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非美货币被动升值风险需警惕
Jing Ji Wang· 2025-07-14 10:05
Core Viewpoint - The significant decline of the US dollar index, which has dropped over 10% this year, has led to substantial appreciation of several non-USD currencies, raising concerns about the underlying economic fundamentals driving these changes [1][3]. Group 1: Reasons for Dollar Decline - Domestic political factors in the US have undermined the perceived independence of the Federal Reserve, contributing to the dollar's decline [3]. - The relative decrease in returns on US assets has made them less attractive compared to international markets, with major US stock indices underperforming compared to European and Asian markets [3][4]. - A diversification of global capital flows away from USD assets has been observed, with a net outflow of $14.2 billion from US securities and banks in April 2025 [4]. - Decreased confidence in US assets due to fiscal imbalances and sustainability issues has led to higher risk premiums, further diminishing the dollar's appeal [4]. Group 2: Economic Indicators - The US economy has shown signs of a reversal in expectations, with a reported GDP contraction of 0.5% in Q1 2025 and a downward revision of GDP growth forecast to 1.4% [5]. - The significant appreciation of other currencies is not driven by their economic fundamentals, but rather reflects the dollar's weakness, which could negatively impact exports for those economies facing dual pressures from tariffs and currency appreciation [5].
当被动已成信仰,主动正用超额收益为自己正名
雪球· 2025-07-14 08:25
Core Viewpoint - The article highlights the unexpected strong performance of actively managed funds in the first half of 2025, outperforming passive funds by nearly 5 percentage points, suggesting a resurgence in the credibility of active fund managers [3][5]. Group 1: Performance of Active Funds - In the first half of 2025, 50 actively managed funds achieved net value returns exceeding 30%, with the top ten funds all surpassing 60% gains, outperforming the best-performing passive ETF, which had a return of 58.76% [12][14]. - Among the top-performing active funds, Guangfa Fund led with 9 funds, followed by Penghua, Changcheng, Huitianfu, and Fuguo, each with 6 funds [14][15]. Group 2: Opportunities in Emerging Markets - The article identifies the Beijing Stock Exchange (北交所) as a "golden opportunity" for active funds, where less transparent information and lower research coverage allow for better identification of mispriced opportunities, thus creating alpha (excess returns) [16][18]. - The North Star 50 Index, a benchmark for the Beijing Stock Exchange, has seen a year-to-date increase of over 30%, significantly outperforming the Zhongzheng 2000 index [18][21]. Group 3: Value of Active Management - The true value of active management lies in the ability to dynamically search for undervalued opportunities across the entire market, rather than being confined to specific industries or styles, which is a key advantage over passive investment strategies [22][24]. - The article emphasizes that while passive funds are effective for obtaining market average returns (beta), allocating a portion of investments to capable active fund managers can yield excess returns (alpha) [25][26].
利率择时策略研究系列之四:久期轮动策略创新及债券ETF组合应用
Group 1 - The report highlights the rapid development of bond ETFs since 2018, which have become an important tool for fixed income asset allocation, improving the performance of fixed income portfolios [2][56]. - The duration rotation strategy is based on the signal value of implied interest rates from government bond futures, which is used for duration allocation and bond ETF combinations [2][56]. - Backtesting of the duration rotation strategy applied to bond indices shows that the index combinations outperform the benchmark, with annualized returns exceeding the benchmark by 29 basis points for the conservative weight combination and 60 basis points for the aggressive weight combination [2][56]. Group 2 - The report discusses the application of the duration rotation strategy to government bond ETF combinations, indicating that the returns significantly exceed the benchmark, with annualized returns exceeding the benchmark by 82 basis points for the conservative weight combination and 102 basis points for the aggressive weight combination [2][56]. - Yearly comparisons show that the duration rotation strategy can achieve substantial excess returns even in volatile market conditions [2][56]. - The report emphasizes that the risk parameters of the duration rotation strategy are comparable to the benchmark, indicating a balanced risk-return profile [2][56]. Group 3 - The report outlines the historical development of bond ETFs, noting that the first bond ETF was launched in 2013, and the market has seen significant growth since 2018 due to favorable market conditions [7][14]. - The advantages of bond ETFs are highlighted, including low interest rates, low volatility, and the flexibility of trading, redemption, and collateralization [11][14]. - The report provides a detailed analysis of the duration rotation strategy, including the methodology for generating long and short signals based on implied interest rates and market conditions [24][30]. Group 4 - The report presents the performance of different duration bond ETFs, indicating that ETFs with similar durations and bond types tend to perform consistently [51]. - The backtesting period for the bond ETF duration rotation strategy is set from September 2020 to July 2025, allowing for a comprehensive analysis of performance [52]. - The report concludes with a summary of the findings, reiterating the effectiveness of the duration rotation strategy in enhancing returns while maintaining comparable risk levels [53][56].
7月14日电,日本10年期国债收益率上升7.5个基点至1.575%,为3月28日以来最高水平。
news flash· 2025-07-14 07:17
智通财经7月14日电,日本10年期国债收益率上升7.5个基点至1.575%,为3月28日以来最高水平。 ...
对话朱宁:你没法赚你认知之外的钱,关键性思考很重要︱重阳Talk Vol.13
重阳投资· 2025-07-14 06:43
【全文9224字,干货很多,但也很长。欢迎下载"小宇宙"APP,找到"重阳Talk"收听音频版。】 (一) 朱宁 谈与导师罗伯特 · 席勒交往 投资可以说是科学和艺术的结合。科学指的是关于宏观经济的研判、企业基本面的分析等可以用量化去 框算的方面。艺术则是指投资者的认知和行为框架。这方面其实也很重要,但是从投资的实践来看,多 数投资人,特别是个体投资人,对于科学重视非常多,对于投资认知和投资行为方面的重视度相对不 够。 本期重阳Talk由重阳投资合伙人、财经作家舒泰峰主持,邀请著名行为金融学专家、上海交通大学上海高 级金融学院副院长朱宁教授,一起探讨谁是投资者的朋友,谁又是投资者的敌人。 舒泰峰: 朱宁教授师从罗伯特·席勒教授,著名的行为经济学大师和诺贝尔经济学奖得主。想请朱教授分 享一下和导师的交往,以及他对你有什么样的启发? 朱宁: 其实我觉得我是特别幸运的,在北美求学时,一共有三个不同导师,他们对我都不只是学术研究 上的帮助,而且从整个品格和行为上言传身教,对我有很大影响。席勒教授除了他的研究成果,我觉得 对我来讲有两个特别大的启发之处: 第一是他非常单纯谦逊。在他得了诺奖之后,有一次因为美联航机票超售 ...
大类资产早报-20250714
Yong An Qi Huo· 2025-07-14 06:36
Report Overview - Report Date: July 14, 2025 [1] - Report Team: Research Center's Macro Team Global Asset Market Performance 10 - Year Treasury Yields of Major Economies - On July 11, 2025, yields varied widely: US (4.411%), UK (4.621%), etc [2]. - Latest changes ranged from 0.002% (Greece) to 0.060% (US). - One - week changes were between 0.044% (Switzerland) and 0.134% (France). - One - month changes spanned from 0.010% (US) to 0.190% (Germany). - One - year changes varied from - 0.412% (Italy) to 0.450% (UK). 2 - Year Treasury Yields of Major Economies - As of July 11, 2025, yields were as follows: US (3.860%), UK (3.851%), etc [2]. - Latest changes were from - 0.040% (US) to 0.025% (Australia). - One - week changes ranged from - 0.019% (South Korea) to 0.128% (Australia). - One - month changes were between - 0.083% (UK) and 0.140% (Australia). - One - year changes varied from - 1.352% (Italy) to 0.421% (Japan). Dollar Exchange Rates Against Major Emerging Economies' Currencies - On July 11, 2025, exchange rates were: Brazil (5.560), South Africa (17.942), etc [2]. - Latest changes were from 0.10% (Malaysian ringgit) to 1.10% (South African rand). - One - week changes ranged from 0.10% (Malaysian ringgit) to 2.56% (Brazilian real). - One - month changes were between - 0.02% (South African rand) and 2.56% (Brazilian real). - One - year changes varied from - 11.58% (Thai baht) to 0.12% (Brazilian real). Stock Indices of Major Economies - On July 11, 2025, indices included: S&P 500 (6259.750), Dow Jones (44371.510), etc [2]. - Latest changes were from - 0.94% (Spanish index) to 0.60% (Indian index). - One - week changes ranged from - 2.39% (Mexican index) to 3.98% (South Korean index). - One - month changes were between - 1.66% (Indian index) and 6.07% (Nasdaq). - One - year changes varied from - 4.91% (Malaysian index) to 32.01% (German DAX). Credit Bond Indices - Latest changes in credit bond indices were from - 0.49% (US investment - grade) to - 0.03% (Eurozone high - yield) [2][3] - One - week changes ranged from - 0.62% (US investment - grade) to 0.26% (Eurozone high - yield) - One - month changes were between 0.32% (Eurozone investment - grade) and 1.62% (emerging economies high - yield) - One - year changes varied from 5.51% (US investment - grade) to 14.46% (emerging economies high - yield) Stock Index Futures Trading Data Index Performance - Closing prices on July 11, 2025: A - share (3510.18), CSI 300 (4014.81), etc [4] - Percentage changes were from - 0.01% (SSE 50) to 0.80% (ChiNext) Valuation - PE (TTM) values: CSI 300 (13.31), SSE 50 (11.39), etc -环比变化 were from - 0.09% (S&P 500) to 0.21% (CSI 500) Risk Premium - 1/PE - 10 - year interest rate values: S&P 500 (- 0.65), German DAX (2.10) -环比变化 were from - 0.04% (S&P 500) to 0.02% (German DAX) Fund Flows - Latest values: A - shares (75.13), Main Board (- 50.13), etc - 5 - day average values were from - 178.82 (A - shares) to 48.76 (CSI 300) Trading Volume - Latest trading volumes: Shanghai and Shenzhen markets (17121.19), CSI 300 (4437.81), etc -环比变化 were from 184.64 (Small - and Medium - sized Board) to 959.44 (CSI 300) Main Contract Basis - Basis values: IF (- 21.41), IH (- 5.17), IC (- 4.08) - Basis percentages were from - 0.53% (IF) to - 0.07% (IC) Treasury Bond Futures Trading Data - Closing prices on July 11, 2025: T00 (108.830), TF00 (105.995), etc [5] - Percentage changes were from - 0.22% (T01) to - 0.15% (TF01) - Funding rates: R001 (1.4038%), R007 (1.5086%), SHIBOR - 3M (1.5570%) - Daily changes in basis points were from - 12.00 (R001) to 0.00 (SHIBOR - 3M)
日本20年期国债收益率上升12个基点,至2.620%,为2000年10月以来的最高水平。
news flash· 2025-07-14 06:25
日本20年期国债收益率上升12个基点,至2.620%,为2000年10月以来的最高水平。 ...
日本长债收益率持续上行
news flash· 2025-07-14 06:13
日本40年期国债收益率上行16.5个基点至3.49%;20年期国债收益率升至自2000年以来最高水平。 ...