Group 1: Inflation and Economic Indicators - The total return ratio of gold to U.S. Treasuries has risen to 0.37 as of September 2025, indicating that high inflation risks may have been fully priced in[4] - Bank credit growth has rebounded to 4.7% year-on-year as of August 2025, the highest level in 24 months, which may help suppress rising unemployment rates in the U.S.[7] - The 10-year government bond yield spread between France and Germany has widened to 79 basis points, reflecting a lack of confidence in French government bonds[10] Group 2: Productivity and Market Trends - U.S. labor productivity is projected to grow by 66.3% by 2026 compared to Q4 2019, significantly outpacing Europe and Japan[13] - The long-term trend of Chinese equity assets outperforming other emerging markets appears to have resumed, with the MSCI China Index showing a recovery[15] - The equity risk premium (ERP) for the CSI 300 Index is currently at 4.3%, indicating potential for valuation uplift compared to historical averages[18] Group 3: Financial Market Dynamics - The forward arbitrage return for China's 10-year government bonds is at 29 basis points, which is 59 basis points higher than the level in December 2016[20] - The copper-to-gold price ratio has decreased to 2.6, while the offshore RMB exchange rate has risen to 7.2, indicating diverging signals in the market[26] - The total return ratio of domestic stocks to bonds in China is at 28.5, above the average level of the past 16 years, suggesting increased attractiveness of equity assets[28]

Group 1: Market Trends - After the Federal Reserve's September meeting, investors reduced their short positions on the US dollar, with speculative net short positions decreasing from 12,900 to 10,400 contracts, a reduction of 2,500 contracts, representing a decline of 7.9% in total positions[10] - In Q2 2025, the debt leverage ratio across various sectors in the US fell, with household debt leverage dropping to 68.8%, the lowest since Q3 1999[11] - The ratio of US household net wealth to disposable income increased to 7.8 times, reaching the highest level since Q3 2024, with net wealth rising to $176.3 trillion[15] Group 2: Investment Insights - As of July 2025, foreign investors held a record $9.16 trillion in US Treasury securities, an increase of $32 billion from June[16] - US pension funds increased their equity holdings by $900 billion in Q2 2025, bringing total equity holdings to $8.9 trillion[21] - The equity risk premium (ERP) for the CSI 300 index was 4.3% as of September 26, 2025, indicating potential for valuation uplift compared to historical averages[22] Group 3: Economic Indicators - The forward arbitrage return for China's 10-year government bonds was 31 basis points as of September 26, 2025, up 61 basis points from December 2016[27] - The copper-gold price ratio fell to 2.7, while the offshore RMB exchange rate rose to 7.1, indicating diverging signals in demand dynamics[34] - The total return ratio of domestic stocks to bonds in China was 28.2, above the average level of the past 16 years, suggesting enhanced attractiveness of equity assets[36]

证 券 研 究 报 告 【资产配置快评】 —Charles A Jaffe 多资产配置研究 资产配置快评 2025 年 09 月 30 日 华创证券研究所 证券分析师：牛播坤 Riders on the Charts: 每周大类资产配置图 表精粹 ❖ 投资摘要： It's not your salary that makes you rich; it's your spending habits. 邮箱：niubokun@hcyjs.com 执业编号：S0360514030002 证券分析师：郭忠良 邮箱：guozhongliang@hcyjs.com 执业编号：S0360520090002 相关研究报告 《"9·24"一周年——总量"创"辩第 112 期》 2025-09-29 《资产配置快评 2025 年第 43 期：Riders on the Charts：每周大类资产配置图表精粹》 2025-09-23 《资产配置快评 2025 年第 42 期：兑现降息预期， 否认降息周期——9 月美联储议息会议点评 2025 年第 6 期》 2025-09-18 《资产配置快评 2025 年第 41 期：Rider ...

Group 1: Market Trends - Extreme short positions in the dollar suggest a potential short squeeze in the future, with speculative net short positions rising to 13,000 contracts, accounting for 33.5% of total positions, the highest since February 2021[4] - Japan's core CPI, excluding food and energy, has remained at 1.6% year-on-year for six consecutive months, indicating a cooling inflation pressure that may limit the Bank of Japan's rate hike space[7] - The 10-year Japanese government bond yield may trend down towards 1% as inflation levels continue to decline, flattening the yield curve[11] Group 2: Central Bank Actions - The Bank of Japan plans to gradually sell its ETF and real estate trust holdings, with an annual target of 330 billion yen for ETFs and 5 billion yen for real estate trusts, suggesting a selling timeline of over 100 years at the current pace[9] - The current equity risk premium (ERP) for the CSI 300 index is 4.5%, which is one standard deviation below the 16-year average, indicating potential for valuation uplift[17] Group 3: Economic Indicators - Since the beginning of the year, the U.S. labor supply has increasingly favored domestically born individuals, with 139 million domestic-born workers compared to 32.24 million foreign-born workers[15] - The forward arbitrage return on China's 10-year government bonds is currently at 23 basis points, which is 53 basis points higher than the level in December 2016[20] - The total return ratio of domestic stocks to bonds is 27.8, above the 16-year average, suggesting enhanced attractiveness of equity assets relative to fixed income[27]

Economic Indicators - The 1-year Federal Reserve Financial Conditions Index (FCI-G Index) dropped to -0.4, the lowest since July of last year, indicating strong monetary policy support for corporate output and employment[9] - The 3-year FCI-G Index fell to -0.7, the lowest since April 2022, suggesting limited necessity for rate cuts compared to last year[9] Market Trends - As of August 8, the S&P 500 Index EPS growth reached 10%, significantly exceeding the expected 4%, reflecting robust U.S. economic growth[10] - Broad dollar speculative positions shifted from short to long, with net long positions reaching 31,000 contracts, the highest since April this year[10] Credit Market Developments - The proportion of banks tightening credit standards for large and medium-sized enterprises decreased from 18.5% to 9.5%, and for small enterprises from 15.9% to 8.2%[21] - The European Central Bank's deposit facility rate was reduced from 2.75% to 2%, yet broad credit expansion remains sluggish, with Eurozone M3 growth dropping to 3.3%, the lowest since September last year[17] Risk Premiums - The equity risk premium (ERP) for the CSI 300 Index is at 5.1%, one standard deviation above the 16-year average, indicating potential for valuation uplift[22] - The 10-year Chinese government bond arbitrage return is at 19 basis points, 49 basis points higher than December 2016 levels, suggesting favorable conditions for leveraged bond market strategies[27] Currency and Commodity Insights - The 3-month USD/JPY basis swap stood at -17.9 basis points, indicating a relaxed offshore dollar financing environment post-tariff adjustments[29] - The copper-to-gold price ratio fell to 2.9, while the offshore RMB exchange rate rose to 7.2, signaling diverging trends in global demand and currency valuation[34]

Group 1: Monetary Policy and Economic Indicators - The Federal Reserve's financial pulse growth index (FCI-G Index) for 1-year dropped to -0.4, the lowest since July last year, indicating strong monetary policy support for corporate output and employment[4] - The 3-year FCI-G Index fell to -0.7, the lowest since April 2022, suggesting that the necessity for rate cuts this fall is not as pressing as last year[4] - As of August 8, the S&P 500 index EPS growth reached 10%, significantly exceeding the expected 4%, reflecting robust U.S. economic growth[7] Group 2: Market Positioning and Speculation - Broad dollar speculative net positions shifted from short to long, with net long positions reaching 31,000 contracts, the highest since April this year[7] - The speculative net short positions in S&P 500 mini contracts decreased to 119,000, a two-month low, after a significant increase in July[10] - The overall credit standards of U.S. commercial banks marginally eased, with the percentage of banks tightening credit for large enterprises dropping from 18.5% to 9.5%[15] Group 3: European Economic Conditions - The European Central Bank has cut rates three times this year, yet broad credit and bank lending in the Eurozone have not expanded significantly, with M3 growth dropping to 3.3%, the lowest since September last year[13] - The Eurozone's non-financial corporate credit growth fell to 2.3%, indicating a need for further ECB rate cuts[13] Group 4: Risk Premium and Investment Returns - The equity risk premium (ERP) for the CSI 300 index is at 5.1%, one standard deviation above the 16-year average, suggesting potential for valuation uplift[17] - The forward arbitrage return for China's 10-year government bonds is 19 basis points, 49 basis points higher than December 2016 levels, indicating attractive returns[21] - The total return ratio of domestic stocks to bonds is 25.1, above the 16-year average, enhancing the appeal of equity assets over fixed income[29]

Employment Data Insights - July non-farm employment increased by 74,000, below the expected 110,000[4] - The unemployment rate remained stable at 4.2% from May to July, with hourly wages rising from 3.8% to 3.9% year-on-year[4] - Survey response rates for employment data have declined significantly, with May's response rate at 42.9%, down from 59% pre-pandemic[7] Federal Reserve Insights - The number of dissenting votes in the July Federal Reserve meeting reached the highest level in 32 years, with two members opposing the decision to maintain interest rates[10] - Speculative net short positions on the broad dollar fell to 20,000 contracts, the lowest level in four months, indicating reduced bearish sentiment[13] Inflation Expectations - Despite disappointing employment data, short-term inflation expectations remain elevated, with the 2-year CPI swap dropping from 3% to 2.9%[16] - The 5-year CPI swap also decreased from 2.7% to 2.6%, aligning with June's CPI year-on-year figure of 2.7%[16] Market Valuation Metrics - The equity risk premium (ERP) for the CSI 300 index is currently at 5.2%, which is one standard deviation above the 16-year average, suggesting potential for valuation uplift[19] - The forward arbitrage return on China's 10-year government bonds is 18 basis points, up 48 basis points from December 2016 levels[22] Currency and Commodity Trends - The 3-month USD/JPY basis swap is at -19.4 basis points, indicating a higher cost of dollar financing for offshore institutions[25] - The copper-to-gold price ratio has decreased to 2.9, while the offshore RMB exchange rate has risen to 7.2, indicating diverging trends in demand and currency valuation[28] Stock and Bond Performance - The total return ratio of domestic stocks to bonds is at 24.9, below the 16-year average, suggesting a return to mean levels and increasing attractiveness of equities relative to fixed income[30]

Group 1: Economic Indicators - Japan's government is aggressively lowering rice prices, aiming to reduce the price of 5 kg of rice to 2000 yen, which is 47% lower than the latest price published by the Ministry of Agriculture, Forestry and Fisheries[5] - As of May 30, the speculative net long position in yen has decreased to 164,000 contracts, an 8.4% drop from the peak in early May, marking five consecutive weeks of decline[10] - The US leading economic index fell to -4% in April, the lowest level since October of the previous year, indicating that the negative impact of tariffs may be less than expected[13] Group 2: Market Trends - Overseas investors net sold Japanese government bonds exceeding 1 trillion yen in May, totaling 1.6 trillion yen over four weeks[7][9] - The equity risk premium (ERP) for the CSI 300 index is at 5.8%, which is one standard deviation above the 16-year average, indicating a significant excess return compared to domestic 10-year government bonds[19] - The total return ratio of domestic stocks to bonds is 23.3, below the 16-year average, suggesting an increased attractiveness of stocks relative to fixed income assets[30] Group 3: Credit and Financing - As of May, the year-on-year growth rate of commercial bank loans in the US reached 3.9%, the highest since October 2023, supporting corporate output and potentially alleviating upward pressure on unemployment[16] - The 3-month USD/JPY basis swap was -25 basis points as of May 30, indicating a loosening of the offshore dollar financing environment following the reduction of tariff impacts[25]