证 券 研 究 报 告 多资产配置研究 海外双周报 2026 年 02 月 02 日 【资产配置海外双周报】2026 年第 1 期 多重"反者道之动"的交点——为什么是凯 文·沃什（Kevin Warsh） ❖ 投资摘要： The longest way round is the shortest way home. —B.H.Liddell Hart 1. 下一任美联储主席的产生，还有其对于金融市场和美国财政风险的影响， 都不是按照之前投资者习以为常的线性逻辑展开，而是反其道而行之。 2. 起诉鲍威尔引发关键议员反弹，加上美债期限溢价不断走高，最终促使特 朗普提名了服从概率较低的凯文·沃什。 3. 凯文·沃什是支持降息的"反通胀斗士"——试图通过量化紧缩，恢复市场 纪律和财政纪律，然后进一步降息。 4. 凯文·沃什是有限范围的"鹰派"—— 针对享受着长期充裕流动性的金融市 场，对于实体经济和联邦政府，他显然是一个"鸽派"。 5. 凯文·沃什更像一个旨在通过调整货币政策框架和金融监管框架，把金融市 场过剩的流动性，导入实体经济和美债市场的超级操盘手。 ❖ 风险提示： 原油市场爆发价格战，新兴市场出现系统性金融 ...

Group 1 - The ratio of total returns between gold and U.S. Treasuries suggests that high inflation risks may have been adequately priced in, with the ratio reaching 0.38 as of October 2023, comparable to levels seen in August 1975 and June 1978 when U.S. CPI was significantly higher [2][4] - The skewness of options for the iShares 20+ Year Treasury Bond ETF (TLT) has rebounded, indicating increased investor concern over inflation risks, leading to a rise in the 10-year Treasury yield to 4.1% despite the Federal Reserve's rate cuts [2][4] - The U.S. Treasury's increased debt issuance has resulted in a surge in the usage of the Standing Repo Facility (SRF), with Treasury cash reserves rising from $330 billion to $1 trillion between June and October 2023, while commercial bank reserves fell significantly [8][10] Group 2 - The equity risk premium (ERP) for the CSI 300 Index was reported at 4.4% as of October 31, 2023, indicating a potential for valuation uplift as it is below the historical average [14] - The forward arbitrage return for China's 10-year government bonds was noted at 27 basis points, which is significantly higher than levels recorded in December 2016, suggesting improved arbitrage opportunities [16] - The total return ratio between domestic stocks and bonds stood at 28.6 as of October 31, 2023, indicating that the relative attractiveness of equity assets compared to fixed income has increased [26]