Macro Economic Overview - The US job market is experiencing a mild cooling, with June non-farm payrolls increasing by 147,000, a decrease of 73,000 from the previous month [2][3] - The unemployment rate in June stands at 4.1%, down by 0.1 percentage points from May, but the labor force participation rate has dropped to 62.3%, the lowest since 2023, indicating potential overestimation of the unemployment rate [2][3] Asset Allocation Recommendations - The recommended order for asset allocation remains: equities > commodities > bonds > cash [3][4] - The report emphasizes the importance of monitoring the implementation of "incremental" policies for equities and the impact of the "stock-bond seesaw" effect on the bond market [4][39] Market Performance - The Shanghai Composite Index rose by 1.54% this week, with the leading sectors being steel (5.27%), banking (3.78%), and building materials (3.63%) [39][40] - The ten-year government bond yield remained stable at 1.64%, while the ten-year government bond futures increased by 0.04% [12][44] Economic Data Insights - Internet enterprises in China reported a revenue of 773.5 billion yuan in the first five months, a year-on-year growth of 0.9%, while total profits decreased by 2.2% [25] - The construction material inventory increased by 50,000 tons in the week of July 4, indicating a potential rise in supply [26][30] Regulatory Developments - The China Securities Regulatory Commission is focusing on optimizing capital market mechanisms to enhance the efficiency of resource allocation towards high-potential sectors [39][41] - The Ministry of Housing and Urban-Rural Development is emphasizing the need for precise policies to stabilize the real estate market, encouraging local governments to take responsibility [42]

| 乖 亦安期货 | | --- | | . | | --- | | All An LA THE | | CAN CONTRACTOR COLLECTION COLLEGION | | Children Parties Production Comparis Comparis | | | 大类资产早报 研究中心宏观团队 2025/07/07 | | 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 | | 2025/07/04 | 4.348 | 4.553 | 3.278 | 2.606 | 3.442 | 3.220 | 0.391 | 3.284 | | 最新变化 | 0.000 | 0.013 | 0.004 | -0.007 | -0.005 | -0.006 | -0.007 | 0.005 | | 一周变化 | 0. ...

2025 年 07 月 06 日 资产配置报告 投资要点： 本篇报告解决了以下核心问题：1、当前中国宏观经济形势如何；2、当 下最优的大类资产配置策略是什么；3、如何看待和投资红利资产。 最近一年走势 相关报告 《公募 REITs 周报：一级市场项目进展顺利，二级 市场收益承压*林加力》——2025-07-02 《公募 REITs 周报：REITs 迎里程碑事件，首批数 据中心项目获批*林加力》——2025-06-23 《资产配置报告：2025 陆家嘴论坛点评——金融 开放与改革并举*林加力》——2025-06-21 《公募 REITs 周报：REITs 指数延续涨势，产权类 本周走强*林加力》——2025-06-16 《5 月资金流向月报：资金面宽松，科创 ETF 净流 入*徐凝碧，林加力》——2025-06-15 | 研究所： | | | | --- | --- | --- | | 证券分析师： | | 林加力 S0350524100005 | | | | linjl01@ghzq.com.cn | | 联系人 | ： | 许潇琦 S0350125030006 | | | | xuxq01@ghzq.co ...

Group 1 - The core viewpoint of the article indicates that as of the end of June 2025, the signals for stocks, bonds, and gold markets for July 2025 are positive, negative, and positive respectively [1][2] - The macroeconomic environment forecast for Q3 suggests inflation, with both credit spreads and term spreads signaling a narrowing trend [2] - The cumulative return of the industry composite trend factor combination from January 2015 to June 2025 is 86.40%, with an excess return of 40.53%. The factor signal for June 2025 was positive, and the Wind All A monthly return was 4.74% [2]

Core Viewpoint - The article presents a comprehensive analysis of major asset classes based on macroeconomic and technical perspectives, indicating a mixed outlook for equities, bonds, industrial products, and gold [1][3][19]. Macroeconomic Perspective - The macroeconomic view suggests a neutral stance on equity assets, a favorable outlook for bond assets, a negative outlook for industrial products, and a positive outlook for gold assets [5][19]. - Specific macro indicators such as PMI, CPI, and social financing are analyzed to assess their impact on asset performance [6][19]. Technical Perspective - The technical analysis indicates a downward trend for equity and bond assets, while industrial products and gold show an upward trend [9][10][19]. - The article employs various trend indicators to measure the performance of different asset classes, with historical data supporting the current trends [7][10]. Asset Valuation - The equity risk premium (ERP) for the CSI 800 index is reported at 73.74%, indicating that equity valuations are relatively low [12][13]. - The analysis of fund flow shows a net inflow of 915 million yuan into equity assets, suggesting a positive sentiment among investors [15][16]. Asset Allocation Performance Tracking - Historical performance data indicates that a fixed ratio combined with macro and technical indicators yielded a return of 1.06% as of June 2025, with an annualized return of 11.86% since April 2006 [2][20][24]. - Different asset allocation strategies, including risk parity and volatility control, have been evaluated, showing varying returns and risk profiles [25][24]. Summary of Asset Class Scores - The combined scores from macro and technical indicators show equities at 0, bonds at 2, industrial products at 0, and gold at 4, reflecting the overall market sentiment and expected performance [18][19].

Group 1 - The report indicates that in the last month, equities, commodities, and bonds all experienced increases, with equities and commodities rising by 2.50% and 4.03% respectively, while gold decreased by 0.57% [2][10] - The performance of ETFs used in the allocation strategy showed that the CSI 300 ETF, non-ferrous ETF, and energy chemical ETF increased by 2.85%, 3.08%, and 4.37% respectively, while the gold ETF saw a significant decline of 0.75% [2][13] Group 2 - The backtested strategy from January 1, 2014, to the end of last month achieved an annualized return of 7.71%, with an annualized volatility of 3.53% and a maximum drawdown of 3.17%. The Sharpe ratio and Calmar ratio were 2.19 and 2.44 respectively, outperforming risk parity and equal-weighted strategies [3][25] - The strategy without currency assets yielded a return of 0.48% last month, which was lower than both the risk parity strategy and the equal-weighted strategy [3][28] Group 3 - The latest allocation recommendations suggest increasing exposure to equities and commodities, while maintaining a neutral position on bonds and gold. The final weights for equities, government bonds, commodities, and gold are set at 7.01%, 75.01%, 10.90%, and 7.08% respectively [4][32]

Core Viewpoint - The article discusses the evolution of equity proprietary trading in the context of the changing market environment, highlighting the transition towards the "OCI+" strategy as a new starting point for brokers' proprietary trading business [1][3]. Group 1: Historical Evolution of Equity Proprietary Trading - Equity proprietary trading has undergone two significant phases of transformation: the exploration of multi-strategy trading around 2010, and the recent shift towards high-dividend OCI strategies since 2022 [1]. - Major brokers like CITIC Securities and Huatai Securities were early adopters of multi-strategy and quantitative models to achieve stable and neutral returns [1]. - The adoption of high-dividend OCI strategies has become a consensus in the industry, with brokers increasingly diversifying their asset allocations [1]. Group 2: Current Trends and Strategies - As of Q1 2025, the total investment in other equity instruments by listed brokers reached 506.4 billion, with an estimated 200 to 250 billion attributed to high-dividend OCI strategies, representing over 50% of the industry's equity allocation [2]. - The acceleration in adopting high-dividend OCI strategies is driven by changes in market conditions and regulatory constraints on proprietary trading, making it a favorable option for brokers to enhance their balance sheets and yield [2]. Group 3: Future Outlook and Recommendations - The new mission for equity proprietary trading is to achieve high-quality balance sheet expansion, with "OCI+" expected to be a new starting point [3]. - If brokers allocate OCI strategies to 40% of their net capital, the potential incremental growth could reach 497.2 billion, providing stable income through coupon revenue [3]. - Investment recommendations suggest focusing on leading brokers with significant competitive advantages and considering smaller brokers with strong equity proprietary trading flexibility [3].

2025 年 07 月 01 日 持续配置反转因子 —— 量化资产配置月报 202507 - 相关研究 证券分析师 沈思逸 A0230521070001 shensy@swsresearch.com 邓虎 A0230520070003 denghu@swsresearch.com 联系人 沈思逸 (8621)23297818× shensy@swsresearch.com 权 益 量 化 研 究 请务必仔细阅读正文之后的各项信息披露与声明 本研究报告仅通过邮件提供给 中庚基金 使用。1 量 化 策 略 证 券 研 究 报 告 ⚫ 持续配置反转因子。按照定量指标的结果，目前经济回落、流动性略偏松，信用指标转好， 微观映射中经济（盈利预期）好转回到中等，信用转好，微观流动性偏紧，因此仅流动性 触发修正，修正后的方向为经济下行、流动性偏紧而信用转好，修正后的方向与上期维持 一致；由于流动性与信用产生明显背离，我们主要按照对经济不敏感、对信用敏感来选择 得分前三的因子，各股票池配置风格仍偏向成长，300、500 的因子选择与上期保持一致， 无共振因子，中证 1000 的因子选择中增加了短期反转因子，低波动率、短期反转 ...

1. Report Industry Investment Rating - No information provided in the given content 2. Core Viewpoints of the Report - From June 23 to June 27, 2025, with the significant easing of the Middle - East geopolitical situation and the US "Big and Beautiful" bill passing the Senate's procedural vote, the dollar index declined weekly. Globally, stocks and bonds rose while commodities fell significantly. In China, the stock market rose, the bond market fluctuated, and commodities declined. The market's focus shifted to the global macro - economy, and attention should be paid to the progress of US tariff negotiations as the 90 - day tariff exemption period approaches its end [3][6][26] 3. Summary According to Related Catalogs 3.1 Global Major Asset Overall Performance: Stocks and Bonds Rise, Commodities Fall Significantly - **Global Stock Market Overview: Major Stock Markets Rise Universally** - From June 23 to June 27, the cooling of risk - aversion sentiment boosted equity assets. Major global stock markets generally rose, with US stocks leading in gains. Emerging markets underperformed developed markets, and the VIX index remained low. For example, MSCI US rose 3.45% weekly, MSCI Europe rose 3.04%, and MSCI Asia - Pacific rose 3.15% [8][11][12] - **Global Bond Market Overview: Expectations of Dollar Interest Rate Cuts Increase** - Fed Chairman Powell's remarks in the congressional hearing raised expectations of dollar interest rate cuts, causing the yields of medium - and long - term US bonds to decline. The 10 - year US bond yield dropped 9BP to 4.29% weekly. Globally, high - yield bonds > credit bonds > government bonds. For instance, the global high - yield bond index rose 1.10% weekly [15] - **Global Foreign Exchange Market Overview: The Dollar Index Declines Weekly** - Due to the decline in market risk - aversion sentiment and the increase in expectations of dollar interest rate cuts, the dollar index dropped significantly, once falling below the 97 - integer mark. Most non - US currencies appreciated against the dollar, and the RMB exchange rate rose. The dollar index fell 1.52% weekly [16] - **Global Commodity Market Overview: International Oil Prices Drop Sharply** - The easing of geopolitical tensions led to a significant weekly decline in international oil prices and a subsequent correction in international gold prices. Most major agricultural products fell, while non - ferrous metal prices rose. For example, the S&P GSCI Energy Index dropped 10.69% weekly [19][20] 3.2 Domestic Major Asset Performance: Stock Market Rises, Bond Market Fluctuates, Commodities Fall - **Domestic Stock Market Overview: Major A - share Broad - based Indexes Rise Weekly** - With the easing of international geopolitical conflicts, major A - share broad - based indexes rose. The average daily trading volume of the two markets increased compared to the previous week. Growth - style stocks performed outstandingly. Sectors such as comprehensive finance and computer led in gains, while the petroleum and petrochemical sector performed poorly. The Shanghai Composite Index rose 1.91% weekly [22] - **Domestic Bond Market Overview: The Bond Market Fluctuates Narrowly** - From June 23 to June 27, the central bank's net injection in the open - market operations was 126.72 billion yuan. The capital situation was relatively stable overall. The bond market fluctuated weakly. Generally, credit bonds > corporate bonds > government bonds. For example, the ChinaBond Credit Bond Total Wealth (Aggregate) Index rose 0.02% weekly [23] - **Domestic Commodity Market Overview: The Commodity Market Drops Significantly** - The domestic commodity market declined overall. Among major commodity sectors, non - ferrous metals led in gains, while the energy sector performed poorly. For example, the Nanhua Non - Ferrous Metals Index rose 2.71% weekly, while the Nanhua Energy Index dropped 8.78% weekly [24] 3.3 Major Asset Price Outlook: Pay Attention to the Progress of US Tariff Policy - The market's focus has shifted to the global macro - economy. As the 90 - day US tariff exemption period nears its end, attention should be paid to the progress of tariff negotiations [26]

偃旗息鼓:全球风险偏好反弹上行 -- 大类资产配置周度点评(20250630) 王子翌(分析师) 02 -386 /6666 本报告导读: 我们调整此前的战术性大类资产配置观点。我们维持对 A 股的战术性标配观点,维 持对国债的战术性标配观点,下修黄金的战术性配置观点至标配,维持对美元的战 术性低配观点。 投资要点: ne Hill - S 黨略 经济修复节奏以及市场对经济景气的预期相对企稳,权益市场表现 较好在一定程度上限制了债市的相对吸引力。此外,资金利率的不 确定性以及市场对央行操作的高度博弈亦限制了利率的下行动能。 参研究报 请务必阅读正文之后的免责条款部分 策略研究 / 2025.06.30 登记编与 □ 我们维持对 A 股的战术性标配观点。投资者对于政策的不确定性消 除提振市场风险偏好中枢,无风险利率的下行有利于A股表现。定 价资金"以我为主",而对复杂多变的外部宏观背景逐渐钝化。总量 政策层面,财政积极发力、货币政策维持宽松;产业层面,中国科 技的突破有利于企业增加信心并增加资本开支。近期市场对 A 股定 价因子的预期亦相对稳定。 我们维持对国债的战术性标配观点。在融资需求与信贷供给不平衡 D ...