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 ...

Core Insights - The phenomenon of "deposit migration" in China's financial market reflects a significant shift of residents' funds from traditional bank deposits to non-bank financial institutions, driven by low deposit interest rates and attractive stock market performance [1][2][5] Group 1: Deposit Migration Dynamics - In July 2025, residents' deposits decreased by 1.11 trillion yuan, a year-on-year drop of 780 billion yuan, while non-bank financial institutions saw an increase of 1.39 trillion yuan, marking a near ten-year high [1] - The decline in bank deposit attractiveness is attributed to a continuous drop in interest rates, with many small and medium banks reducing rates by 10 to 40 basis points since April, leading to annualized rates below 2% [1][2] - The stock market's strong performance in July, with over 2 million new stock accounts opened, indicates a growing participation of ordinary citizens in equity investments [2][3] Group 2: Changing Investment Landscape - The diversification and convenience of investment channels have contributed to this trend, with mobile technology enabling easy access to various investment products [2][3] - A shift in the public's financial mindset is evident, as individuals now recognize that idle funds equate to depreciation due to inflation and rising living costs [2][5] - The younger generation, particularly those born after 2000, shows a higher acceptance of investment, actively engaging in the stock market and driving new investment trends [3][5] Group 3: Policy and Economic Implications - Recent monetary policy changes, including a reduction in loan market quotation rates and deposit rates by major banks, have further encouraged the flow of funds into alternative investment channels [3][5] - The "deposit migration" phenomenon is seen as a "seesaw effect" between resident deposits and non-bank deposits, where declining bank deposit yields push funds towards higher-yielding investments [5] - This shift is expected to enhance liquidity in the stock market, expand asset management for fund companies, and increase premium income for insurance firms, indicating a transformative impact on the financial ecosystem [5][7] Group 4: Future Outlook - The trend of "deposit migration" is likely to persist in the short term due to ongoing low bank deposit rates and deepening capital market reforms [7] - As the financial market matures, wealth management for residents is anticipated to become more diversified and professional, with bank deposits remaining a key option for risk-averse investors [7][9] - The overall societal impact of this shift is positive, promoting market activity, improving resource allocation efficiency, and creating more wealth opportunities for the public [9]

Market Overview - The A-share market has shown strong upward momentum, with the Shanghai Composite Index breaking through the key level of 3674.40 points, reaching a new high since the "9·24" rally last year, with a year-to-date increase of nearly 10% [1] - On August 14, the index continued to rise, surpassing 3700 points, marking the highest level since December 2021, with trading volume in the Shanghai and Shenzhen markets reaching 2.18 trillion yuan, indicating a significant increase in market activity [1][2] Equity Market Dynamics - The current rally in the equity market is driven by multiple factors, including improved expectations from "anti-involution" policies, increased participation from retail investors, institutional funds, and foreign capital, as well as resilient macroeconomic fundamentals and proactive fiscal policies [2] - Various sectors are experiencing structural opportunities, with significant gains in securities, semiconductors, and insurance, indicating a shift away from a market dominated solely by bank stocks [2] Bond Market Analysis - The bond market has shown a mixed performance, with the yield on 10-year government bonds rising from 1.6855% on August 11 to 1.7350% on August 13, reflecting a lack of clear catalysts for bond price increases [1][2] - The bond market is currently influenced by two main factors: the strong performance of the equity market reducing the willingness of bond investors to increase positions, and a divergence in institutional behavior, with funds and brokerages being net sellers while banks and insurance companies are net buyers [3][5] Tax Policy Impact - The recent restoration of value-added tax on interest income from newly issued government and local bonds has led to an increase in selling pressure from funds, impacting their future bond allocation strategies [5][6] - Despite the tax changes, the overall impact on the bond market is expected to be limited, as the demand for fixed-income products remains relatively stable [8] Future Outlook - The bond market is perceived to be in a "top and bottom" range, with limited potential for significant yield declines due to the strong equity market and investor risk appetite, while still supported by a loose monetary policy [7] - Analysts suggest that the "look at stocks, do bonds" strategy may continue, but the coexistence of a "dual bull" market for stocks and bonds is also possible as the capital market recovers [7][8]

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - The further decline of US Treasury yields before September may be primarily driven by weaker economic data leading to higher expectations of interest rate cuts, or by the "see - saw effect" triggered by the weakness of other assets. The 10 - year yield is expected to fluctuate at a low level in the range of 4.00 - 4.30%, but inflation and the "Big and Beautiful" Act may impede the decline of long - term yields [4][14]. - In the two - week period from July 18 to August 1, 2025, affected by the US July non - farm payroll report, global investors' risk - aversion increased, resulting in a double - kill situation in the US stock and bond markets. Different asset classes showed various trends, including significant declines in US and UK government bond yields, a new high in the Japanese stock market, a slump in the US stock market, an upward trend in the coking coal index, a decline in Chicago agricultural product futures prices, and a depreciation of the ruble and the euro [5][15]. Summary According to the Directory 1. What Conditions are Needed for the Further Decline of US Treasury Yields? - **Monetary Policy**: At the July FOMC meeting, the interest rate and other monetary policies remained at the June level, in line with market expectations. Waller and Bowman voted against interest rate cuts, citing signs of weakness in the labor market, and Kugler, who was set to leave early, did not attend or vote. Kugler's early departure may increase Trump's influence on the Fed and lead to more divided views within the Fed [1][10]. - **Growth**: Q2 GDP showed a quarter - on - quarter increase of 3.0%, but the main drivers were a decline in imports and accelerated consumer spending. Private consumption and investment weakened, with PDFP growing by 1.2% quarter - on - quarter, lower than the 1.9% in Q1 [2][10]. - **Inflation**: In June, inflationary pressures emerged, with CPI at 2.7%, core CPI at 2.9%, PCE at 2.6%, and core PCE at 2.8%, all reaching the highest levels since March [2][10]. - **Employment**: In July, the ADP employment figure rebounded unexpectedly, but the non - farm payroll data was disappointing, with significant downward revisions to previous months' data. The unemployment rate rose from 4.1% to 4.2%, which greatly disrupted the interest rate market expectations, causing the 1 - year yield to decline by about 17bp on August 1 [2][11]. - **Policy Stance**: Some Fed presidents still recognize the resilience of the economy and employment and maintain a restrictive monetary policy stance, denying the risk of recession and affirming the risk of stagflation [3][12]. 2. Bi - weekly Overseas Macro - analysis - **Interest Rates**: In the past two weeks, US Treasury yields declined significantly, with the 1 - year and 10 - year yields both dropping 21bp to 3.87% and 4.23% respectively. Affected by US Treasuries, UK government bond yields also declined on August 1, increasing investors' risk - aversion [5][16]. - **Equities**: The Japanese stock market reached a new high, with the Nikkei 225 index rising 2.46% in the past two weeks, driven by the US - Japan trade agreement on July 23. However, trading volume was low in July. The US stock market slumped after the release of the July non - farm payroll report, with the Nasdaq index dropping 2.29% on the night of the report release [17]. - **Commodities**: The coking coal index rose 12.07% in the past two weeks after the central government emphasized governance of low - price and disorderly competition in the coal industry. Chicago agricultural product futures prices fell across the board, pressured by high expectations of a bumper US autumn harvest [18]. - **Foreign Exchange**: The ruble depreciated by 3.44% in the past two weeks after the Russian central bank cut interest rates by 200 basis points on July 25. The euro fell 1.24% due to the impact of the US - EU trade agreement and a decline in investor confidence [19]. 3. Market Tracking - The report presents multiple charts, including the bi - weekly fluctuations of global major economies' government bond yields, global major stock indices, major commodities, and global major foreign exchange rates (against the RMB), as well as the latest economic data panels of the US, Japan, and the Eurozone, and the yield curves and inflation trends of US, Japanese, and German government bonds [24][28][30][32][35][41][45].

Group 1: Investment Rating - There is no information about the industry investment rating provided in the report. Group 2: Core Views - Last week, the bond market adjusted continuously. Credit bonds experienced an unexpected "steep decline" with larger drops than interest - rate bonds. Affected by the "anti - involution" sentiment, the equity and commodity markets strengthened, causing the bond market to weaken due to the "see - saw" effect. Tightening liquidity in the second half of the week and strong profit - taking in funds and wealth management also contributed to the decline. The central bank's liquidity support on Friday stabilized the bond market temporarily [2][11]. - The adjustment of ultra - long - term credit bonds exceeded that of interest - rate bonds of the same maturity, with the highest adjustment in perpetual and secondary capital (perpetual and Tier 2, "Perp & T2") ultra - long bonds. The yields of AAA/AA + 10Y medium - term notes, AAA/AA + 10Y urban investment bonds, and AAA - 10Y bank Tier 2 capital bonds all increased significantly [3][12]. - The Perp & T2 bond market weakened and showed a "volatility amplifier" characteristic, with the declines of 3Y and above maturities exceeding those of general credit and ultra - long - term credit bonds of the same maturities. The trading sentiment was weak throughout the week, only easing on Friday [4][17]. - The selling intention of ultra - long - term credit bonds was strong, while the buying intention was weak. High - activity trading was mainly concentrated in 3 - 5Y low - quality urban investment bonds and some short - term real estate and financial bonds with flaws [5][22]. - Public funds continued to reduce their credit bond holdings, especially for bonds with maturities over 5 years. However, the turnover rate of 3 - 5Y Perp & T2 bonds increased significantly, indicating a shift to more liquid varieties. The trading value of credit - market - making ETFs decreased by nearly 4 billion, and the growth rate of the trading value of sci - tech innovation bond ETFs slowed down [5][27]. - In the short term, liquidity is still the key strategy. After the steep decline, 3 - 5Y bank Tier 2 capital bonds present certain investment opportunities, and there are also good opportunities for 1 - 3Y low - quality urban investment bond sinking and riding strategies. It is recommended to wait for better entry points for ultra - long - term bonds [5][27]. Group 3: Summary by Directory 1. Bond Market Adjustment and Performance - From July 21 to July 25, 2025, the yields of 1Y - 5Y treasury bonds increased by 3.5BP, 5.5BP, 7.3BP, 7.9BP, and 7.9BP respectively, while the yields of the same - maturity AAA and AA + medium - term notes increased more significantly [11]. - The yields of 10Y AAA/AA + medium - term notes, AAA/AA + urban investment bonds, and AAA - 10Y bank Tier 2 capital bonds increased by 11.99BP, 9.99BP, 11.14BP, 10.14BP, and 14.47BP respectively, while the 10Y treasury bond yield only increased by 6.72BP [3][12]. 2. Curve Shape and Credit Spread Analysis - The steepness of the 1 - 2Y all - grade and 2 - 3Y low - grade curves was the highest, and the steepness was basically the same as that at the end of May. Except for the relatively flat short - end (less than 1 year), the rest of the maturities were at the highest steepness since the current bull market [14]. - The 3Y - 5Y credit spread protection cushion has been strengthened. The yields of 1Y - AAA, 3Y - AAA, 5Y - AAA, 1Y - AA +, 3Y - AA +, 5Y - AA +, 1Y - AA, and 3Y - AA medium - term notes were at the 19.89%, 26.02%, 25.25%, 12.75%, 15.05%, 18.62%, 13.77%, and 17.85% levels since 2024 respectively. The historical quantiles of their credit spreads were 11.14%, 24.66%, 28.64%, 6.89%, 13.52%, 21.48%, 7.69%, and 26.79% respectively [16]. 3. Perp & T2 Bond Market Analysis - The Perp & T2 bond market weakened, and the declines of 3Y and above maturities exceeded those of general credit and ultra - long - term credit bonds of the same maturities. The 1 - 5Y, 7Y, and 10Y AAA - bank Tier 2 capital bond yields increased by 6.73BP, 11.11BP, 13.80BP, 15.27BP, 13.67BP, 14.21BP, and 14.47BP respectively [4][17]. - The trading sentiment was weak throughout the week, only easing on Friday. From July 21 to July 25, the low - valuation trading ratios of Perp & T2 bonds were 4.88%, 7.32%, 0.00%, 0.00%, and 100.00% respectively, and the average trading durations were 0.77 years, 0.63 years, 0.53 years, 0.50 years, and 4.05 years respectively [4][19]. 4. Ultra - long - term Credit Bond Market Analysis - The selling intention of ultra - long - term credit bonds was strong, and the discount trading ratios from July 21 to July 25 were 92.68%, 60.98%, 90.24%, 97.56%, and 65.85% respectively. The discount amplitude was also significant, with some trading at over 5BP [5][22]. - The buying intention of ultra - long - term credit bonds was weak. The low - valuation trading ratios from July 21 to July 25 were 29.27%, 4.88%, 2.44%, 2.44%, and 4.88% respectively, and most of the low - valuation trading amplitudes were within 2BP [5][23]. 5. Institutional Behavior and ETF Analysis - Public funds continued to reduce their credit bond holdings, especially for bonds with maturities over 5 years. However, the turnover rate of 3 - 5Y Perp & T2 bonds increased significantly, indicating a shift to more liquid varieties [5][27]. - Affected by the market adjustment, the trading value of credit - market - making ETFs decreased by nearly 4 billion in a week, and the growth rate of the trading value of sci - tech innovation bond ETFs slowed down, with the subsequent increase in ETFs possibly falling short of expectations [5][27].

Group 1: Financial Data Overview - In June, China's new social financing (社融) reached 4.20 trillion yuan, exceeding the expected 3.71 trillion yuan[2] - New RMB loans amounted to 2.24 trillion yuan, surpassing the forecast of 1.84 trillion yuan[2] - M2 growth year-on-year was 8.3%, slightly above the expected 8.1%[2] Group 2: Private Sector Dynamics - The willingness of the private sector (both enterprises and households) to expand balance sheets has improved, with social financing growth rising to 8.9% year-on-year[5][9] - In June, social financing increased by 900.8 billion yuan compared to the same month last year, with government contributions at 56.3% and credit contributions at 31.6%[5][9] - New loans for enterprises rebounded to historical median levels, with non-financial enterprise loans increasing by 1.77 trillion yuan, a year-on-year increase of 1.4 trillion yuan[11] Group 3: Household Loan Trends - New household loans rose to 597.6 billion yuan, reflecting an increase of 26.7 billion yuan year-on-year, indicating improved household willingness to expand[12] - Short-term household loans increased by 262.1 billion yuan, while medium to long-term loans rose by 335.3 billion yuan, showing resilience in consumer spending[12] Group 4: Government Financing Impact - Government financing continued to dominate new social financing, with an increase of 1.35 trillion yuan in government debt financing, up 503.2 billion yuan year-on-year[17] - The "seesaw effect" between government financing and enterprise loans has weakened, leading to improved enterprise loan growth[11][20] Group 5: Monetary Indicators - Total deposits increased by 3.21 trillion yuan, with M2 growth rebounding to 8.3%[22] - M1 growth rate rose by 2.3 percentage points to 4.6%, indicating enhanced actual currency circulation[23][24]

Core Viewpoint - The A-share market shows mixed performance with the Shanghai Composite Index breaking through the 3500-point level, indicating potential upward momentum in the market [1][10]. Market Performance - As of the midday close on July 14, the Shanghai Composite Index stood at 3525.4 points, up 0.43%, while the Shenzhen Component Index was at 10671.48 points, down 0.23%, and the ChiNext Index at 2190.82 points, down 0.74% [1][2]. - The overall market saw over 2600 stocks rising, indicating a relatively balanced performance between gainers and losers [2]. Sector Performance - The PEEK materials sector led the gains, followed by precious metals, small home appliances, humanoid robots, and the power sector [4]. - Conversely, the diversified financial sector was sluggish, with cultural media and real estate sectors showing weakness [4]. Capital Flow - Main capital inflows were observed in machinery, electrical equipment, and automotive sectors, while outflows were noted in computing, non-bank financials, and media sectors [6]. - Specific stocks such as Siyuan Electric, Greenland Holdings, and Xiangyang Bearing saw net inflows of 8.63 billion, 7.38 billion, and 7.26 billion respectively [7]. - On the outflow side, stocks like Dazhihui, Dongfang Caifu, and BYD faced sell-offs amounting to 11.1 billion, 9.1 billion, and 7.77 billion respectively [8]. Institutional Insights - Analysts suggest that the Shanghai Composite Index's breakout above 3500 points could open further upward space, with long-term funds continuously buying into bank-led dividend sectors [10]. - The market is advised to focus on sector rotation opportunities, particularly in innovative pharmaceuticals, computing power chains, PCB, and solid-state batteries [10]. - Technical analysis highlights the importance of the 3490-point support level for the Shanghai Composite Index, with potential buying opportunities if the index dips [10].

Group 1 - The national team has paused market support, leading to a long upper shadow on the FTSE A50 index, indicating potential downward trends if the market does not rebound significantly next week [1] - The trading volume in the Shanghai and Shenzhen markets exceeded 1.7 trillion, with retail investors entering the market significantly above 3,500 points, resulting in a large outflow of funds totaling 12.9 billion [1] - The banking sector has seen a significant rise, creating a contrasting effect where individual stocks have not followed suit, leading to a "decline in rising" market dynamic [5][3] Group 2 - The Shanghai Composite Index rose by 0.01%, while the Shenzhen Component Index and the ChiNext Index increased by 0.61% and 0.8% respectively, indicating a potential divergence where the Shanghai index may be peaking while the Shenzhen and ChiNext indices could continue to rise [7] - The market has shown a positive trend over the past three weeks, with the Shanghai index's trading volume gradually increasing, while the ChiNext index's volume has been decreasing, suggesting a growing divergence in market dynamics [7]

Group 1: Dollar Depreciation and Global Financial Trends - The dollar is expected to depreciate by over 10% in the first half of 2025, marking the largest decline for this period since 1973 [1] - Despite the dollar's depreciation, central bank leaders believe that its status as the world's reserve currency is unlikely to change in the short term, with the dollar accounting for 58% of global foreign exchange reserves compared to 20% for the euro [1] - The market sentiment often diverges from actual performance, as evidenced by the strong performance of the US stock market despite predictions of a declining dollar [3] Group 2: Real Estate Market Concerns - A report from a major overseas bank indicates that real estate demand may decline by an additional 50%, which could significantly impact consumption and investment, given that approximately 60% of wealth is concentrated in real estate [5] Group 3: A-share Market Resilience - A-share market shows signs of resilience, with ETF fund flows shifting from net outflows to net inflows since June 13, indicating that smart money is quietly positioning itself [6] - The relationship between real estate and stock market investments suggests that as real estate becomes less attractive, funds will seek new opportunities in the stock market [8] Group 4: Retail Investor Challenges - Retail investors often fall into cognitive traps, such as equating stock price movements with trading activity, which can lead to misinterpretations of market trends [10] - The phenomenon of institutional buying not leading to stock price increases highlights the importance of trading activity over mere holding volume [10] - In a volatile market, institutions are continuously testing and adjusting their strategies, which can provide insights into the quality of their holdings [12] Group 5: Recommendations for Ordinary Investors - Ordinary investors are advised to focus on building their own investment analysis frameworks and utilizing professional quantitative tools to better understand market dynamics [14] - Emphasizing patience and discipline is crucial in navigating the complexities of the current financial landscape, where valuable data often lies in the details [14]

Group 1 - The technology sector is experiencing significant growth, driven by DeepSeek, while the dividend sector is underperforming, creating a "see-saw effect" between the two [2][4] - Technology stocks are characterized by high growth and volatility, while dividend stocks represent low-risk assets with stable cash dividends [5][6][7] - The current market environment suggests that a "barbell strategy" combining both technology and dividend stocks may be an effective approach for investors to manage risk and pursue returns [8][9] Group 2 - The technology sector benefits from economic recovery, technological breakthroughs, and policy support, making it sensitive to market dynamics [7] - Dividend stocks, primarily from traditional industries like banking and coal, serve as a defensive measure in volatile markets due to their high dividend yields [8] - Investors are advised to either engage in rotation strategies or maintain a focus on familiar sectors while considering a combination of dividend and technology stocks to navigate market uncertainties [9]