资产配置与金融工程 证券研究报告 A股领涨全球权益，股债负相关性达高位 ——大类资产周报（20250818-20250822） 分析师：朱定豪 SAC执业资格证书编码: S0020521120002 邮箱：zhudinghao@gyzq.com.cn 2025年8月25日 分析师：汤静文 SAC执业资格证书编码: S0020524060001 邮箱：tangjingwen@gyzq.com.cn 联系人：黄雯瑜 邮箱：huangwenyu@gyzq.com.cn 摘要 一、本周大类资产交易主线 本周宏观增长因子继续向上，通胀高频因子反弹态势减弱，价格压力仍然较高。A股领涨全球（上证+3.49%、创业板+5.85%）， 科技成长主导，50ETF隐含波动率（IV）上升至19.78%，美股分化，道指创新高（+1.53%）而纳指回调（-0.58%），鲍威尔降息 预期提振风险偏好，国内债市调整显著（30年期国债期货跌1.43%），股债负相关性达历史高位，"跷跷板效应"凸显，外盘商品 强势（布油+2.14%、COMEX黄金+1.02%）受地缘风险与通胀对冲驱动，内盘商品普跌（南华商品指数-0.44%）；美元趋弱（美 元指 ...

Group 1 - The article emphasizes that funds are very suitable investment products for ordinary people [2] - It suggests that new investors should consider what types of funds are more appropriate for them and how to approach fund investment [3][4] - The article offers a free course to help new investors understand fund investment from scratch, including course notes and mind maps for efficient learning [3][4] Group 2 - The article discusses investment opportunities during the later stages of bull markets, referencing three recent bull markets [7] - In the 2014-2015 bull market, some debt products showed good opportunities, with a specific strategy (分级A) rising by 30% during market downturns [9] - The 2016-2017 bull market saw strong earnings growth for A-share companies, but long-term pure bonds and gold were underperforming during this period [12] - The 2019-2021 bull market was characterized by growth style investments, with undervalued opportunities in bank and dividend stocks despite a significant market rise [16] - The article notes that currently, A-shares are not overly expensive, making it difficult to predict which products will present opportunities in the later stages of this bull market [17]

Industry Investment Rating - No information provided Core Viewpoints - Since July, the long - end bond yields have risen and the yield curve has steepened. The adjustment of long - end rates is mainly due to the correction of deflation expectations, the rise of the stock market, and the improvement of market risk appetite. It is expected that when the 10 - year Treasury bond adjusts to around 1.80%, the bond market odds will be prominent, institutional trading willingness will increase, and the bond market may stabilize [8][17][29] Summary by Directory 1. Reasons for Recent Interest Rate Increases - The short - end interest rates have not changed significantly due to the continuous low - level of capital interest rates and the loose capital situation. Since April, the capital interest rate DR007 has continued to decline, and the inter - bank certificate of deposit rate has also shown a downward trend. Since August, the 1 - year inter - bank certificate of deposit rate has been running in the low - level range of 1.60 - 1.65% [11] - The "anti - involution" policy has led to an increase in inflation expectations and raised the long - end interest rate center. After the relevant policies were introduced in July, industries such as automobiles, photovoltaics, etc. started "anti - involution" actions, which increased inflation expectations [14] - The continuous rise of the stock market has suppressed the bond market. Since July, the stock market has accelerated its rise, the market risk preference has increased, and the long - end bond market has been suppressed [16] 2. Assessment of Interest Rate Adjustment - From the perspective of stock - bond correlation, the negative correlation between the Shanghai Composite Index and the 10Y Treasury bond yield is still strong. Since April this year, the negative correlation has been strong, and it is expected to remain so in the future, with the rise of equities continuing to suppress the bond market [19] - From the perspective of credit comparison, after the recent adjustment, as of August 15, the 10Y and 30Y Treasury bond yields have returned to a reasonable range compared with credit. The 10Y Treasury bond yield is 1.75%, slightly higher than the actual income of the first - home mortgage, and the 30Y Treasury bond yield is 2.05%, higher than the actual income of the second - home mortgage [20] - From the perspective of term spreads, the long - end interest rates still have room to rise. In previous similar adjustment periods, the term spreads increased by 25BP and 27BP respectively. In this round, from April 29 to August 15, the 10Y - 1Y term spread has increased by 21BP, and there is still 5BP of upward space [24]

Group 1 - The core viewpoint of the article emphasizes the characteristics and advantages of "fixed income +" products, which leverage the negative correlation between stocks and bonds to reduce volatility risk and achieve better long-term returns [2][3][4]. Group 2 - Characteristic 1: Negative correlation between stocks and bonds, where stock market surges typically lead to underperformance in bond funds, and vice versa [3]. - Characteristic 2: The short-term performance of "fixed income +" products is more influenced by the stock component due to the larger fluctuations in stock prices compared to bonds [4][5]. - Characteristic 3: The decline in deposit interest rates enhances the appeal of "fixed income +" products, as traditional deposits offer low returns, with one-year fixed deposit rates dropping below 1% as of May 2025 [6]. Group 3 - The influx of funds into "fixed income +" products is expected as a significant portion of maturing funds from previous loans will not remain in deposits or enter the stock market, thus driving growth in this category [8].

Core Viewpoint - The article discusses the current state of long-term pure bond funds, highlighting their underperformance in 2025 due to low interest rates and the shift towards "fixed income plus" products that combine bonds with equities for better returns [10][12][35]. Summary by Sections Types of Bond Funds - Common types of bond funds include short-term pure bond funds, long-term pure bond funds, and "fixed income plus" funds [1][4][6]. - Short-term pure bond funds have minimal volatility, typically with a drawdown of less than 1% [1]. - Long-term pure bond funds, such as 7-10 year government bonds, exhibit greater volatility, potentially comparable to low-volatility stock funds [2][3]. - "Fixed income plus" funds combine bonds with a small portion of equities or convertible bonds, aiming for higher returns [4][5]. Performance Trends - In 2021, long-term pure bond funds had interest yields of over 3%-4%, but entered a declining interest rate cycle thereafter [7][8]. - A bull market for long-term pure bond funds lasted from 2021 to 2024, but by 2025, these funds faced significant declines due to low yields [9][10][12]. - As of late 2024, the yield on 10-year government bonds was around 1.6%-1.7%, making long-term pure bonds less attractive [12]. Factors Influencing Bond Fund Performance - Interest rate fluctuations are a primary factor affecting bond fund performance, with declining rates typically leading to rising bond prices [15][16]. - The long-term trajectory of interest rates is influenced by economic growth rates and inflation [20][21]. - In 2025, the performance of long-term pure bond funds was negatively impacted by rising interest rates and a strong stock market [13][20]. Shift to "Fixed Income Plus" Products - Due to low yields on traditional bond funds, investors are increasingly turning to "fixed income plus" products, which offer a mix of stable bond returns and higher-risk equities [35][36]. - "Fixed income plus" funds typically consist of a defensive bond component and a more aggressive equity component, aiming to enhance overall returns [36][37]. - The performance of "fixed income plus" products has been strong, with indices for these funds reaching new highs in 2025, contrasting with the decline in pure bond fund indices [38][39]. Characteristics of "Fixed Income Plus" Products - These products leverage the negative correlation between stocks and bonds, allowing for reduced volatility and improved long-term returns [39][40]. - The risk profile of "fixed income plus" products is significantly influenced by the proportion of equities they hold [43][44]. - They benefit from declining deposit rates, as traditional savings accounts offer lower returns, prompting investors to seek better alternatives [46][48]. Investment Considerations - Investors should assess the equity proportion in "fixed income plus" products based on their risk tolerance [51]. - The bond component should focus on mid to short-term bonds, which currently offer more stability [51]. - Selecting funds with automatic rebalancing strategies can help mitigate risks associated with market volatility [51][60]. Examples of "Fixed Income Plus" Products - The 365-day and monthly salary investment combinations are highlighted as effective "fixed income plus" options, with varying equity and bond ratios [52][55]. - These products have shown resilience and recovery in performance, with the 365-day combination achieving historical highs since its inception [55][58].

Core Viewpoint - The current market is showing strong upward momentum, with both large and small-cap stocks rising, and there are potential investment opportunities as the market approaches the later stages of a bull market [1][3][5]. Market Performance - The market opened lower but closed higher, returning to a 4.6-star rating [2]. - All market caps (large, mid, and small) experienced gains, with small-cap stocks showing slightly higher increases [3]. - Value style saw a slight increase, while growth style remained relatively strong [4]. Historical Bull Market Analysis - The article discusses three previous bull markets and the investment opportunities that arose in their later stages: 1. **2014-2015 Bull Market**: Characterized by a bubble in small-cap stocks, which peaked in June 2015. Despite a significant market downturn later, certain debt products, like the graded A strategy, performed well during the decline, gaining 30% [9][10][14]. 2. **2016-2017 Bull Market**: This period saw a strong economic cycle with A-share companies experiencing their highest profit growth in a decade. Value, dividend, and financial indices outperformed previous highs, although traditional safe-haven assets like gold and long-term bonds faced declines [18][19][21][23]. 3. **2019-2021 Bull Market**: Driven by growth stocks, this period was marked by significant monetary stimulus due to the pandemic. While the overall market rose by 80%, value stocks like banks remained undervalued, presenting investment opportunities [27][28][31]. Current Market Outlook - The current A-share market is not yet overvalued, making it difficult to predict which specific assets will present opportunities in the later stages of this bull market. Typically, there is an inverse relationship between stocks and bonds, where a strong stock market can lead to undervalued long-term bonds [38][39]. - The yield on 10-year government bonds has increased from approximately 1.6% to around 1.7%, indicating that the current investment value is not yet attractive, suggesting patience is required [41]. Investment Tools and Resources - The article introduces a mini-program that provides a percentile valuation table for various indices, allowing users to filter and find target index funds easily [44][46].

文 | 银行螺丝钉 （转载请注明出处） 今天大盘微涨微跌，还在4.8星。 沪深300等大盘股微跌，小盘股微涨。 今天价值风格比较坚挺。 A股港股的红利品种整体上涨。 创业板等成长风格下跌。 最近股票市场比较坚挺，上涨回到4.8星。 不过债券市场连续下跌。30年期国债指数，今天下跌1.4%。 股债有一定的负相关性。 前两年股票下跌，债券上涨。 今年变成股票上涨，债券下跌。 对长期纯债来说，目前性价比还不太高。 10年期国债收益率在2%以下，还是偏低的。最好是达到2.X%再考虑长期纯债。 1. 上周推出了刺激消费的利好政策《提振消费专项行动方案》。 里面包括了几个大项。 （1）提高城乡居民收入。 包括拓宽财产性收入渠道。例如股票市场、基金、保险、年金等等。 其实这个利好政策，上周五就有预期，前几天消费行业也已经提前上涨了一波。 （2）消费能力保障支持。 例如生育养育保障，教育支撑，医疗养老保障。 部分城市对生二胎三胎的奖励力度提高。 （3）促进消费。 例如适老化改造、生活服务消费、文体旅游消费等等。 （4）大宗消费更新。 用好超长期特别国债，来支持汽车、家电、家装等耐用消费品的更新；还有住房消费。 目前人民币长期 ...