戴康 CFA 广发证券发展研究中心 董事总经理（MD）、首席资产研究官 邮箱：daikang@gf.com.cn 报告摘要 ● 全球大类资产表现与宏观交易主线：（8.11-8.19），权益类资产明显跑赢大宗商品与债券，投资者策略上倾向继 续增加权益风险敞口，而债市则保持防守与等待。 从宏观层面看，全球市场风险偏好中枢波动抬升，但有边际回落 扰动需要关注。国际市场方面，前期美俄会谈促进风险偏好回升，同时通胀数据披露后市场对美联储9月降息的预期 抬升，但8月19日晚间受本周五鲍威尔将在全球央行年会讲话的避险预期抢跑影响，美国市场的降息预期有所回落， 市场有较大震荡，同时受MIT的AI泡沫报告与Altman的AI泡沫言论影响，美股科技板块有较大回撤，市场情绪有边 际恶化倾向。国内市场方面，当前市场在外部环境较缓和背景下，视线更多集中在居民"存款搬家"现象下国内权益 市场的优异表现。国内"反内卷"政策成效逐步显现，加之关税忧虑略有缓解、地缘冲突缓和迹象，提振了整体风险 偏好，股债跷跷板行情演绎，"存款搬家"进入股市大背景下，国内债市行情整体偏弱。另外，提醒关注本周香港 Hibor利率快速回升使得港币流动性收紧及港币兑 ...

Group 1 - The core viewpoint of the article highlights the impact of renewed recession concerns in the US and tariff disruptions on global risk assets, leading to a decline in industrial metals and equities, while safe-haven assets like gold and US Treasuries have risen [3][4] - The article discusses the "global barbell strategy" as the optimal response for asset allocation in a fragile era, emphasizing the need for a diversified approach that includes Chinese government bonds, US short-term Treasuries, and high-dividend stocks in China, among others [4][11] - It notes that the Chinese risk assets have outperformed those in the US, with the Shanghai Composite Index continuing its upward trend supported by liquidity easing [3][4] Group 2 - The article outlines key economic data and events scheduled from August 10 to August 24, including important indicators such as the US CPI and Eurozone GDP [12][15] - It provides a detailed tracking of global asset dynamics, indicating a widening SOFR-OIS spread and a decline in the US financial conditions index, reflecting a tightening of overall financial conditions in the US [18][20] - The article mentions that the US consumer confidence index has shown fluctuations, which typically correlates with increased volatility in US equities [28][31]

Group 1 - The core viewpoint of the article highlights the differentiated performance of global major asset classes, with Chinese equity assets leading the rise and industrial metals experiencing a broad increase due to domestic policies and infrastructure plans [3][4] - The "global barbell strategy" is proposed as the optimal response for asset allocation in the context of a changing investment paradigm, emphasizing a mix of Chinese interest rate bonds, US short-term treasuries, and high-quality growth stocks [4][8] - Recent data indicates a widening SOFR-OIS spread, reflecting tightening liquidity in the US repo market, and a decline in the US financial conditions index, suggesting a deterioration in overall financial conditions [4][14] Group 2 - The tactical approach suggests that the current market resembles a micro-version of the 2014-2015 A-share market, characterized by weak economic conditions, low interest rates, and supportive policies, with domestic capital driving the market [8][29] - The article emphasizes the importance of monitoring key economic indicators, such as China's industrial enterprise profits and the US ADP employment change, which are crucial for understanding market dynamics [11][12] - The focus on high-quality growth stocks aligns with the trend of residents reallocating savings into the stock market, favoring thematic investments that meet high-quality development directions [4][8]

Introduction - The current global environment is characterized by a "chaotic period" as the old order is being disrupted and the new order is not yet clear [3][11] - The recommended asset allocation strategy is a "global barbell strategy" that is anti-fragile and based on an all-weather approach [3][11] 2025H1 Overseas Asset Market Review - The narrative of American exceptionalism is fading, facing three major challenges: the emergence of Deepseek affecting US-China tech narratives, concerns over fiscal tightening due to Musk's Doge initiative, and uncertainties from tariff policies [3][12] - Non-US assets have generally outperformed US assets in the first half of 2025 [12] Winning Probability - Global growth is expected to slow down in the second half of 2025, with the growth momentum between the US and non-US regions likely to converge [15] - Factors causing marginal changes include policy uncertainty damaging market confidence and delayed expectations for Federal Reserve rate cuts [24] - The overall economic headwinds for the US may ease compared to the first half of the year, but recession risks remain [44] Odds - US assets are currently overvalued compared to non-US assets, indicating asymmetric risks [5][45] - The implied risk pricing for US assets does not adequately reflect the potential for recession, suggesting a need for caution [45][46] Outlook for 2025H2: Global Asset Allocation - The global asset allocation should still follow the anti-fragile "barbell strategy," focusing on three core contradictions: de-globalization, debt cycles, and AI industry trends [72][75] - The strategy involves investing in a majority of low-risk assets while allocating a smaller portion to high-risk, high-reward assets [75] - Specific recommendations include over-allocating to Chinese government bonds and emerging markets in Southeast Asia, while maintaining a cautious stance on US equities due to potential volatility [75][88][104]

Core Viewpoint - The current transition between old and new orders is in a "chaotic period," suggesting that a "global barbell strategy" based on an all-weather approach is recommended for portfolio construction, focusing on Chinese assets for the second half of the year [3][10][14]. Group 1: Overview of the Current Situation - The core contradiction in the domestic macroeconomic environment remains the debt cycle, with China having passed the peak of the current debt cycle and entering a contraction phase [3][27]. - The transition from "passive leverage" to "de-leveraging" is ongoing, characterized by a decrease in total debt service relative to GDP while total debt remains elevated [3][37]. Group 2: Historical Context and Credit Pulse Conditions - Historical analysis indicates that conditions triggering credit pulses during debt contraction periods include a significant easing of monetary policy, which can alleviate the debt burden on the private sector [4][38]. - The relationship between nominal GDP growth and policy interest rates serves as a leading indicator for economic conditions, with a stable or expanding gap between the two indicating potential internal demand stimulation [38][39]. Group 3: Investment Strategy for the Second Half - The focus for Chinese assets should be on maximizing the "win rate," with fixed income expected to outperform equities and commodities during the debt contraction phase [6][61]. - The strategic asset allocation should favor high dividend and high-value factors while reducing exposure to high-growth factors in the A-share market [73][74]. Group 4: Risk and Pricing Assessment - The overall pricing of Chinese assets appears reasonable, with the equity risk premium (ERP) reflecting the structural transformation of the economy [48][59]. - The current yield curve should steepen, with short-term rates expected to decline more than long-term rates, indicating better value in short-term debt [52][53].

Global Macro Trends - Recent performance of global asset classes has shown divergence, with a significant rebound in the US dollar index and a general decline in commodities, while emerging markets have outperformed developed markets [3][8]. Asset Allocation Strategy - The "Global Barbell Strategy" is proposed as the optimal response to the evolving global asset allocation landscape, emphasizing the need for long-term investors to understand the reshaping of world order and assess the cost-effectiveness of various assets [4][11]. - The strategy is influenced by three underlying logics: increasing de-globalization, misalignment in debt cycles, and trends in the AI industry. The focus remains on an all-weather strategy that adjusts for asymmetrical pricing risks [4][11]. - A statistical analysis of historical asset volatility during US recession periods has been conducted, ranking assets by their volatility amplification factors. The order is as follows: Nasdaq, India SENSEX30, Hang Seng Tech, US Treasuries, Gold, China Bonds, Bitcoin, Convertible Bonds, and A-share dividends [4][11]. - Adjustments to asset allocation weights have been made based on the revised volatility factors, increasing the weight of Chinese convertible bonds and A-share dividends while decreasing the weight of Nasdaq, India SENSEX30, and Hang Seng Tech [4][11]. Economic Indicators and Data - The US financial conditions index has shown improvement, indicating a relaxation in overall financial conditions [5][17]. - The Citigroup US Economic Surprise Index has recorded positive values, suggesting that economic data has been exceeding market expectations [5][19]. - There is an increase in economic policy uncertainty in the US, which has negatively impacted consumer confidence [5][28]. - Historical trends indicate that deteriorating consumer confidence in the US often leads to increased volatility in the stock market [5][31]. Upcoming Economic Events - A calendar of significant upcoming economic data releases and events has been outlined, including consumer confidence indices, interest rate decisions, and GDP reports from various regions [14].

Core Viewpoint - The current transition between old and new orders is in a "chaotic period," suggesting a need for a "global barbell strategy" for asset allocation, focusing on Chinese assets in the second half of the year [3][10][14]. Group 1: Overview of the Current Situation - The core contradiction in China's macroeconomic environment remains the debt cycle, with the country having passed the peak of the current debt cycle and entering a contraction phase [3][27]. - The transition from "passive leverage" to "de-leveraging" is ongoing, characterized by a decrease in total debt service relative to GDP while total debt increases [3][37]. Group 2: Historical Context and Credit Pulse Conditions - Historical analysis indicates that conditions triggering credit pulses during debt contraction periods include a significant easing of monetary policy [4][38]. - The relationship between nominal GDP growth and policy interest rates serves as a leading indicator for economic trends, with a need for sustained monetary easing to alleviate private sector debt burdens [5][39]. Group 3: Investment Strategy for the Second Half - The focus for Chinese assets should be on maximizing "win rates," with fixed income expected to outperform equities and commodities during the debt contraction phase [6][61]. - Strategic asset allocation should favor high dividend and high-value factors while reducing exposure to high-growth factors in A-shares [6][73]. Group 4: Risk and Pricing Assessment - The overall pricing of Chinese assets appears reasonable, with the current equity risk premium reflecting the structural transformation of the economy [5][48]. - The yield curve is expected to steepen, with short-term debt offering better risk-adjusted returns compared to long-term debt [5][52][53].

Core Viewpoint - The article discusses the transition period between the old and new global order, emphasizing the need for a "global barbell strategy" for asset allocation in response to the current chaotic environment. It highlights that the key to success in the second half of 2025 lies in understanding the win rates for Chinese assets and the odds for U.S. assets [3][11]. Group 1: 2025H1 Overseas Asset Market Review - The narrative of American exceptionalism is fading, challenged by three main factors: the emergence of Deepseek affecting U.S.-China tech narratives, concerns over U.S. fiscal tightening led by Musk's Doge initiative, and the introduction of reciprocal tariffs increasing uncertainty around U.S. dollar hegemony [3][12]. - Non-U.S. assets outperformed U.S. assets in the first half of 2025, indicating a shift in market dynamics [12]. Group 2: Win Rates - Global growth is expected to slow down in the second half of 2025, with the growth momentum between the U.S. and non-U.S. regions likely to converge [15]. - The introduction of tariffs and the subsequent easing of these measures have led to a shift in market expectations regarding U.S. economic performance, with potential recession risks still looming [19][44]. Group 3: Odds - U.S. assets are currently overvalued compared to non-U.S. assets, indicating asymmetric risks that investors should be cautious of [5][45]. - The article warns that the pricing of U.S. assets does not adequately reflect the risks of a potential recession, suggesting that the market is underestimating the structural risks associated with U.S. economic policies [46][94]. Group 4: Outlook for 2025H2 - The global asset allocation strategy should continue to focus on the "global barbell strategy," which balances low-risk assets with high-risk, high-reward investments [72][75]. - The article identifies three core contradictions driving the new investment paradigm: rising anti-globalization, debt cycle misalignment, and the accelerating trend of AI industries [9][72]. - Specific asset classes recommended include Chinese government bonds, gold, and equities from emerging markets, particularly in Southeast Asia, which are expected to benefit from the ongoing global economic shifts [88][104].

Global Asset Performance and Macro Trading Themes - Global major asset classes experienced a broad rally from June 16 to June 24, with risk assets represented by equities showing significant recovery [4][12] - The ceasefire announcement between Iran and Israel on June 24 positively impacted market sentiment, leading to a notable rebound in global risk assets, while safe-haven assets like gold retreated [4][13] Asset Allocation - Global Barbell Strategy - Long-term investors need to deeply interpret the direction of the reshaping world order and weigh the cost-effectiveness of various assets, while paying attention to asymmetric pricing risks in their portfolios [5][17] - The new paradigm is reinforced by three underlying logics: intensified de-globalization, misalignment of debt cycles, and trends in the AI industry, with the strategic focus remaining on the all-weather adjustment of the "global barbell strategy" [5][18] - A statistical analysis of historical U.S. recession trading intervals revealed the volatility amplification factors for various assets, with the ranking being: Nasdaq > India SENSEX30 > Hang Seng Tech > U.S. Treasuries > Gold > Chinese Bonds > Bitcoin > National Bond Convertible Bonds > A-share Dividends [5][18] - Adjustments to asset allocation based on revised volatility factors indicate an increase in weight for Chinese convertible bonds and A-share dividends, while reducing weight for Nasdaq, India SENSEX30, and Hang Seng Tech [5][18] Focus Data: Global Economic Data and Event Calendar - The economic data calendar from June 30 to July 13 includes significant indicators such as China's official manufacturing PMI for June, expected to be 49.5, and the U.S. ISM manufacturing PMI for June, expected to be 48.5 [20] - Other important data points include the unemployment rate in Germany and the Eurozone CPI for June, with the latter expected to be 1.9% [20]

Core Viewpoint - The article emphasizes the need for long-term investors to deeply interpret the reshaping of the global order and assess the cost-effectiveness of various assets, particularly in light of the increasing risks associated with U.S. recession and the implications of new investment paradigms [3][4][9]. Group 1: Introduction and Key Variables - The beginning of the year has seen two critical variables (Deepseek and reciprocal tariffs) that reinforce the underlying logic of a new investment paradigm characterized by increasing de-globalization, trends in AI industries, and debt cycles [3][12]. - The global risk premium has risen, potentially amplifying asymmetric pricing risks, particularly regarding the underpricing of recession risks in major asset classes [3][4]. Group 2: U.S. Recession Trading - Historical data shows that U.S. recession trading often begins 1-6 months before the National Bureau of Economic Research (NBER) officially declares a recession [4][42]. - Typical characteristics during U.S. recession trading include declines in U.S. stocks and industrial metals, falling 10-year Treasury yields, widening credit spreads, and defensive stocks outperforming cyclical stocks [4][47]. Group 3: Volatility During Recession Trading - During past U.S. recession trading phases, asset volatility has increased, with risk assets experiencing greater volatility than safe-haven assets [4][63]. - The volatility amplification factors for various assets have been ranked, with Nasdaq showing the highest, followed by the Indian SENSEX30 and Hang Seng Technology [5][70]. Group 4: All-Weather Strategy Model - The article discusses how to adjust the all-weather strategy model to correct the underestimation of U.S. recession risks in asset pricing [4][70]. - The model suggests increasing the allocation to Chinese convertible bonds and A-share dividends while reducing exposure to Nasdaq, Indian SENSEX30, and Hang Seng Technology based on their respective volatility amplification factors [5][70]. Group 5: Asymmetric Pricing Risks - The current global investment landscape shows a significant underestimation of U.S. recession risks, which presents an opportunity for asymmetric trading strategies that favor high potential gains with limited losses [4][24]. - The article highlights the importance of adjusting asset allocations to account for these asymmetric risks, particularly in light of the evolving global economic landscape [4][70].