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]

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]

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]