总量团队联合展望 - 2026 年度策略报告汇报会议 20251119 摘要 2026 年中国经济预计将经历供给端升级和需求端提振，GDP 目标或设 定在 5%左右，财政政策稳健，货币政策支持国家战略，关注中美关系 和国内价格问题。 全球资本市场主线围绕中美科技与安全竞赛展开，科技资本开支增加， 看好铜铝等有色金属资产，以及中美科技股，美国中期选举对经济稳定 有诉求。 外需复苏可能缓解房地产市场跌势，预计 2026 年 PPI 同比增速转正， 风险资产优于避险资产，市场对房地产的悲观预期或将逆转。 2026 年固收投资策略倾向于保守票息策略，信用利差处于极低位置， 不建议信用加仓，关注元旦、春节前后信贷续接及非标债务续接等个体 性机会。 长周期对债券投资具指导意义，关注康波周期、库兹涅茨周期和朱格拉 周期变化，预计中长期利率中枢上移，政策精准针对经济堵点和痛点。 Q&A 未来一年中国宏观经济将会有哪些变化？哪些政策值得期待？ 未来一年，中国宏观经济将经历显著变化，主要体现在以下几个方面： 预计 2026 年货币政策接近尾声，十年国债利率下行空间有限，企业贷 款对制造业支持充分，土地部门风险出清依赖政府，反内卷 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - In 2026, the macro - economy will consolidate its bottom. It will be a year of weak recovery, featuring export support, stable investment, and weak consumption. Policy will remain positive, with fiscal policy staying active and a low - interest - rate environment continuing. In terms of asset allocation, stocks are preferred over commodities, and commodities over bonds [83]. - The Chinese economy is entering a new cycle from 2026, led by artificial intelligence, with new technologies evolving and being transformed into product advantages through China's industrial chain [84]. 3. Summary by Directory 3.1 Macro - economic Fundamentals - **Industrial Production**: Except for automobiles, the growth rate of major industrial products remains low. The increase in automobile production this year supports the growth of industrial added value. Next year, the growth rate of domestic automobile sales may decline, but the overall automobile industry will be supported by exports, and the growth rate of automobile industrial added value is likely to fall but not decline [6]. - **Fixed - asset Investment**: The decline in fixed - asset investment growth has accelerated, and it turned negative from January to September. In 2026, more powerful policies will be introduced to boost investment, and many projects postponed this year will start construction [9]. - **Consumption**: The growth rate of total retail sales of consumer goods has declined, and consumer confidence is hovering at a low level. The reasons include weak income and income expectations, high household leverage, imperfect social security, and a low proportion of household disposable income in GDP [14]. - **Inflation**: The inflation situation will remain weak for a long time. Downstream commodity consumption is poor, while service consumption such as tourism performs better. PPI faces downward pressure on production material prices, and the overall manufacturing scale keeps industrial product prices under long - term pressure [20]. - **Employment**: Unemployment has seasonally increased with the entry of college graduates into the labor market. The cumulative year - on - year growth of newly - added urban employment has flattened, and creating new jobs is becoming more difficult [26]. - **Manufacturing PMI**: Manufacturing PMI has been continuously weak. In the PMI sub - items, the sub - item of the purchase price of major raw materials is above the boom - bust line, and the sub - item of purchase volume fluctuates with the production sub - item, with a larger fluctuation range. Other sub - items are below the boom - bust line [30]. - **Inventory**: Production is significantly stronger than consumption, finished - product inventory is rising, and downstream demand is weaker [34]. - **Construction and Service Industry PMI**: The PMI of the construction industry and its important sub - items are at a low level in recent years, indicating the industry's downturn [38]. - **Foreign Trade**: The growth rate of imports and exports is better than expected. Exports are resilient, and China's share in global exports is increasing. New "new three items" (robots, artificial intelligence, and innovative drugs) are becoming new drivers of industrial upgrading and foreign trade growth [41][44]. - **Chip Industry**: The effect of chip import substitution has emerged in recent years. The growth rate of chip exports is much higher than that of imports, and a complete Chinese chip industry chain independent of the US is rising. It is expected to become a net exporter in 5 - 10 years [46]. 3.2 Macro - economic Highlights - **Automobile Industry**: Automobile production, sales, and exports will reach new highs this year. Although the growth rate of domestic sales may face pressure due to the withdrawal of subsidies, it may be maintained with the launch of new technologies and models. This year's automobile exports are expected to reach 750 - 800 million vehicles, with a year - on - year growth of about 18%, and the growth rate of overseas exports is expected to remain at a good level next year [51]. - **Industrial Enterprise Profits**: The profit growth rate of industrial enterprises above a designated size has rebounded. From January to August, the cumulative year - on - year growth rate of total profits of industrial enterprises above a designated size turned positive, and the year - on - year growth rate in August was 20%. With the implementation of "anti - involution" policies and interest - rate cuts, enterprise profits are expected to improve [54]. - **Stock Market and Economy**: When the M1 - M2 spread turns positive, PPI may also turn positive, indicating a possible bull market in both stocks and commodities. "Anti - involution" may end the decline of PPI. The growth rate of M1 is basically synchronous with the rise of the stock market [57]. - **Real Estate**: The data reflecting the scale of ongoing real estate projects has returned to the level of 2005, and housing prices are still falling month - on - month. The real estate market is in the process of bottom - building. The new housing start - up area may gradually stabilize, and there is a possibility of a retaliatory rise in housing prices in the future [60]. - **Stock Market and Asset Allocation**: There is still room for "deposit migration". The ratio of the total market value of the stock market to household deposits is low, and the trend of households allocating more assets to the stock market has just begun. A bull market can stimulate economic growth, assist economic transformation, improve the corporate financing environment, relieve debt pressure, and enhance international competitiveness [63][64]. - **Technological Progress and Stock Market**: Technologies such as artificial intelligence and robots are likely to be first applied in China. The chip industry is the last major short - board before China becomes a technological superpower. Technological innovation and manufacturing are the core of the "14th Five - Year Plan", and new technologies will promote productivity and expand industrial chain advantages [65]. 3.3 Policy Outlook for 2026 - **Fiscal Policy**: The government's leverage ratio is relatively low and there is room for further leverage. Loose fiscal policy is expected to last for a long time. Consumption subsidies are likely to continue in some form for 2 - 3 years, and other measures such as increasing the deficit scale and transfer payment intensity will also be taken [69]. - **Monetary Policy**: The 7 - day reverse repurchase rate has remained low for a long time, and the money supply will remain loose with room for further decline in interest rates. The Fed's interest - rate cuts provide space for China's central bank to cut interest rates, and domestic commercial banks have already lowered deposit rates [71][82]. - **Exchange Rate Policy**: The US dollar has opened up a downward space, and bank settlement and sales of foreign exchange have turned into a surplus. Overseas hot money is flowing into China, causing the RMB to face more appreciation pressure than depreciation pressure. The RMB's share in international trade is increasing [77][79]. 3.4 Main Conclusions and Suggestions - **Economic Outlook**: In 2026, the macro - economy will be in a weak recovery. Real estate investment will gradually stabilize, infrastructure investment growth will pick up, and exports will maintain a high growth rate. Policy will remain positive, and consumption will be a lagging variable [83]. - **Economic Cycle**: The Chinese economy is entering a new cycle, with artificial intelligence leading the way, and new technologies being transformed into product advantages [84]. - **Risk Analysis**: In 2026, there may be new Sino - US trade frictions, the risk of the bursting of the US artificial intelligence bubble and its spill - over effects, and the risk of a significant correction in the Chinese stock market due to high valuations [85].

Core Viewpoint - The current real estate market is experiencing significant challenges, with both wealthy individuals and ordinary buyers facing difficulties in property sales and asset depreciation. Caution is advised for potential homebuyers as the market is not as favorable as it once was [2][4][6]. Market Overview - Wealthy individuals, including real estate moguls like Wang Jianlin and Wang Sicong, are encountering financial issues, indicating a broader industry downturn. Wang Jianlin faced a court execution for a payment of 186 million, highlighting the severity of the market conditions [4][6]. - Wang Sicong's luxury property in Shanghai, previously valued at over 100 million, has dropped to 60 million with no buyers, reflecting a loss of over 40 million. This trend suggests that if high-end properties are struggling, ordinary homes are likely in an even worse position [6][11]. Historical Price Trends - The peak of the real estate market occurred in 2021, with many cities reaching historical price highs. For instance, average prices in major cities like Shenzhen and Beijing were significantly elevated during this period [8][9]. - From 2021 to September 2023, a continuous decline in second-hand housing prices has been observed, with many homeowners reducing prices by 5% to 10% to attract buyers [11][13]. - As of August 2024, the national second-hand housing prices have been in decline for over 50 months, marking the longest downturn in nearly two decades, surpassing the duration of the 2008 financial crisis [17][19]. Future Outlook - The People's Bank of China has indicated that the real estate sector still requires time to reduce inventory, suggesting that a quick rebound in prices is unlikely [19][21]. - The real estate cycle, known as the Kuznets cycle, typically lasts 15-25 years, indicating that individuals may only experience two complete cycles in their lifetime. The current phase is characterized by a prolonged downturn followed by a potential stabilization period [23][24]. - Historical data shows that after a bubble burst, average price declines can reach around 34%, with some extreme cases exceeding 50%. Current declines in first-tier cities are around 30%, suggesting limited further downside [26][39]. Investment Considerations - For first-time homebuyers, it is recommended to purchase when suitable without overthinking short-term fluctuations. In contrast, investors should be cautious, as 90% of properties may not yield returns and could become liabilities [43][44]. - The era of guaranteed profits in real estate has ended, necessitating a more discerning approach to property purchases based on location, amenities, and personal needs rather than speculation [46].

1. Report Industry Investment Rating There is no information about the report industry investment rating in the provided content. 2. Core Viewpoints of the Report - The anti - involution campaign, initiated by the Central Financial and Economic Affairs Commission, is a 10 - year recurrence of the Juglar cycle. It is expected to have a profound impact on China's economy, with effects surpassing the previous supply - side reform [1][13][16]. - The anti - involution drive rapidly boosts commodity prices, which is the third and final wave of the current Kitchin cycle's upward phase, likely to last until the end of the year [2][17]. - It has a positive impact on listed companies' performance and stock prices. The A - share market shows a wealth effect, attracting more off - market funds [2][24]. - The Fed is likely to resume rate cuts in September 2025 and enter a steep rate - cut phase in 2026. This will narrow the Sino - US interest rate gap, prompting the accelerated return of China's overseas funds [2]. - Global professional investment institutions are reducing their exposure to US assets and increasing their allocation to Chinese assets [2][28][30]. - Gold is in a technical adjustment, and a major opportunity may emerge at the end of the year [2][4][31]. - The anti - involution campaign initiates an upward trend in inflation, opening up downward space for long - term treasury bonds [3][35]. - China is expected to achieve a double surplus in trade and capital, and the offshore RMB exchange rate is likely to strengthen [3][38]. 3. Summary According to the Directory 3.1 Four Economic Cycles - **Kitchin Cycle**: A short - term economic cycle of about 3.5 years. The current upward phase of the Chinese Kitchin cycle started in June 2023 and is expected to peak at the end of 2025, while the US cycle will peak in Q1 2026 [7]. - **Juglar Cycle**: A medium - term cycle of 9 - 10 years, also known as the manufacturing investment cycle. China's current Juglar cycle is in the upward phase and is expected to peak in early 2027 [8]. - **Kuznets Cycle**: An economic cycle related to the housing construction industry with an average length of about 20 years. The current Chinese Kuznets cycle is expected to bottom out around 2030 [9]. - **Kondratieff Cycle**: A long - term cycle of 50 - 60 years, also called the technological innovation cycle. The current Kondratieff depression started in 2020 due to the COVID - 19 shock, is expected to end around 2030, and then enter a 10 - year recovery phase. China is the center of the current technological innovation cycle, with AI and AI humanoid robots as the representative innovations [10]. 3.2 Anti - Involution Campaign - **Campaign Initiation**: On July 1, the Central Financial and Economic Affairs Commission meeting called for in - depth construction of a unified national market, focusing on "five unifications and one opening". Subsequently, various industries carried out anti - involution measures [11]. - **Policy Response to the Juglar Cycle**: It is a response to the manufacturing investment cycle reaching its peak. Similar to the supply - side reform 10 years ago, its goal is to reduce overcapacity, but this time it focuses on emerging industries and the service sector [13][15][16]. - **Differences from the Previous Supply - Side Reform**: It focuses on emerging industries and the service sector, and is expected to have a more far - reaching impact on the Chinese economy [16]. 3.3 Impact on Asset Classes - **Commodities**: The anti - involution campaign drives up commodity prices, which is the third wave of the current Kitchin cycle's upward phase. Prices are expected to rise until the end of the year. After a second - wave correction in late July, they are likely to enter the main upward wave in late August [17][21][23]. - **Equities**: The A - share market shows a wealth effect, attracting off - market funds. The decline at the end of July was a pull - back after breaking through the 3,500 - point platform. The CSI 300 index will have more upward momentum, and the CSI 1000 and CSI 500 indexes are expected to rise more strongly [24][39]. - **Gold**: Gold is in a technical adjustment, and a major opportunity may emerge at the end of 2025 [31][39]. - **Bonds**: The anti - involution campaign initiates inflation, opening up downward space for long - term treasury bonds [35][39]. - **Foreign Exchange**: China is expected to achieve a double surplus in trade and capital, and the offshore RMB is likely to strengthen [38][39].

Group 1: US Stock Market Analysis - The report suggests that the current rebound in the US stock market may be forming a large double top, indicating a potential end to the rally [1][19][25] - From a cyclical perspective, the S&P 500 and Nasdaq 100 are in a downward phase similar to the period around 2008, suggesting comparable risks [1][19][21] - The valuation perspective shows that as of May 16, 2025, the difference between the US 10-year Treasury yield and the inverse of the S&P 500 P/E ratio has risen to 0.68%, indicating lower investment attractiveness in US equities compared to bonds [1][35][37] Group 2: A-Share Market Performance - The A-share market showed a preference for value styles, with strong performances in financial and consumer sectors [2][10][11] - The report highlights that various ETFs, particularly large-cap and value ETFs, outperformed during the week, while TMT-related sectors have not fully recovered from previous lows [2][10][11] - The analysis of industry indices since early April indicates that sectors like retail, banking, and agriculture have recovered well, while technology sectors still have room for recovery [2][10][11] Group 3: Genetic Programming Industry Rotation Model - The genetic programming industry rotation model has achieved an absolute return of 14.64% this year, outperforming the industry equal-weight benchmark by 13.79 percentage points [3][39][40] - The model currently favors sectors such as computers, electronics, machinery, media, and home appliances, while excluding telecommunications [3][39][40] - The model's strategy balances TMT-related growth sectors with traditional industries and consumer-related sectors to maintain a diversified portfolio [3][39][40] Group 4: Absolute Return ETF Simulation - The absolute return ETF simulation portfolio has seen a slight decline of 0.05% last week but has accumulated a total return of 3.70% year-to-date [4][43][44] - The portfolio's asset allocation is based on recent trends, with a balanced focus on resource sectors like steel and non-bank financials, alongside technology sectors [4][43][44] - The current holdings include energy and soybean ETFs, while gold ETFs have been excluded [4][43][44] Group 5: Global Asset Allocation - The global asset allocation simulation currently favors bonds and foreign exchange, with a predicted ranking of future returns showing bonds at the top [47][48] - The simulation has recorded an annualized return of 7.29% with a Sharpe ratio of 1.50, although it has faced a decline of 3.64% year-to-date [47][48] - The strategy emphasizes a higher risk budget for assets such as Chinese and US bonds [47][48]

Core Viewpoint - Huatai Securities believes that the S&P 500 index is currently in a downward phase across three economic cycles: the Kitchin cycle (42 months), the Juglar cycle (100 months), and the Kuznets cycle (200 months) [1] Group 1: Economic Cycles - The Kitchin cycle is in a downward state, indicating short-term economic fluctuations [1] - The Juglar cycle is also in a downward phase, suggesting medium-term economic trends are weakening [1] - The Kuznets cycle is at the bottom, reflecting long-term economic patterns that are currently unfavorable [1] Group 2: Market Conditions - Since 2022, global asset correlation characteristics have changed, indicating a shift in market dynamics [1] - The long-term inflation issue is becoming more pronounced, affecting overall economic stability [1] - The gradual emergence of constraints on U.S. debt is confirming the entry into a downward phase of the Kondratiev wave, suggesting prolonged economic challenges [1] Group 3: Investment Implications - The simultaneous downward trends in the Kitchin, Juglar, and Kondratiev cycles indicate a resonant negative outlook for U.S. equities [1]

Quantitative Models and Construction Methods - **Model Name**: Huatai Three-Cycle Model **Model Construction Idea**: The model analyzes the price movement of COMEX gold settlement prices using three classic economic cycles: Kitchin, Juglar, and Kuznets cycles. It identifies the dominant cycle components influencing gold price trends[17] **Model Construction Process**: 1. The model decomposes the year-on-year sequence of COMEX gold settlement prices into three cycle components: Kitchin, Juglar, and Kuznets cycles 2. The amplitude of the extracted cycle components is ranked as Kuznets > Juglar > Kitchin 3. The current positions of the Kuznets and Juglar cycles are analyzed to predict future gold price trends[17][19] **Model Evaluation**: The model highlights that gold prices are more influenced by longer-term cycles (Kuznets and Juglar) compared to shorter-term cycles (Kitchin), providing insights into the strong cyclical positioning of gold in the current market[17] Model Backtesting Results - **Huatai Three-Cycle Model**: The model indicates that the Kuznets cycle is near its peak, and the Juglar cycle is in an upward phase, suggesting that gold prices are likely to remain strong in the near term[17][19] Quantitative Factors and Construction Methods - **Factor Name**: Gold as a Portfolio Stabilizer **Factor Construction Idea**: Gold is evaluated as a low-correlation asset with high long-term returns, making it a potential stabilizer in diversified investment portfolios[3][21] **Factor Construction Process**: 1. Historical performance of gold is compared with other major asset classes (e.g., equities, bonds, commodities) over different time horizons (1 year, 5 years, 10 years, 20 years) 2. Risk-return metrics such as Sharpe ratio, Calmar ratio, and maximum drawdown are calculated for gold and other assets 3. Correlation analysis is conducted to assess gold's relationship with other asset classes[21][23][24] **Factor Evaluation**: Gold demonstrates high returns, low volatility, and low correlation with other assets, making it a valuable addition to investment portfolios for risk diversification and return enhancement[21][23] - **Factor Name**: Gold in Asset Allocation Portfolios **Factor Construction Idea**: The impact of adding gold to a traditional stock-bond portfolio is analyzed to evaluate its contribution to portfolio performance[3][24] **Factor Construction Process**: 1. A baseline portfolio is constructed with 60% bonds (ChinaBond New Comprehensive Wealth Index) and 40% stocks (CSI A500 Index) 2. Two new portfolios are created by reallocating 10% of the baseline portfolio to gold (AU9999 spot gold): - Portfolio A: 50% bonds, 40% stocks, 10% gold - Portfolio B: 60% bonds, 30% stocks, 10% gold 3. Monthly rebalancing is applied, and backtesting is conducted over the period from January 3, 2005, to February 19, 2025 4. Risk-return metrics (e.g., annualized return, Sharpe ratio, maximum drawdown) are calculated for all portfolios[24][26] **Factor Evaluation**: Adding gold improves portfolio Sharpe ratios and reduces volatility, demonstrating its role as a stabilizing asset in diversified portfolios[26] Factor Backtesting Results - **Gold as a Portfolio Stabilizer**: - Sharpe Ratio: 0.59 (AU9999 spot gold), 0.57 (London spot gold), 0.56 (COMEX gold futures) - Maximum Drawdown: -44.88% (AU9999 spot gold), -44.62% (London spot gold), -44.52% (COMEX gold futures) - Annualized Return: 9.07% (AU9999 spot gold), 9.76% (London spot gold), 9.74% (COMEX gold futures)[23] - **Gold in Asset Allocation Portfolios**: - Portfolio A: Annualized Return 7.17%, Sharpe Ratio 0.72, Maximum Drawdown -35.47% - Portfolio B: Annualized Return 6.69%, Sharpe Ratio 0.88, Maximum Drawdown -26.86% - Baseline Portfolio: Annualized Return 6.63%, Sharpe Ratio 0.68, Maximum Drawdown -33.36%[26]