宏观 国投期货 2026 年度策略报告 ——恒中有变，观复顺时 2025 年 12 月 各项声明请参见报告尾页 期市有风险，投资需谨慎 目录 | 1.宏观经济与大类资产运行回顾：披荆斩棘，行则将至 3 | | | | --- | --- | --- | | 1.1.全球经济：美元流动性困扰，TACO 交易兴起 | 3 | | | 1.2.中国经济：信用维稳，虚实分化 4 | | | | 1.3.政策框架：宏观博弈，政策联动 5 | | | | 展望 2026：恒中有变，观复顺时 2. | 6 | | | 2.1.政策逻辑：美国的政策约束 | 6 | | | 2.1.1.美联储的约束：掌控收益率曲线的难度增加 6 | | | | 2.1.2.美国财政的约束：财政成本与发债结构 7 | | | | 2.1.3.总结：从收益率曲线控制的视角出发 9 | | | | 2.2.宏观博弈坐标系：收益率曲线与美元的组合 10 | | | | 2.2.1.收益率曲线走陡下的宏观情景 | 10 | | | 2.2.2.收益率曲线走平下的宏观情景 | 13 | | | 2.2.3.总结——收益率曲线管理的考验 15 | | | ...

Group 1 - China reduced its holdings of U.S. Treasury bonds by $11.8 billion in October, bringing its total to $688.7 billion, the lowest level since 2008 [1] - Canada significantly cut its holdings by $56.7 billion, effectively eliminating 10% of its position [1] - The overall foreign holdings of U.S. debt decreased by $5.8 billion in October, marking the first decline since the second quarter of 2023 [3] Group 2 - Japan's holdings of U.S. Treasury bonds surged to $1.2 trillion, the highest since July 2022, as officials expressed concerns about the potential collapse of U.S. debt impacting the yen [6] - The French central bank governor stated that European banks are heavily invested in U.S. dollar assets, indicating that a collapse of U.S. debt would also threaten the euro [6] - The U.S. Treasury is facing increasing pressure as President Trump considers appointing a new Federal Reserve chair who would support lowering interest rates to alleviate fiscal burdens [3][8] Group 3 - The Federal Reserve has initiated a bond-buying program, purchasing $40 billion monthly until the tax season next year, which has been labeled as "invisible QE" by the market [3] - SpaceX has shifted 30% of its cash reserves into short-term market instruments outside of U.S. Treasury bonds due to high policy uncertainty, indicating a lack of confidence in the U.S. fiscal situation [6] - The U.S. Treasury Secretary hinted at the possibility of implementing "yield curve control" if interest rates are lowered and inflation rises, a measure not used since World War II [6]

Group 1 - The market is pricing in a 95% probability of a rate cut by the Federal Reserve in December, with Powell's hawkish statements losing significance as he approaches the end of his term [1][3] - There is a potential for a "hawkish rate cut," where the Fed may cut rates but signal a higher threshold for future cuts, which could lead to a liquidity reversal affecting bonds and stocks negatively [4][3] - The coordination between the Treasury, the Fed, and the White House is expected to increase, potentially leading to unconventional policy tools being employed to achieve economic targets [3][1] Group 2 - Kevin Hassett is the leading candidate to replace Powell as Fed Chair, and his appointment could reshape market expectations regarding monetary policy through closer alignment with fiscal policy [2][7] - Treasury Secretary Mnuchin faces pressure to ensure that the new Fed Chair can quickly implement rate cuts, as his own position is tied to the Fed's policy direction [6][2] - Hassett has expressed his commitment to facilitating lower interest rates, which could impact the bond market and investor confidence in the Fed's inflation control [7][6] Group 3 - Mnuchin has indicated a desire for reform within the Fed, criticizing its staff for overstepping their authority and suggesting changes to the selection process for regional Fed presidents [8][6] - The potential for a significant shift in the Fed's operational framework is anticipated with the appointment of a new Chair, which could lead to a more aggressive monetary policy stance [8][7] - The market's reaction to these developments may vary, with some investors betting on a more dovish approach while others remain cautious about the implications of such changes [4][3]

Summary of Key Points from Conference Call Records Industry Overview - The records primarily discuss the **gold market** and the **monetary policy** of the **Federal Reserve** in the context of the U.S. economy and global financial conditions [1][21]. Core Insights and Arguments 1. **Federal Reserve's Interest Rate Expectations**: - The market's expectation for a rate cut by the Federal Reserve fluctuated significantly, dropping from a 100% expectation in early October to 29.6% by November 19, before rising again to 80% [5]. - There is notable internal disagreement within the Federal Reserve regarding the timing of rate cuts, with 5 out of 12 voting members supporting a pause, 4 favoring a cut, and 3 being neutral [5]. 2. **Impact of Employment Data**: - Mixed signals from U.S. employment data have created market uncertainty, with private sector data indicating deterioration and a rise in unemployment rates [6]. - The expectation for poor employment data in Q4 adds to market unpredictability [6]. 3. **Long-term Monetary Policy Outlook**: - The market anticipates that by the end of 2026, the Federal Reserve will lower interest rates to between 2.75% and 3%, indicating a sustained likelihood of loose monetary policy [8]. 4. **U.S. Fiscal Situation**: - The U.S. fiscal deficit is projected to be historically high, with expenditures exceeding revenues by 1.34 times, leading to increased pressure for rate cuts to alleviate fiscal burdens [13][14]. - The total U.S. national debt exceeds $38 trillion, constituting 125% of GDP, which raises concerns about fiscal sustainability and supports gold prices [13][14]. 5. **Global Central Bank Policies**: - Central banks worldwide are expected to maintain accommodative monetary policies to address high debt levels, which may enhance the appeal of gold as a safe-haven asset [21]. 6. **Gold Demand Dynamics**: - Gold demand remains robust, with total demand increasing by 44% year-over-year, driven primarily by investment demand from central banks and private investors [22]. - Tether, a major stablecoin issuer, has significantly increased its physical gold holdings, further supporting gold demand [24]. 7. **Geopolitical and Economic Risks**: - The potential for a U.S. government shutdown poses risks to market liquidity and could increase demand for safe-haven assets like gold [15]. - The upcoming 2026 midterm elections may influence U.S. domestic policies and external trade relations, impacting market conditions [18]. Other Important but Potentially Overlooked Content 1. **Inflation Data Uncertainty**: - The reliability of inflation data is compromised due to government shutdowns, complicating the assessment of the Federal Reserve's rate adjustment decisions [7]. 2. **Shadow Chairperson Influence**: - The concept of a "shadow chairperson" could impact market expectations and monetary policy direction, especially if the current chair's term ends before 2026 [12]. 3. **Central Bank Gold Purchases**: - Despite some countries reducing gold holdings, the overall trend among central banks remains one of increasing gold reserves, with 95% of surveyed banks indicating plans to continue purchasing gold [25][26]. 4. **China's Gold Accumulation Strategy**: - China has consistently increased its gold reserves over the past year, reflecting a strategic commitment to gold accumulation despite rising prices [27]. 5. **Silver Market Volatility**: - The silver market exhibits significant volatility, influenced by macroeconomic conditions, with historical patterns suggesting potential price adjustments following substantial increases [30]. This comprehensive summary encapsulates the key points from the conference call records, highlighting the dynamics of the gold market and the implications of U.S. monetary policy.

Core Viewpoint - The article discusses historical instances of debt management through inflation and the implications for modern economies, particularly focusing on France's "two-thirds bankruptcy" in 1797 and Japan's prolonged economic stagnation since the 1990s, highlighting how governments can manage debt without outright defaulting [2][7][10]. Group 1: Historical Context of Debt Management - In 1797, the French government reduced the value of government bonds by 67%, leading to significant losses for bondholders, a situation referred to as "two-thirds bankruptcy" [2]. - France's financial crisis was rooted in excessive debt accumulation due to continuous wars and ineffective tax reforms, resulting in a national debt of 5 billion livres by 1788, with interest payments consuming half of tax revenues [2][3]. - The introduction of the Assignat paper currency in 1789, initially backed by confiscated church lands, led to rampant inflation, with its total issuance reaching over 45 billion livres by 1796, nearly ten times France's GDP [3][5]. Group 2: Economic Consequences of Inflation - The inflation primarily affected the urban middle class, leading to protests and a loss of confidence in the currency, culminating in the abolition of the Assignat system in 1796 [5][6]. - The radical debt reduction plan proposed by Finance Minister La Meillur in 1797 effectively reduced France's debt-to-GDP ratio from 120% to below 40%, allowing the government to regain borrowing capacity [6]. - The aftermath of the debt reduction saw the "interest class" suffer significant losses, while the government stabilized its finances, illustrating the harsh realities of economic recovery post-crisis [6][14]. Group 3: Modern Parallels in Japan - Japan's economic situation post-1990 mirrors France's historical experience, with a debt-to-GDP ratio exceeding 250%, the highest globally, yet maintaining low bond yields due to the Bank of Japan's monetary policies [7][9]. - The implementation of "Abenomics" in 2013, particularly through aggressive monetary easing, has allowed the government to manage its debt without triggering market panic, effectively achieving a form of "implicit default" [7][9]. - Current inflation rates in Japan reached 3.1% in 2023, while bond yields remained low, resulting in negative real returns for investors, akin to the historical experiences of the French middle class [9][11]. Group 4: Lessons and Insights - Governments can manage debt through inflation rather than outright default, as seen in both historical and modern contexts, allowing for a "silent wealth transfer" from creditors to debtors [11][12]. - Investors should focus on real returns after accounting for inflation, as nominal returns can be misleading, with historical examples illustrating the erosion of purchasing power over time [12][13]. - Economic recoveries post-debt crises can be prolonged, with structural adjustments taking decades, as evidenced by both France and Japan's slow paths to recovery following their respective financial upheavals [14][15].

高盛长线看多日元，认为随着日本货币政策逐步正常化，收益率曲线控制等超宽松政策工具告终，未来10年日元兑美元汇率可能升至100，逆转多年来的日元贬值趋势。虽然新任首相高市早苗的宽松立场和财政扩张计划被视为短期内对日元的负面因素，但高盛策略师预计，鉴于通胀的政治阻力日益增大，日元回归安倍经济学式政策的势头将“更加温和”。 ...

Summary of Key Points from the Conference Call Industry or Company Involved - The discussion primarily revolves around the investment strategies and market outlook presented by Michael Hartnett, Chief Investment Strategist at Bank of America (BofA), focusing on various asset classes including gold, bonds, and international equities. Core Insights and Arguments - **Gold Price Prediction**: Hartnett anticipates that gold prices will rise to $6,000 per ounce by next spring, emphasizing its appeal amid current market conditions [2][32] - **K-Shaped Economy**: He warns that a drop in asset prices could disrupt the K-shaped economic recovery, adversely affecting wealthier individuals [2][10] - **Interest Rate Cuts**: Hartnett notes that the Federal Reserve is expected to cut rates aggressively if signs of deeper deleveraging and liquidation emerge in the banking sector [9][7] - **Global Rate Cuts Impact**: The year-to-date 123 global rate cuts have contributed to a $20.8 trillion increase in global stock market capitalization, equating to $170 billion per rate cut [5][10] - **Fund Manager Sentiment**: The latest Fund Manager Survey indicates the most bullish equity sentiment since February 2025, with a notable shift in asset allocation favoring stocks over bonds [10][11] - **Contrarian Investment Strategies**: Hartnett suggests that the best long-short trades currently are bonds over stocks, UK over emerging markets, staples over banks, and energy over tech [10][11] Important but Overlooked Content - **Massive Inflows into Risk Assets**: Despite market volatility, there have been significant inflows into risk assets, including $28.1 billion into stocks and $4.5 billion into gold, indicating continued investor confidence [13][21] - **Cash Outflows**: There has been a notable outflow of $24.6 billion from cash, marking the largest outflow since July 2025 [13][21] - **Emerging Market Risks**: Hartnett cautions that the consensus on long positions in emerging markets could face challenges, particularly if the U.S. Treasury's bailout of Argentina fails [30][31] - **Gold Allocation**: Despite the perception of gold being a crowded trade, BofA's private client allocation to gold is only 0.5%, and institutional allocation is just 2.4%, suggesting potential for growth in this asset class [32][34] - **AI's Economic Impact**: Hartnett highlights that AI continues to exert deflationary pressure on labor markets, with the U.S. youth unemployment rate currently at 9.4% [24][30] This summary encapsulates the key insights and arguments presented in the conference call, providing a comprehensive overview of the current investment landscape as analyzed by Hartnett.

Core Insights - Despite trends in the global bond market, risk assets are not showing signs of shifting towards safe havens, supported by an expanding buyer universe and liquidity overwhelming fundamentals [1][3] Group 1: Market Conditions - Major stock indices remain above key moving averages, with no clear signals for risk aversion [3] - Investor sentiment and positioning are seen as potential energy for market reversal, with many investors underweight due to recent concerns [3] - A significant amount of cash, amounting to trillions of dollars, is parked in money markets, indicating potential buyers are waiting to enter the market [3] Group 2: Investment Strategy - The current strategy is to continue pursuing risk until a trend change occurs, with momentum trading yielding returns [5] - The largest risk facing the market is the Federal Reserve potentially adopting a less aggressive rate-cutting path than expected [5] Group 3: Upcoming Catalysts - The market is entering a phase termed "Calendar Compression," with multiple key events expected in the coming weeks [6] - Key catalysts include the upcoming earnings season led by the banking sector and the next Federal Open Market Committee (FOMC) meeting on October 29 [6] - Expectations for "consecutive rate cuts and accelerating earnings" are noted, with potential benefits for Bitcoin, gold, and long-duration assets if the U.S. government remains shut down [6] Group 4: Macro Perspective - Attention is drawn to the "four balance sheets" of banks, corporations, consumers, and governments, with a focus on the structural deterioration of Western governments' balance sheets post-2008 financial crisis and COVID-19 [7] - The current market environment exhibits characteristics of a "war economy," with a lack of political motivation for fiscal tightening and a global arms race for rearmament [7] Group 5: Interest Rate Outlook - In the context of a "war economy," the path of interest rates is expected to differ from historical patterns, with central banks likely to cut rates significantly [8] - The potential for yield curve control (YCC) measures is noted, with Japan cited as a current case study [8] - The market's term premium has not shown significant widening, contributing to a less favorable outlook for the U.S. dollar [8]

Market Overview - Crypto markets are experiencing a positive start, with Bitcoin (BTC) rising nearly 4% to $117,400, marking a strong quarter historically for the sector [1] - Altcoins such as Ether (ETH), Solana (SOL), and Dogecoin (DOGE) have gained 5%-7% in the past 24 hours, outperforming Bitcoin [4] Economic Indicators - Private payrolls in September saw a decline of 32,000 jobs, the largest drop in 2.5 years, with previous gains revised to a loss of 3,000 jobs [2] - The ISM September Manufacturing PMI Survey reported a stable index at 49.1, while the Prices Paid index decreased to 61.9 from 63.7 in August, indicating easing inflation [3] Federal Reserve Expectations - Market participants anticipate further interest rate cuts from the Federal Reserve, with a 99% probability of a 25 basis point cut in the upcoming October meeting, an increase from 92% the previous week [4] - The expectation of interest rate easing is seen as a macro tailwind for the crypto market, potentially signaling the start of a bull market [6] Investment Trends - September was a surprisingly strong month for Bitcoin, gaining about 6%, with significant inflows into spot Bitcoin ETFs totaling $950 million in the last two days of the month [5] - The upcoming quarter is expected to initiate an "alt-season," shifting investor focus from major cryptocurrencies to smaller, more volatile tokens [7]

Economic Outlook - A top European strategist predicts that gold prices will reach $4,000 per ounce and silver prices will hit $50 per ounce within the next 3 to 6 months due to a rapidly weakening U.S. economy, which will compel the Federal Reserve to take aggressive actions [1][2] - The U.S. labor market is showing signs of significant weakness, with a downward revision of 910,000 jobs in annual employment growth data, indicating a slowdown in the economy [2][3] Political Landscape - The political foundation in Europe is also under strain, highlighted by the recent collapse of the French government, which was triggered by a failed confidence vote [3] - The crisis in France is linked to attempts to control rising debt, with the country’s debt increasing by €5,000 per second [3] Inflation and Wealth Transfer - The current political realities suggest that governments may resort to maintaining inflation at 3% to 4%, which could lead to a 50% loss in purchasing power for cash holders over ten years [4] - This period is expected to witness a significant transfer of wealth, with some individuals losing wealth while others accumulate it [4] Precious Metals and Mining Sector - The strategist believes that precious metals and their producing companies are poised for explosive growth, with gold prices nearing a historical high of $3,680 per ounce [5] - Silver is viewed as undervalued, and if it surpasses $50 per ounce, it could potentially rise to $100, with significant price increases expected in the event of shortages [5] - The mining sector is beginning to react, as evidenced by a $53 billion merger between Anglo American and Teck Resources, signaling the start of a merger cycle in the industry [5]