作者：王宪彪 诺德基金债券研究部总监 一、2025年以来债市回顾 2025年以来，国内债券市场整体收益率呈现出"窄幅震荡，调整频繁"的格局。由下图可见，2023年初至 2025年初，10年期国债收益率呈现较明显的下行趋势，相对宽松的资金面和较弱的基本面共同推动了近 两年的债券市场的上涨行情，然而，当前10年期国债收益率似乎触及1.6%附近的阻力点，2025年以来 绝大部分时间在1.63%-1.76%区间波动，且逐步呈现出市场方向转变频率加快的特点。 三季度后，债市持续回调：主要因权益市场投资环境、情绪的修复改善逐步成为国内资本市场的主线， 股债"跷跷板"对债市形成一定抽水效应。一方面，"反内卷"政策预期升温，商品、股市形成更坚定的叙 事逻辑，推动着A股成交量、市值修复至十年来最高，股市投资正反馈加强；另一方面，中央汇金等机 构 "托而不举"的股市调控政策，在股市回调时向宽基ETF投入资金以稳定大盘，对市场情绪的稳定有较 明显的安抚作用。 数据来源：数据来源于WIND，数据截止2025年8月20日，指数（中债国债到期收益率）行情走势不预 示其未来表现，也不代表具体基金产品表现。以上信息仅供参考，不代表任何投资建 ...

Core Viewpoint - There is a limited but noticeable flow of funds from the bond market to the stock market, with pure bond funds experiencing some redemptions, but the expansion of "fixed income +" products still requires bond allocations [1][36]. Group 1: Market Dynamics - The current stock market rise is not driven by demand or corporate earnings but rather by asset allocation and cost-effectiveness logic [2][9]. - Institutions are increasingly reallocating towards equity to meet performance requirements in a low-interest-rate environment, with significant changes in behavior observed across various sectors [2][10]. - The bond market remains under pressure, with macro narratives and low yields contributing to a challenging environment, while the stock market's performance is crucial for bond market dynamics [1][38]. Group 2: Institutional Behavior - Financial institutions are adapting by increasing the issuance of equity-linked products and collaborating more with public funds [2][10]. - Insurance companies are raising their equity investment ratios in line with policy guidance, leading to a significant increase in FVOCI stocks [2][10]. - Pension funds and annuities are beginning to compete on equity allocations, which may introduce volatility in the medium term [2][11]. Group 3: Banking Sector Insights - The banking sector faces potential instability in performance due to increased volatility in the bond market and discussions around balance sheet contraction [3][14]. - Recent trends indicate a "deposit migration" phenomenon, where funds are moving from banks to non-bank financial institutions, impacting the demand for government bonds [3][19]. - Despite concerns about balance sheet contraction, banks are not expected to sell bonds significantly, as their bond investment growth continues [3][27]. Group 4: Money Market Fund Trends - Historical patterns of money market fund redemptions have been linked to stock market surges and shifts in monetary policy, but current conditions do not suggest a significant risk of large-scale redemptions [4][34]. - The liquidity environment remains supportive, with the central bank's stance indicating a commitment to maintaining liquidity, which mitigates the risk of substantial outflows from money market funds [4][34]. Group 5: Future Outlook - The "fixed income +" products are expected to see growth as they provide a viable alternative for funds that cannot directly invest in equities, with innovations in product offerings becoming more pronounced [5][34]. - The bond market is anticipated to face challenges in the short term, but opportunities may arise for strategic positioning as market conditions evolve [38].

Market Overview - The stock market experienced a significant increase last week, with an average trading volume of 29,831 billion CNY, up by 3,957 billion CNY from the previous week[8] - The Shanghai Composite Index rose by 0.84%, while the Shenzhen Component increased by 4.36%[8] - The PMI for August was reported at 49.4%, a slight increase of 0.1 percentage points from the previous month, indicating a widening gap between supply and demand[8] Economic Indicators - In July, industrial enterprise profits decreased by 1.5% year-on-year, but the decline narrowed by 2.8 percentage points compared to June[9] - The cumulative profit for industrial enterprises showed a year-on-year decrease of 1.7%, slightly better than the previous value of -1.8%[9] - The Producer Price Index (PPI) remained unchanged at -3.6% compared to the previous month, while industrial revenue fell by 0.2 percentage points from the previous value[10] Monetary Policy and Market Sentiment - The central bank's liquidity support has returned to a stable and loose state, reducing the pressure on bond yields[8] - The 10-year government bond yield is expected to become attractive if it rises to 1.8%-1.9%[8] - The stock-bond "seesaw" effect has weakened, indicating a shift in market dynamics[8] International Market Dynamics - U.S. stock markets showed volatility, with the Dow Jones down by 0.19% and the S&P 500 down by 0.1%[8] - The 10-year U.S. Treasury yield decreased to 4.23%, while the 2-year yield fell to 3.62%[8] - The offshore RMB appreciated by 492 basis points against the USD, closing at 7.1221[8] Risks and Challenges - There are concerns about the potential for unexpected weakness in the economic fundamentals, which could lead to increased market volatility[8] - The pressure from the White House on the Federal Reserve continues, raising concerns about the independence of the Fed and the uncertainty surrounding interest rate cuts[8]

近期债券市场出现回调，7月中下旬至8月中下旬先震荡后下行，十年期国债利率上破1.7%，市场担忧 会重现2022年理财大规模赎回引发的债市负反馈循环，进而导致债市从牛转熊。但此轮回调并非源于基 本面，更多受情绪面驱动，核心是"股债跷跷板"效应，股市情绪得到提振，对债市形成短期情绪压制与 有限的资金分流，并非债市自身逻辑生变。 从"股债跷跷板"效应影响来看，其对债市中长期冲击有限。当前利率存在超调，回调后债市配置价值凸 显。资金面看，股市对债市资金分流实际有限，银行自营作为债市核心配置力量，受股市虹吸影响极 小；理财规模仍处净买入状态，不会重蹈2022年负循环覆辙；交易型资金虽降久期，但配置型资金正积 极逢低加仓。 回顾近20年四轮债券熊市均具备两大核心特征：一是央行收紧货币政策，二是实体经济修复强劲、融资 需求旺盛。而当前债市不具备牛熊转换基础：基本面方面，7月社零、固投、工业增加值增速下滑，信 贷罕见负增长，经济修复力度偏弱，下半年增速预期偏低；政策面方面，央行二季度货币政策执行报告 延续"保持流动性充裕"表述，下半年流动性宽松基调不变；资金面方面，资产荒逻辑未来有望延续，保 险、银行等仍有刚性配置需求，债市 ...

我们要仔细分析一下为什么会有这一轮债券市场的回调。刚才我们也提到，此轮债券市场的回调更 多是情绪上的，是"股债跷跷板"效应。这个其实也分为两个方面：一方面可能是一些情绪上的扰动，股 票市场的财富效应可能让大家对债券的未来走势预期有所下行；另一方面是资金上的分流，即股票市场 会不会对债券市场产生强大的虹吸效应。 先说结论，从现在的角度来看，无论是"股债跷跷板"效应，还是资金的边际配置改善情况，抑或是 对"反内卷"到下半年宏观政策的分析，我们认为从理性的角度看，这些因素对债券的冲击都相对有限。 目前利率可能存在一定的超调。在这样的背景下，我们认为这样的回调反而是配置债券、进入债券 市场的较好节点。在利率超调之后，现在可能更具配置价值。 首先，股市对于债市资金的分流效应有限，目前更多的是情绪上的压力。虽然现在市场处在比较浓 厚的牛市情绪当中，上证指数正从3700点向3800点迈进，这个时候确实会对债券市场有一定情绪上的影 响。回顾历史，"股债跷跷板"效应也多次出现过。但是，股市和债市的负向影响存在边界，并不会无限 制地蔓延。 从历史经验看，股票上涨目前更多是基于对未来政策以及经济基本面好转的预期。同时，可能会有 一 ...

Core Insights - The report focuses on cross-asset timing strategies for interest rates, systematically backtesting various assets (including stock indices, commodities, and bonds) to identify performance under different market conditions [1]. Group 1: Cross-Asset Rotation Effects - The "stock-bond seesaw" effect arises from shifts in risk appetite, where strong economic expectations lead to capital flowing into equity markets, putting pressure on bond prices and raising yields [2][14]. - The relationship between commodities and bonds is closely tied to inflation expectations, with rising commodity prices typically leading to higher inflation and interest rates, which suppress bond valuations [2][14]. Group 2: Timing Strategies in Commodity and Equity Markets - In equity markets, strategies focused on volatility structures yield higher excess returns compared to trend-based moving average strategies, particularly in high-volatility environments [3]. - For commodities, timing strategies exhibit high odds and low win rates, aligning with the trend-driven nature of commodity trading. Multi-signal strategies outperform in various market conditions due to their adaptability [3][51]. Group 3: Cross-Asset Timing Strategies - The report employs a "cross-validation signal triggering method" for each asset, enhancing the robustness of cross-asset timing strategies. The "look at stocks, trade bonds" and "look at commodities, trade bonds" approaches aim to mitigate drawdowns while maintaining excess returns [4][86]. Group 4: Future Optimization Outlook - A dynamic weighting mechanism is proposed to adjust the importance of different market signals based on macroeconomic conditions, enhancing the adaptability of strategies over time [5]. - The report suggests exploring pair trading strategies in the foreign exchange market to provide additional support for cross-asset trading logic [5].

Core Viewpoint - The article discusses the implications of the Federal Reserve's shift towards a dovish stance, indicating a potential interest rate cut in September, which may lead to a temporary easing of dollar liquidity and impact various asset classes positively [2][4][6]. Group 1: Federal Reserve and Inflation Outlook - The Federal Reserve's recent comments suggest a preference for stabilizing growth over controlling inflation, which may reduce recession risks but increase stagflation risks [4]. - Market expectations for a September rate cut have risen to 86%, reflecting investor sentiment towards a more accommodative monetary policy [2]. - The article predicts that inflation in the U.S. may have reached an upward turning point, with an expected upward cycle lasting nearly a year [4][6]. Group 2: Market Reactions and Asset Performance - Historical data indicates that during periods of "inflation rising + growth declining," the dollar typically depreciates, U.S. Treasury yields decline, and gold prices increase, while stock market performance can be mixed [6]. - The article highlights that the current liquidity in the U.S. market is robust, with bank reserves significantly higher than during the 2019 liquidity crisis, which reduces liquidity risks [13][15]. Group 3: China’s Economic Environment - China's fiscal policies have been proactive, enhancing macro liquidity and shifting it towards the stock market, which has improved market sentiment and reduced downside risks for equities [18][21]. - The article notes that the correlation between stocks and bonds in China may turn negative in a low-inflation environment, leading to a "stock-bond seesaw" effect [24]. Group 4: Investment Recommendations - The article recommends overweighting A-shares and Hong Kong stocks, maintaining a standard allocation to U.S. and Chinese bonds, and adjusting U.S. stocks from underweight to standard weight due to improved liquidity conditions [29][42]. - It emphasizes the potential for gold to perform well in a declining interest rate environment, suggesting a continued overweight position in gold [34][40].

就一级市场的发行成本来看，上周（8月18日至22日）各等级新债发行成本环比全面大幅上行。举例来 看，AAA、AA+级信用债的平均票息为2.23%、2.59%，相比前一周分别跳涨了10bp、13bp。 不仅如此，上周各等级、各期限信用债估值亦全面调整（幅度在5bp至8bp之间），上行斜率增大，信用 利差开始走阔，尤其是短端信用债，补跌幅度较大，出乎市场意料。再就二级市场的成交情况而言，信 用债流动性进一步下滑，换手率环比下行了0.09个百分点至1.64%。 新华财经上海8月28日电（记者杨溢仁）近期，信用债市场全面调整，且出现了明显的补跌特征，看空 情绪集中释放。 伴随市场担忧情绪的升温，债市会否就此"牛熊切换"？ 分析人士认为，各机构无需过于悲观，甚至在负面情绪集中释放后可以重新增配信用债。当前，短端信 用债依然是确定性最强的品种——毕竟市场对待久期依然非常谨慎。考虑到市场中的配置需求仍在，叠 加资金面稳中有松——税期扰动结束后资金面整体平稳，目前建议各机构继续关注信用债市场补跌后的 参与机会。 信用债呈现"补跌"行情 显然，前期表现坚挺的信用债市场终于开启了"补跌"模式。 "短期来看，市场风险偏好提振对债市 ...

Group 1 - The core viewpoint of the news is that the bond futures market is experiencing a significant decline, influenced by a shift of funds from the bond market to the stock market due to a V-shaped rebound in A-shares and rising inflation expectations driven by domestic policies [1][2][3] - As of August 28, the 30-year main contract fell by 0.72%, the 10-year main contract fell by 0.19%, and the yields on major government bonds increased, with the 10-year government bond yield rising by 2.15 basis points to 1.7865% [1][2] - The bond market adjustment shows that short-term bonds have smaller declines while long-term and ultra-long-term bonds experience larger drops, indicating a close correlation between long bonds and the stock market [3] Group 2 - Analysts suggest that the current bond market adjustment is primarily driven by sentiment and changes in fund flows rather than a deterioration in the fundamentals, with a steepening yield curve indicating concerns over long-term inflation and fiscal pressures [3] - In the context of a strong stock market, the bond market is expected to remain weak in the short term, with potential for repeated bottom testing [3] - Investment strategies recommended include cautious observation for conservative investors, while aggressive investors may consider small positions for bottom-fishing, and combining bond investments with stock market strategies to hedge against potential downturns [4]

矫枉必须过正，不过正不能矫枉。反转，必须有扭转乾坤之势。突破后要 快速远离阻力位，把原趋势力量的嚣张气焰狠狠地给打下去，先打出一定的战 略空间。 ——笔记哥《交易》 【笔记20250828— 股民不寒而栗，债农寒风刺骨（-股市午后强势反弹-外媒称中国计划削减钢铁产量+资金面均衡偏松=中上)】 资金面均衡偏松，长债收益率明显上行。 央行公开市场开展4161亿元7天期逆回购操作，今日有2530亿元逆回购到期，净投放1631亿元。 资金面均衡偏松，资金利率平稳，DR001在1.31%附近，DR007在1.54%附近。 -------------------------- 今天"股债跷跷板"效应似乎又失灵了，据说逻辑是：股跌了意味着快要涨了，债先跌；股涨了意味着还要涨，债更跌。股民：当我看到沪指跌1%的时候 债都不涨，我就知道该抄底了，果然沪指收盘涨超1%，是谓"看债做股"！ 今日寒武纪涨超15%，股价再度碾压茅台，股民只是"不寒而栗"（形容因不持有寒武纪而惶恐不安的样子），债农却已是"寒风刺骨"，只盼着10Y国债利 率能死守1.80%别破防。 -------------------------- 【今日盘面】 25 ...