD Return: 0.95%, Annualized Volatility: 1.95%, Maximum Drawdown: 1.64%[17][19] - Global Asset BL Model 2, Weekly Return: -0.07%, July Return: 0.51%, 2025 YTD Return: 1.59%, Annualized Volatility: 1.7%, Maximum Drawdown: 1.28%[17][19] - Domestic Asset Risk Parity Model, Weekly Return: -0.02%, July Return: 0.36%, 2025 YTD Return: 2.7%, Annualized Volatility: 1.46%, Maximum Drawdown: 0.76%[22][23] - Global Asset Risk Parity Model, Weekly Return: -0.03%, July Return: 0.3%, 2025 YTD Return: 2.16%, Annualized Volatility: 1.66%, Maximum Drawdown: 1.2%[22][23] - Macro Factor-Based Asset Allocation Model, Weekly Return: -0.03%, July Return: 0.38%, 2025 YTD Return: 2.76%, Annualized Volatility: 1.36%, Maximum Drawdown: 0.64%[28][29]
宏观策略、大类资产配置与大宗投资机会7月刊:内部行情交流会策略分享
Guo Tou Qi Huo· 2025-07-31 12:21
Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - In the past two months, geopolitical risks did not cause spill - over effects, and the main line was to maintain stable geopolitical conflicts. Bilateral trade negotiations and tariff issues were under market attention, and China - US economic and trade conflicts maintained a stable stance. Domestic policies showed changes, with the "anti - involution" policy framework moving from expectation to implementation and the fiscal policy showing stronger signals of marginal efforts [3]. - The global risk preference has been repaired, and risk assets generally rose. The US dollar remained weakly volatile, and the market structure changed. The sectors corresponding to "anti - involution" and "expanding domestic demand" in the commodity market were strong, and the pricing expectations for re - inflation and profit repair increased [8][9]. - In the next 1 - 2 months, continue to track geopolitical disturbances and the implementation of US multilateral tariffs and China - US tariff suspension. Domestic policies should be tracked for their hedging effects on the decline in external demand. For financial products, the macro - liquidity is expected to remain stable and positive, and for commodities, the impact of "anti - involution" policies on the market is increasing [11][12][14]. Summary by Directory 1. Market Review and Outlook - **Macro Operation Characteristics**: Geopolitical conflicts remained stable, trade negotiations were under market attention, and domestic policies changed. The "anti - involution" policy was expected to be implemented, and the fiscal policy showed marginal efforts [3]. - **Characteristics of Major Asset Operations**: Since mid - June, global risk preference has been repaired, risk assets generally rose, the US dollar remained weakly volatile, and the market structure changed. The sectors related to "anti - involution" and "expanding domestic demand" in the commodity market were strong [8][9]. - **Future Outlook**: Track geopolitical disturbances, the implementation of US multilateral tariffs and China - US tariff suspension, and the hedging effects of domestic policies on external demand [11][12]. 2. Financial Products - **Stock Index**: In July, the A - share market performed well, with the growth style stronger than the value style. The implementation of the long - term assessment mechanism for insurance funds and "anti - involution" policies supported the market. In August, if there is incremental capital inflow, the performance of equity assets is worth looking forward to, and attention should be paid to sector rotation [23]. - **Treasury Bonds**: Since July, the bond market has been weak, and the yield curve has shown a "bear steepening" feature. In August, the yield of the 10 - year treasury bond may continue to fluctuate within a range, and a curve steepening strategy is recommended [24][25]. 3. Commodities - **Energy**: Oil prices are likely to be under pressure and fluctuate. The coal market may have a tail - end upward period, and the PG/ crude oil ratio is expected to be suppressed. The natural gas market may be weak during the replenishment season [18][27][29]. - **Chemicals**: Propylene futures lack unilateral opportunities in the short term. Styrene is expected to continue its weak consolidation pattern. A strategy of going long on glass and short on soda ash is recommended [31][33][34]. - **Non - ferrous Metals and Precious Metals**: Polysilicon may remain oscillating strongly in the short term, and lithium can be considered for long - position replenishment after a correction. Alumina may face a callback risk, and copper prices may face resistance at integer levels [37][39]. - **Black Metals**: Steel prices are expected to rise with fluctuations, and it is not recommended to chase the rise of iron ore at high prices. Coking coal may be strong in the short term but face valuation pressure in the medium term. Ferroalloys are expected to rise first and then fall with a rising bottom [41][42][43]. - **Agricultural Products**: For oils, it is recommended to go long on soybean and palm oils at low prices. Cotton is expected to oscillate at a high level [46][48].
施罗德基金:下半年市场“股债双牛”,有色、新消费、AI硬件机会活跃
Hua Er Jie Jian Wen· 2025-07-29 08:08
Group 1 - The core viewpoint is that the domestic market in China is expected to show a "dual bull" pattern in both equity and bond markets in the second half of the year, driven by structural investment opportunities in new economy sectors and a low-growth, low-inflation environment in the bond market [1] - The A-share market, despite uncertainties, is likely to benefit from a loose liquidity environment and recognition from decision-makers of the stock market's impact on public confidence and consumption [1] - In the cyclical sector, there are structural opportunities in non-ferrous metals, but a comprehensive rebound in the sector requires significant improvement in macro demand [1] Group 2 - The technology sector is expected to experience a clear domestic and international divergence, with overseas demand for computing power exceeding expectations, particularly in hardware segments benefiting from global AI infrastructure, such as GPU supply chains and optical modules [2] - The bond market is influenced by China's rapid demographic changes and complex geopolitical situation, with a focus on consumption and technology as new growth points for the economy [2] - The investment strategy for the second half of the year should consider allocations to fixed income plus, equity assets, overseas short-term bonds, and gold to capitalize on potential benefits from China's economic transformation [2]