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水牛还是价格修复?
Guoxin Securities· 2025-09-25 05:14
证券研究报告 | 2025年9月25日 水牛还是价格修复? 专题报告· 宏观经济 国信宏观 | 证券分析师:邵兴宇 | 证券分析师:田地 | 证券分析师:董德志 | | --- | --- | --- | | 010-88005483 | 0755-81982035 | 021-60933158 | | shaoxingyu@guosen.com.cn | tiandi2@guosen.com.cn | dongdz@guosen.com.cn | | S0980523070001 | S0980524090003 | S0980513100001 | 请务必阅读正文之后的免责声明及其项下所有内容 核心结论 1、(1)从资产相关性视角来看,权益资产上行核心驱动并非来自于宏观流动性过剩。(2) 从微观视角来看,本轮权益资产上行到目前为止并未引发场外资金大规模入场,而主要以 场内资金腾挪和加杠杆完成。 2、(1)市场自"反内卷"以来主导国内资本市场走势的核心因子是风险偏好回升。(2)从 三个角度看,四季度价格可能延续边际企稳:一是内外需定价品种存在显著分化;二是反 内卷逐步实施,对内需部分产生托底作用;三是诸如M ...
当美联储“极度鸽派”,黄金和美股同涨的可能性被低估了
Hua Er Jie Jian Wen· 2025-09-11 08:30
美联储将于下周召开货币政策会议,市场普遍预期年内首次降息届时将落地。 据追风交易台消息,花旗分析师Derome Robinson及其团队近日发布研报称,在美联储政策立场趋于鸽 派的"再通胀"时期,黄金与股票等风险资产之间的正相关性会显著增强,两者价格往往同步走高。然 而,当前市场对这一相关性的定价明显不足。 根据花旗建立的美联储政策立场指标,当前市场对终端利率的定价低于由通胀和增长指标所暗示的水 平,显示美联储的政策立场已处于"明确的鸽派"。 在这样的宏观背景下,黄金与风险资产历史上表现出的联动模式正在回归。花旗的分析显示,期权市场 目前所反映的黄金与标普500指数等风险资产的六个月隐含相关性,远低于在类似鸽派环境下实际发生 的水平,报告称其"看起来很便宜"。 花旗认为,这种定价偏差意味着市场低估了两者同步上涨的可能性,因此该行看好将股票上行风险与黄 金上行风险配对的策略。 市场定价显示,美联储明显偏鸽 报告中,花旗构建了一个美联储政策立场指标,该指标通过分析市场终端利率定价与市场化通胀和增长 指标之间的残差来评估联储的政策倾向。 报告指出,该指标目前处于低位,表明美联储的定价相对于基本面而言"过度宽松"。 ...
大类资产周报:资产配置与金融工程指数强势突破,贴水大幅收敛-20250630
Guoyuan Securities· 2025-06-30 07:12
Quantitative Models and Construction Methods 1. Factor Name: Beta Factor - **Construction Idea**: The Beta factor measures the sensitivity of a stock's returns to the overall market returns, indicating its systematic risk[29] - **Construction Process**: - Calculate the covariance between the stock's returns and the market returns - Divide this covariance by the variance of the market returns - Formula: $ \beta = \frac{\text{Cov}(R_i, R_m)}{\text{Var}(R_m)} $ where $R_i$ is the return of the stock and $R_m$ is the return of the market[29] - **Evaluation**: The Beta factor is a widely used measure of risk, indicating how much a stock's price is expected to move relative to the market[29] 2. Factor Name: Liquidity Factor - **Construction Idea**: The Liquidity factor assesses the ease with which a stock can be traded without affecting its price, reflecting the market's depth and breadth[29] - **Construction Process**: - Measure the average daily trading volume - Calculate the bid-ask spread - Combine these metrics to form a composite liquidity score - Formula: $ \text{Liquidity} = \frac{\text{Average Daily Volume}}{\text{Bid-Ask Spread}} $[29] - **Evaluation**: The Liquidity factor is crucial for understanding the trading costs and potential price impact of large trades[29] 3. Factor Name: Profitability Quality Factor - **Construction Idea**: The Profitability Quality factor evaluates the financial health and earnings quality of a company, focusing on sustainable and high-quality earnings[29] - **Construction Process**: - Analyze various financial ratios such as return on equity (ROE), return on assets (ROA), and profit margins - Combine these ratios into a composite score - Formula: $ \text{Profitability Quality} = \frac{\text{ROE} + \text{ROA} + \text{Profit Margin}}{3} $[29] - **Evaluation**: This factor helps in identifying companies with strong and sustainable earnings, which are likely to perform well in the long term[29] Factor Backtesting Results 1. Beta Factor - **IR**: 0.45[29] - **Annualized Return**: 8.5%[29] - **Volatility**: 12.3%[29] 2. Liquidity Factor - **IR**: 0.38[29] - **Annualized Return**: 7.8%[29] - **Volatility**: 11.5%[29] 3. Profitability Quality Factor - **IR**: 0.52[29] - **Annualized Return**: 9.2%[29] - **Volatility**: 10.8%[29] Additional Factors and Their Performance 1. Factor Name: Skewness Factor - **Construction Idea**: The Skewness factor measures the asymmetry of the return distribution, indicating the potential for extreme positive or negative returns[33] - **Construction Process**: - Calculate the third moment of the return distribution - Normalize by the cube of the standard deviation - Formula: $ \text{Skewness} = \frac{E[(R - \mu)^3]}{\sigma^3} $ where $R$ is the return, $\mu$ is the mean return, and $\sigma$ is the standard deviation[33] - **Evaluation**: This factor is useful for understanding the tail risks and potential for extreme outcomes in the return distribution[33] 2. Factor Name: Position Change Factor - **Construction Idea**: The Position Change factor tracks changes in the holdings of large institutional investors, indicating their sentiment and market positioning[33] - **Construction Process**: - Monitor the quarterly filings of institutional investors - Calculate the net change in positions for each stock - Formula: $ \text{Position Change} = \frac{\text{Current Quarter Holdings} - \text{Previous Quarter Holdings}}{\text{Previous Quarter Holdings}} $[33] - **Evaluation**: This factor provides insights into the buying and selling activities of major market players, which can influence stock prices[33] Factor Backtesting Results 1. Skewness Factor - **IR**: 0.42[33] - **Annualized Return**: 8.1%[33] - **Volatility**: 11.9%[33] 2. Position Change Factor - **IR**: 0.47[33] - **Annualized Return**: 8.7%[33] - **Volatility**: 11.2%[33]