宏观经济 | 证券研究报告 — 总量周报 2025 年 6 月 9 日 周度金融市场跟踪 中美元首通电话，本周股市普遍上涨；债券市场 先抑后扬，窄幅震荡（ 6 月 2 日 -6 月 6 ） 中银国际证券股份有限公司 具备证券投资咨询业务资格 宏观经济 证券分析师：郭军 (8610)66229081 jun.guo@bocichina.com 证券投资咨询业务证书编号：S1300519070001 证券分析师：李晨希 chenxi.li@bocichina.com 证券投资咨询业务证书编号：S1300525010002 股票方面，本周 A 股迎来普涨，小盘股继续跑赢大盘股。全周累计看，沪深 300 本 周上涨 0.9%，中证 2000 上涨 2.3%。港股恒生指数本周上涨 2.2%。行业方面，本周 31 个一级行业有 26 个上涨，通信、有色金属和电子行业领涨，家用电器、食品饮料 2 个消费类行业领跌。医药行业本周上涨 1.1%连续 7 周上涨。周内看，本周由于端 午假期仅 4 个交易日。美东时间 6 月 1 日中午新闻报道白宫国家经济委员会主任哈西 特在接受采访时表示预计中美元首将于本周就关税问题进行会谈。周 ...

Group 1: Global Capital Market and Investment Strategies - The global capital market is experiencing increased volatility, prompting international insurance capital to reassess their asset allocation strategies [1][2] - Chinese assets have become more attractive to international long-term funds, with the MSCI China Index rising nearly 13% year-to-date as of the end of May [1] - Long-term investors focus on a 10 to 20-year outlook, seeking stability and certainty in their investments, despite short-term market fluctuations [1][8] Group 2: Investment Preferences and Asset Allocation - International long-term funds prefer a "barbell strategy" in China, investing in high-dividend stocks of large state-owned enterprises and emerging technology sectors such as AI and semiconductors [1][8] - In the technology sector, insurance capital seeks certainty amid uncertainty, with a focus on leading companies in the power and copper industries due to rising demand from AI developments [2][8] - The demand for alternative assets is increasing within the insurance industry, particularly in the Asian market, as firms look for new investment opportunities [2][4] Group 3: Gold Investment and Risk Management - Chinese insurance capital has officially entered the gold market, with potential holdings estimated to reach between 208 tons and 555 tons, accounting for less than 2% of global gold demand [3] - Insurance capital follows a "three no-investment" principle, avoiding assets that cannot be managed for risk, priced, or exited easily, which raises concerns about gold's suitability for investment [3][7] - The long-term outlook for gold is positive due to its status as a safe asset, driven by demand for security and expectations of currency devaluation [2][7] Group 4: Impact of Interest Rates and Economic Conditions - Rising U.S. Treasury yields are viewed positively by insurance capital, as they allow for higher returns on premium income and improve solvency calculations [5] - The long-term trend in interest rates is expected to be downward due to technological advancements that reduce production costs and alleviate inflationary pressures [5][6] - The recent downgrade of the U.S. sovereign credit rating is not expected to have a significant disruptive impact on global investment patterns, as demand for safe assets remains strong [6] Group 5: Chinese Market Opportunities - International long-term funds maintain interest in Chinese assets, with a focus on stability and long-term growth potential [8][10] - The healthcare sector in China is highlighted as a significant growth area, with innovations in pharmaceuticals and medical devices gaining global traction [10][11] - Overall, there are structural opportunities in Chinese assets, particularly as lower interest rates reduce financing costs and support stock market growth [11]

对于股票投资者而言，债券ETF并非核心配置，但在特定市场环境下可作为有效的补充工具。当股市处 于高估值区间或缺乏明确主线时，将部分资金转向债券ETF既能降低组合波动率，又能通过利息收入实 现时间换空间，以达到闲置资金增加低风险收益的目的。 债券ETF获得资金的追捧，从本质讲，债券ETF属于风险厌恶型投资者的投资品种，股票投资者往往追 求更高的投资收益，但如果在没有合适投资机会的时候，短期投资债券ETF也可以作为补充交易策略， 成为增收的途径。 债券ETF是跟踪债券指数的交易型开放式基金，其底层资产多为国债、政策性金融债、地方政府债等低 风险债券。相较于直接投资债券，债券ETF通过分散化配置降低了单一债券违约风险，同时通过T+0交 易机制实现了资金的即时流动。同时，债券ETF的管理费率普遍低于主动管理型债券基金，且交易成本 低廉，进一步提升了其性价比。 对于风险厌恶型投资者，债券ETF的收益主要来自债券利息与交易价差。尽管其长期收益可能不及股票 ETF，但胜在收益稳定性强、回撤风险低。例如，可转债ETF虽具备股债双性，但其抗跌属性使其在股 市下跌时仍能提供正收益，成为保守型投资者的避风港。 债券ETF的崛起并非 ...

Core Viewpoint - The recent decline in government bond futures and the drop in deposit rates signal a new phase in China's interest rate marketization, presenting both opportunities and risks for the bond market [3][4]. Group 1: Market Performance - As of May 29, 2025, government bond futures collectively fell, with the 30-year main contract down 0.58%, the 10-year down 0.25%, the 5-year down 0.16%, and the 2-year down 0.05% [3]. - The 30-year government bond ETF (博时) saw a decrease of 0.57%, with the latest price at 110.86 yuan, indicating active market trading with a turnover of 17.94% and a transaction volume of 1.288 billion yuan [3]. - The 30-year government bond ETF has reached a new high in size at 7.197 billion yuan and a new high in shares at 64.6597 million [4]. Group 2: Fund Flows and Performance - The 30-year government bond ETF has experienced continuous net inflows over the past six days, with a maximum single-day net inflow of 202 million yuan, totaling 503 million yuan, averaging 83.7532 million yuan per day [4]. - The ETF's net value increased by 14.13% over the past year, ranking 3rd out of 378 in the index bond fund category, placing it in the top 0.79% [4]. - The ETF has a maximum monthly return of 5.35% since inception, with the longest consecutive monthly gains being four months and the longest gain percentage at 10.58% [4]. Group 3: Risk and Fees - The 30-year government bond ETF has a Sharpe ratio of 1.02 for the past year, indicating a favorable risk-adjusted return [5]. - The maximum drawdown since inception is 6.89%, with a relative benchmark drawdown of 1.28% [5]. - The management fee for the ETF is 0.15%, and the custody fee is 0.05%, contributing to its overall cost structure [5].

Core Viewpoint - The reduction of tariffs between the US and China is expected to significantly improve market sentiment and economic growth expectations, particularly benefiting export-related industries and sectors that have previously undergone substantial adjustments [1][2][4]. Group 1: Tariff Reduction Impact - The US has reduced tariffs on Chinese goods from 145% to 30%, with specific adjustments made in February, March, and May [4][5]. - China has reciprocated by suspending its 24% tariffs on US goods, lowering the tax rate from 125% to 10% [4][5]. - The tariff reductions exceed market expectations, indicating a potential for improved trade relations [3][4]. Group 2: Industry Beneficiaries - Export-related industries such as new energy, machinery, and home appliances are expected to benefit directly from improved export channels and revised profit expectations [2]. - The TMT sector (telecommunications, media, and technology) is also likely to see a recovery due to improved market sentiment and increased trading activity [2]. Group 3: Market Dynamics - The "see-saw" effect between stocks and bonds may lead some investors to shift funds towards equity markets, increasing pressure on interest rate bonds [2]. - The reduction in tariffs is anticipated to boost China's economic growth expectations, which may result in a phase of adjustment for long-term interest rate bonds [2].

宏观经济 | 证券研究报告 — 总量周报 2025 年 5 月 11 日 周度金融市场跟踪 本周 A 股呈现普涨行情，债市震荡分化走陡 （ 5 月 5 日 -5 月 9 日） 股票方面，五一节后本周 A 股 4 个交易日，呈现普涨行情，其中小盘股走势更强。 全周累计看，沪深 300 上涨 2.0%、中证1000 上涨 2.2%、中证 2000 上涨 3.6%、微盘 股指数上涨 5.7%，已是连续 4 周上涨。港股恒生指数上涨 1.6%，恒生科技指数下跌 1.2%。行业方面，本周 31 个一级行业指数本周全部收涨，国防军工、通信和电力设 备领涨。周内看，5 月 2 日商务部表示美方近期通过相关方面多次主动向中方传递信 息，希望与中方谈起来。对此，中方正在进行评估。受此新闻影响，周二（5 月 6 日） 市场高开高走，当天超 4900 只个股上涨。周三（5 月 7 日）早晨外交部公告何立峰 副总理将于 5 月 9 日-12 日访问瑞士，期间与美方举行会谈。当天上午九点国新办召 开新闻发布会，介绍"一揽子金融政策支持稳市场稳预期"有关情况，发布会上人民 银行潘行长公布了包括降准降息在内的三大类共十项货币政策措施。当天 ...

Core Viewpoint - The People's Bank of China announced a reduction in the reserve requirement ratio and policy interest rates, leading to a notable divergence in short-term and long-term bond yields in the market [1][2]. Group 1: Policy Changes - The People's Bank of China lowered the reserve requirement ratio by 0.5 percentage points and the policy interest rate by 0.1 percentage points, introducing a total of ten measures to stabilize growth [1]. - Following the announcement, the 1-year government bond yield decreased by 1.75 basis points to 1.445%, while the 30-year bond yield increased by 2.45 basis points to 1.887% [1]. Group 2: Market Reactions - The bond market exhibited a clear divergence, with short-term rates continuing to decline due to improved liquidity from the policy changes, while long-term rates faced upward pressure from profit-taking sentiment [1][2]. - Market analysts noted that the short-term bond prices benefited from the liquidity injection, alleviating previous negative interest rate differentials, while long-term bonds were influenced by a shift in trading logic from "buying expectations" to "selling realities" [1]. Group 3: Historical Context and Expectations - Historical data indicates that after similar policy implementations, short-term bond yields typically decline, while long-term yields may show mixed results depending on macroeconomic conditions and policy expectations [2]. - The 7-day reverse repurchase rate was lowered to 1.4%, with expectations that secondary market repo rates will gradually align with this figure, potentially easing the yield inversion between bonds and repo rates [2].

Group 1 - In March, the bond market issued a total of 8.74 trillion yuan in various bonds, with government bonds accounting for 1.28 trillion yuan, local government bonds 978.8 billion yuan, and financial bonds 1.02 trillion yuan [1] - The total custody balance of the bond market reached 183.1 trillion yuan by the end of March, with 161.8 trillion yuan in the interbank market and 21.3 trillion yuan in the exchange market [1] - The increase in bond underwriting business may boost the income expectations of brokerage investment banks, while the surge in local government bonds could accelerate the funding pace for infrastructure projects [1] Group 2 - The People's Bank of China held a meeting to implement the overall statistical system for the financial "Five Major Articles," emphasizing the importance of data governance and quality management [2] - Financial institutions are required to enhance their data governance capabilities, which may lead to industry differentiation, with new energy and technology sectors receiving more precise financing support [2] - This initiative aims to solidify the achievements of financial supply-side reforms and provide structural policy guidance for the capital market, ultimately optimizing the financial support framework for economic transformation [2] Group 3 - On April 29, the People's Bank of China conducted a 7-day reverse repurchase operation of 3.405 trillion yuan, maintaining the operation rate at 1.50% [3] - The net injection of 120 billion yuan on that day helps maintain reasonable liquidity and stabilizes the funding environment for sectors sensitive to capital, such as infrastructure and consumption [3] - The neutral and slightly loose liquidity in the interbank market is favorable for bond market allocation demand and creates a stable funding environment for the capital market [3] Group 4 - Tianmao Group announced a delay in the release of its 2024 annual report and 2025 Q1 report due to the need for further information, which may not be disclosed by the legal deadline [4] - Following the announcement, Tianmao Group's stock price fell to 3.04 yuan per share, resulting in a total market value decrease to 15 billion yuan [4] - The insurance sector may face a restructuring of valuation systems, with companies relying on short-term financial products potentially under pressure [4] Group 5 - The offshore yuan strengthened against the US dollar, breaking the 7.27 mark, with a peak of 7.2647 during the trading session [5] - The stability of the yuan exchange rate may enhance foreign investment interest in yuan-denominated assets, particularly in consumer blue chips and high-dividend stocks [6] - Increased demand for liquidity management in the interbank market may arise from the active cross-border capital flows [6]

Report Summary 1) Report Industry Investment Rating No relevant content provided. 2) Core Viewpoints of the Report - In the first quarter of 2025, the unilateral upward trend of treasury bond futures did not continue. After February, the stock - bond seesaw effect was obvious, and treasury bond futures continued to decline. However, the demand for treasury bond futures from public funds increased, and the position - holding intensity increased significantly [3][4]. - By the end of the first quarter, the number of public fund companies participating in treasury bond futures increased to 56, and the number of public products allocating treasury bond futures increased to 154, reaching a record high. The long and short positions increased by a similar amount. The long - position market value of public products doubled to 9.7 billion, and the short - position market value returned to over 10 billion, with the total long - and short - position market value also hitting a record high [3][4]. - By the end of March 2025, the overall market scale increased significantly, with the total position volume reaching 591,482 lots (unilateral calculation), and the quarterly growth rate was as high as 19%. The long - position volume of public funds was 8,819 lots, accounting for 1.5% of the market, a record high, and the short - position volume increased to 8,258 lots, accounting for 1.4% of the market [3][9]. - In terms of varieties, the long positions of TL, T, and TF increased in the first quarter, with T and TF having the largest increases. The long - position demand was relatively dispersed. In the short positions, the market values of TL and T increased, while those of TF and TS decreased. The short - hedging demand was more reflected in the long - term varieties. In terms of position - holding terms, both long and short positions still mainly focused on the current - quarter (June) contracts [3][9]. - By fund type, the number of products using treasury bond futures in each category increased significantly. However, the growth in position - holding scale mainly came from medium - and long - term pure - bond funds and hybrid bond - type secondary funds. The position increase was mainly concentrated in the long - position demand for treasury bond futures. The combined long - position scale of the two types of funds increased by more than 5 billion, while the combined short - position increase was only about 1 billion. The other category funds changed little compared with the end of the previous quarter [3][15]. - In the first quarter, the net - value growth of bond funds slowed down slightly. On average, the net - value increase of bond - type funds in the first quarter was about 0.02%. Most of the public products allocating treasury bond futures recorded positive returns. The average quarterly net - value growth of public funds with large long and short positions in treasury bond futures was 0.35% and 0.39% respectively [3]. 3) Summary by Relevant Catalogs Overall Market Situation - The overall market scale increased significantly in the first quarter of 2025. The total position volume was 591,482 lots (unilateral calculation), with a quarterly growth rate of 19% [3][9]. Public Fund Participation - The number of public fund companies participating in treasury bond futures increased to 56, and the number of public products allocating treasury bond futures increased to 154, a record high [3][4]. - The long - position market value of public products doubled to 9.7 billion, and the short - position market value returned to over 10 billion, with the total long - and short - position market value also hitting a record high [3][4]. Position - Holding Volume and Market Share - The long - position volume of public funds was 8,819 lots, accounting for 1.5% of the market, a record high. The short - position volume increased to 8,258 lots, accounting for 1.4% of the market [3][9]. Variety Analysis - Long - position growth was concentrated in T and TF, and short - position growth was concentrated in TL and T. The long - position demand was relatively dispersed, and the short - hedging demand was more reflected in long - term varieties [3][9]. Fund Type Analysis - Each category of funds saw a significant increase in the number of products using treasury bond futures. The growth in position - holding scale mainly came from medium - and long - term pure - bond funds and hybrid bond - type secondary funds. The long - position scale of these two types of funds increased by more than 5 billion, while the short - position increase was only about 1 billion [3][15]. Performance Analysis - The net - value growth of bond funds slowed down slightly in the first quarter, with an average increase of about 0.02%. Most public products allocating treasury bond futures recorded positive returns, and the average quarterly net - value growth of public funds with large long and short positions in treasury bond futures was 0.35% and 0.39% respectively [3].

如果第一次调整没有跑掉时，你会去找各种看多的理由，期待价格再涨回去，而当上涨后，你就会很害怕上次的回撤再次发现，所以，你又开始主动收集 一些利空的消息，生怕再来一次。 ——笔记哥《应对》 【笔记20250421— 盛世古董，乱世黄金（-LPR按兵不动-股市表现偏强-资金面边际收敛=中上)】 资金面边际收敛，长债收益率明显上行。 央行公开市场开展1760亿元7天期逆回购操作，今日有430亿元逆回购到期，此外国库现金定存中标1000亿元，合计净投放2330亿元。 税期走款，资金面边际收敛，资金价格小幅上行，DR001上至1.72%附近。 【今日盘面】 250004 1.6450/1.6650/1.6450/1.6630 +1.55 250205 1.7000/1.7155/1.6990/1.7140 +1.40 4月LPR报价维持不变、符合预期，股市偏强，资金价格小升，债市利率震荡上行。 周末宏观消息面平静，早盘债市情绪平稳，10Y国债利率基本平开在1.645%后震荡。4月LPR报价按兵不动，符合大多数投资者预期。股市表现偏强，股 债跷跷板效应较为明显，叠加税期走款资金面边际收敛，10Y国债利率震荡上行至1.66 ...