2026 年债市展望：度尽劫波，守候周期 20260105 摘要 2026 年或延续出清阶段，企业部门杠杆率维持高位，政府部门加杠杆， 居民部门负债压力缓解，整体风险偏好有望随新质生产力显现而回升， 并促进资产价值重估。 预计 2026 年通胀温和修复，但总体物价难有趋势性大幅改善。猪周期 或在 2026 年见底回升，能源价格供强需弱格局难改，核心通胀虽有修 复但难以支撑整体通胀大幅上升。 合理的政策组合应为财政和货币双宽松。预计 2026 年广义赤字率维持 在 10%左右水平，货币政策通过小幅降息维持名义利率低位，并运用降 准、MLF 等工具投放流动性。 名义 GDP 增速或接近归零，经济增长更多依赖实际产出提升。需通过财 政货币双宽松稳定总需求，确保资产价格上涨不伴随名义利率明显回升。 2025 年中长期流动性投放积极，预计 2026 年维持宽松。货币政策操 作框架更注重短期利率和资金利率调控，资金面和流动性运行将相对平 稳，呈现"资金的新常态"。 预计 2026 年居民中长期信贷延续回落趋势，信贷增量主要依赖政策推 动的投资需求回升，如新型政策性金融工具扩量。 在陡峭收益率曲线下推荐期限策略，大幅上行概 ...

证券研究报告：固定收益报告 发布时间：2026-01-05 研究所 分析师:梁伟超 SAC 登记编号:S1340523070001 Email:liangweichao@cnpsec.com 分析师:谢鹏 SAC 登记编号:S1340525120001 Email:xiepeng@cnpsec.com 研究助理:王一 SAC 登记编号:S1340125070001 Email:wangyi8@cnpsec.com 近期研究报告 《保险配置的久期刚性与资本约束— —2026 年展望系列八》 - 2025.12.31 固收专题 度尽劫波，守候周期 ————2026 年债券市场展望 ⚫ 债务周期：杠杆率的出清和转移仍将持续 2026 年债券市场运行的核心背景仍是债务周期"出清阶段"的延 续。居民部门债务依旧承压，政府部门继续承担加杠杆职能，宏观杠 杆率呈现"结构分化、总量稳定"的格局。在此背景下，经济与通胀修 复均以温和渐进为主，名义利率需要维持低位来配置债务周期出清， 债券收益率中枢下行空间有限，但大幅上行风险同样可控。 ⚫ 物价形势：通胀对名义增长的拖累或将归零 通胀在 2026 年大概率进入温和修复阶段。CP ...

Group 1: Economic Outlook - Dalio warns that the global economy will face dangerous situations in the next one to two years due to the overlapping cycles of debt, political conflict, and geopolitical tensions [1] - He highlights that the global debt burden is starting to exert pressure on specific market segments, with governments unable to raise taxes or cut benefits, leading to fiscal dilemmas [1] - Political polarization is intensifying, with the rise of left-wing and right-wing populism indicating irreconcilable divisions, especially as the 2026 U.S. midterm elections approach [1] Group 2: Investment Strategy - Dalio compares the current bubble to the 2000 tech bubble but notes it is not as severe as the 1929 crash, emphasizing that investors should not hastily exit AI investments solely due to high valuations [2] - He stresses the importance of identifying substantial signals of bubble bursts, which historically occur during periods of technological upheaval [2] Group 3: Market Pressures - The catalysts for bubble bursts often stem from monetary tightening or forced asset sales to meet debt obligations, with recent warnings from market figures about the AI bubble [3] - Dalio specifically points out the pressures in venture capital, private equity, and commercial real estate, where low-cost debt is facing challenges due to higher interest rates [3] Group 4: Middle East as an Emerging Hub - Dalio likens the rise of certain Middle Eastern countries to Silicon Valley, noting that the region is rapidly becoming one of the most influential AI centers globally [4] - He praises the UAE and neighboring countries for combining vast capital pools with global talent inflows, attracting investment managers and AI innovators [4] - Major projects worth hundreds of billions of dollars have been initiated in the UAE and Saudi Arabia to build cloud computing, data centers, and other AI infrastructure, supported by sovereign wealth capital and global tech partners [4]

Core Insights - Bridgewater has significantly reduced its holdings in Nvidia by 65.3%, from 7.23 million shares to 2.51 million shares as of September 30, indicating a strategic shift towards risk management [1][3][5] - The fund has increased its investment in U.S. large-cap ETFs, with SPY holdings rising by 75.3% to 4.05 million shares, making it the largest position in the portfolio [1][9] - Bridgewater has also reduced its stakes in major tech companies like Google and Meta by 52.6% and 48.3% respectively, while also cutting back on Microsoft and Amazon [1][12] Summary by Category Nvidia Holdings - Bridgewater's holdings in Nvidia have dropped from 7.23 million shares to 2.51 million shares, a reduction of 65.3% [1][3] - This drastic cut follows a significant increase in the previous quarter, suggesting a shift from trend-following to risk management [3][5] U.S. Large-Cap ETFs - The fund has increased its position in SPDR S&P 500 ETF (SPY) by 75.3%, now holding 4.05 million shares, which constitutes 10.62% of the portfolio [1][9] - iShares Core S&P 500 ETF (IVV) has also seen an increase, now making up 6.69% of the portfolio [9][10] Reduction in Tech Holdings - Bridgewater has reduced its holdings in Google by 52.6%, Meta by 48.3%, and Microsoft by 36% [1][12] - The fund has also completely exited positions in 10 significant stocks, including Lyft and Spotify, indicating a broader strategy to divest from non-core assets [12][14] Risk Management Strategy - The adjustments reflect a clear intent to lower industry concentration and avoid overexposure to high-volatility sectors like AI and technology [10][11] - The fund aims to embrace stable cash flows from large-cap stocks during the economic late-cycle phase, which is seen as less risky compared to growth stocks [10][11] Emerging Markets and Other Investments - Bridgewater has continued to lower its exposure to emerging market ETFs, reflecting concerns over their vulnerability amid tightening global liquidity [14] - Despite the overall risk-reduction strategy, the fund has made significant increases in positions in companies like Netflix and MercadoLibre, focusing on firms with strong cash flows and stable earnings [15][16]

1. Report Industry Investment Rating No information provided in the content. 2. Core Viewpoints of the Report - China's de - leveraging is a proactive risk mitigation under high leverage, aiming for a gradual reduction of the corporate sector's leverage at a high level [2][85]. - Policy paths should draw on US and Japanese experiences, with a low probability of a large - scale "flood - irrigation" fiscal environment in China. Monetary policy has room but must prevent capital idling and avoid further increasing leverage and asset bubbles [2]. - China's de - leveraging pace may be between that of the US and Japan, aiming for a "harmonious de - leveraging" by balancing risk disposal and employment maintenance and resolving risks over time [2][89]. - Asset allocation can refer to US and Japanese experiences. Interest rates may rebound during de - leveraging, and low - interest rates are conducive to debt clearance. Asset price increases should interact positively with the de - leveraging process [2][90]. 3. Summary by Relevant Catalogs 3.1 Debt Cycle: The Clearing Phase Continues 3.1.1 Changes in Leverage Ratios of Each Sector Since the New Round of Debt Resolution - Since 1992, China has experienced two complete large - scale debt cycles and is currently in a continuous and fluctuating de - leveraging large - scale cycle since 2008, with four complete small - scale cycles from 2008 - 2021. In 2024, it was in the de - leveraging phase of the small - scale debt cycle after 2021Q4. In the first half of 2025, debt continued to clear, and in the second half, it was expected to restart the leveraging process, with the restart of the corporate debt cycle being the key [11]. - The household sector's de - leveraging process is relatively advanced and may continue to bottom out. The leverage ratio fluctuation item continued to decline in the first half of 2025, and the 9 - month consumer loan subsidy policy may only ease the decline but cannot reverse the trend. In the long run, the household sector may start a new small - scale debt cycle after reaching the bottom, but the time may be postponed [13][14]. - The corporate sector's leverage ratio fluctuation item is oscillating at a high level, and no de - leveraging trend has been formed. Affected by policy support, the leverage ratio fluctuation item has not shown a trend of de - leveraging. Forecasts indicate a further decline with a gentle slope, and credit financing demand remains weak [16]. - The government sector's leverage ratio fluctuation item is expected to continue to oscillate upward. In 2025, the government bond issuance was concentrated in the early stage. Without new policies in the fourth quarter, the leverage ratio fluctuation item may decline. In 2026, the fiscal policy's debt - issuing scale may expand further, driving the government sector's leverage ratio to rise [19]. 3.1.2 Has the Debt Pressure of the Three Sectors Eased? - The household sector's overall de - leveraging has led to a decrease in mortgage - centered debt costs. Policy - driven interest rate cuts and relaxed mortgage conditions have alleviated the debt pressure, but income growth remains under pressure, and de - leveraging continues [24]. - The corporate sector's interest - payment pressure has decreased, but the increase in the leverage ratio has affected the safety margin of corporate operations. Although financial expenses have decreased, the debt ratio has risen again, and the pressure to reduce leverage remains high [26]. - The government sector's cost - control measures have a greater impact than leveraging, and the interest - payment pressure has stabilized. Interest rate cuts have reduced the weighted average cost of national and local debts, but the debt scale is still expanding. Overall, the interest - payment pressure is controllable [30]. 3.2 International Experience: Two "De - leveraging" Paths in Japan and the US 3.2.1 Japan: After the Economic Bubble Burst in the 1990s, De - leveraging Was Long and Passive - The household sector's debt de - leveraging process was slow due to asset shrinkage and high - cost debts. Asset - side housing and financial asset values declined significantly and were not repaired for a long time, and income growth was weak. On the liability side, high - cost debts and deflation pressure made it difficult to de - leverage [39][42]. - The corporate sector's de - leveraging was difficult. The "convoy system" led to the formation of many zombie enterprises, and the slow disposal of non - performing assets made the de - leveraging process long. Enterprises mainly reduced investment and capital expenditure to repay debts, lacking structural adjustments [50][55]. - The government's policy response was ineffective. Monetary policy fell into a liquidity trap, and fiscal policy was inconsistent. Early large - scale stimulus led to a sharp increase in government debt, and later fiscal tightening and policy mistakes weakened the economic recovery momentum [59][60]. 3.2.2 US: Fast - paced, Market - oriented De - leveraging with Policy Coordination for Rapid Clearing - The household sector quickly de - leveraged through default clearance, active debt reduction, and refinancing restructuring. The Fed's low - interest rate policy and government - led mortgage restructuring programs helped reduce debt pressure, and the release of consumption potential promoted economic recovery [68]. - The corporate sector completed de - leveraging through bankruptcy liquidation, restructuring, investment reduction, asset sales, and equity capital supplementation. The leverage ratio decreased significantly and then stabilized [70]. - The government sector increased leverage significantly during the private sector's de - leveraging period, providing support for the economy. Fiscal stimulus and the Fed's balance - sheet expansion helped transfer private - sector risks to the public sector. As the economy recovered, the fiscal deficit narrowed, and government debt stabilized [73]. 3.3 Asset Allocation: Asset Performance During the "De - leveraging" Phase 3.3.1 Japanese Experience: Reasons and Magnitudes of Interest Rate Rebounds During De - leveraging - Interest rates of 10 - year Japanese government bonds rebounded significantly during de - leveraging, mainly due to recovery and re - inflation expectations and fiscal supply - demand mismatches. There were also some 50 - BP rebounds during the in - depth de - leveraging period in the 2010s [75][76]. 3.3.2 US Experience: Asset Price Repair and Wealth Effect During De - leveraging - The rapid repair of asset prices during the household sector's de - leveraging process had a wealth effect, reducing the leverage ratio, improving consumer confidence, and promoting consumption. The Fed's policies also controlled the government's bond - issuing costs [80][82]. 3.3.3 China's Reference: Balancing Economic Stability and De - leveraging - China's de - leveraging is a proactive adjustment under high leverage, different from the passive de - leveraging in the US and Japan. It aims to gradually reduce the corporate sector's leverage and maintain a reasonable household leverage level [85]. - Policy tools should draw on US and Japanese experiences, combining prudent loosening and targeted support to balance economic stability and de - leveraging [87][88]. - China's de - leveraging pace may be between that of the US and Japan, achieving a "harmonious de - leveraging" by actively resolving risks and maintaining employment [89].

Core Viewpoint - The article discusses the impact of economic data releases, Federal Reserve interest rate expectations, and the performance of various asset classes during the National Day holiday period in China, highlighting the mixed performance of domestic real estate and the strong ticket sales in the film industry [4]. Economic Data and Market Performance - The National Day holiday saw a significant increase in domestic tourism, with a total of 291.19 million trips made, although the real estate market showed weak performance with lower transaction volumes [4]. - The total box office for the National Day holiday reached over 1.5 billion yuan, marking a 3.4% increase compared to the same period last year [4]. - The People's Bank of China reported a gold reserve of 74.06 million ounces as of the end of September, continuing a trend of increasing gold holdings for the 11th consecutive month [4]. Asset Class Performance - During the National Day holiday, major global asset classes showed varied performance, with the Nikkei and Bitcoin leading gains, while copper and gold continued their upward trends [4]. - The article provides a detailed breakdown of asset performance from October 1 to October 6, 2025, indicating fluctuations in various indices and commodities [4][5]. Hong Kong Market Insights - The Hong Kong stock market experienced a differentiated rise during the holiday, with the materials sector leading the gains [7]. - Various indices in the Hong Kong market showed different performance levels, reflecting sector-specific trends [8][9].

Core Viewpoint - The article critiques Ray Dalio's understanding of sovereign debt issues, arguing that his microeconomic principles do not apply to sovereign currency nations [3][4][10]. Group 1: Critique of Dalio's Views - The first main point is that microeconomic principles are not applicable to sovereign currency nations, as governments can create their own currency and do not face the same constraints as individuals or companies [3][4]. - The second point is that macroeconomics is not a machine; it is influenced by changing environments and expectations, making it inappropriate to apply a one-size-fits-all approach to economic policy [7][10]. Group 2: Modern Monetary Theory (MMT) Discussion - The article suggests that the arguments presented align closely with Modern Monetary Theory (MMT), which has gained traction in Eastern economic discussions, contrasting with its perception in the West [10][12]. - It emphasizes that the government's ability to spend is not limited by money supply but by real resources, advocating for increased deficits in the context of insufficient domestic demand and excess capacity [13][12]. Group 3: Practical Implications - The article argues for a pragmatic approach to economic theory, suggesting that useful ideas from MMT should be adopted regardless of their traditional classification as heretical [14][15]. - It highlights a global shift towards practical, results-oriented economic thinking, moving away from rigid adherence to Western economic doctrines [15].

Core Viewpoint - The article emphasizes the importance of diversification in personal asset allocation to achieve wealth preservation and growth, rather than engaging in speculation [2][32]. Group 1: Investment Strategies - Ray Dalio suggests that a 10%-15% allocation to gold is an effective balance and risk hedge for an individual's asset portfolio [39]. - Dalio advocates for a diversified investment strategy, highlighting that individuals should not solely rely on savings or real estate, as many people do [2][29]. - The concept of "All Weather Strategy" introduced by Dalio focuses on diversification, risk balance, and rebalancing as key components of asset allocation [3][4]. Group 2: Economic Insights - Dalio discusses the significance of debt cycles, stating that excessive debt can lead to economic distress for both individuals and nations [6][13]. - He points out that the current U.S. debt situation is unsustainable, with government spending significantly exceeding revenue, leading to increased borrowing [19][20]. - The article mentions that many countries, including the U.S., Japan, and China, face varying degrees of debt issues, with similar underlying mechanisms [17][18]. Group 3: Market Dynamics - The dialogue highlights the changing global economic landscape, where investors need to adapt their strategies to manage their portfolios effectively [38]. - Dalio notes that understanding the underlying mechanisms of market movements is crucial for managing investment portfolios [39][42]. - The article suggests that a balanced approach to asset allocation can help investors navigate market fluctuations and economic cycles [30][39].

Core Insights - Ray Dalio emphasizes the importance of diversifying asset portfolios, suggesting a 10%-15% allocation to gold as a balance and risk hedge for individual investors [1][14] - He highlights the structural risks associated with high national debt, rising interest rates, and imbalances in bond supply and demand, using the U.S. as a case study [1][2] - Dalio identifies five driving forces behind the rise and fall of nations: debt/credit/money/economic cycles, domestic political order cycles, international geopolitical cycles, natural forces, and human learning and new technologies [1][2] Debt and Economic Implications - Dalio argues that debt issues are not just economic but also political and social problems, as rising debt servicing costs can lead to economic decline and internal conflict [2][3] - He critiques GDP as a measure of debt scale, advocating for a focus on the relationship between government revenue and debt repayment capacity [2][3] - In discussing China's debt, Dalio notes that it is primarily denominated in local currency and held domestically, providing some policy buffer, but warns of challenges from local government debt and real estate adjustments [2][12] Historical Context and Lessons - Dalio's analysis draws on historical debt cycles, asserting that economic issues often lead to political crises, as seen in the 1930s [3][4] - He emphasizes the importance of understanding historical patterns in debt cycles to inform current economic strategies [4][5] - The discussion includes insights from other experts on the interplay between capital markets, political systems, and global geopolitical dynamics [4][5] Investment Strategies - Dalio advocates for a diversified investment approach, particularly in the context of current economic volatility, suggesting that understanding the underlying mechanisms of asset performance is crucial [13][14] - He stresses the need for individuals to avoid speculative behavior and instead focus on maintaining a balanced asset allocation to mitigate risks [10][11] - The conversation highlights the significance of learning from historical financial principles to navigate contemporary investment challenges [14][15]

Core Insights - The article emphasizes the importance of asset preservation and diversification in personal investment strategies, particularly in the context of changing economic cycles and debt issues faced by countries like China and the U.S. [2][4][30] Group 1: Investment Strategies - Personal investors should focus on diversifying their asset portfolios rather than relying solely on savings or real estate investments, as many individuals tend to do [2][30] - A recommended allocation of 10% to 15% in gold can provide a good balance and risk hedge within an individual's asset portfolio [2][38] - The concept of "All Weather Strategy" proposed by Ray Dalio highlights the significance of diversification, risk balance, and rebalancing in asset allocation [3][4] Group 2: Economic and Debt Cycles - Debt is identified as a critical factor influencing a country's economic success or failure, with historical examples illustrating the consequences of excessive debt [9][10] - The article discusses the cyclical nature of debt and its implications for economic stability, suggesting that when a country struggles to repay its debt, it faces broader economic challenges [9][10] - The current U.S. debt situation is described as unsustainable, with significant implications for future economic policies and stability [17][19][21] Group 3: Recommendations for Investors - Investors are encouraged to understand the underlying mechanisms of market fluctuations and to manage their investment portfolios accordingly [37][40] - The article suggests that individuals should not merely follow investment conclusions but should learn to think independently and develop their own strategies for asset management [39][40] - The importance of recognizing the cyclical nature of debt and its impact on personal and national economies is emphasized, advocating for a diversified approach to mitigate risks [30][38]