Report Information - Report Title: "Large Class Asset Morning Report" - Report Date: September 17, 2025 - Author: Macro Team of the Research Center [2] Global Asset Market Performance 10 - Year Treasury Yields of Major Economies - Yields and Changes: On September 16, 2025, the 10 - year Treasury yields of the United States, the United Kingdom, France, etc. were 4.029, 4.638, 3.488 respectively. There were various changes in the latest, weekly, monthly, and yearly periods. For example, the latest change in the US was -0.010, and the yearly change was 0.319 [3]. 2 - Year Treasury Yields of Major Economies - Yields and Changes: On September 16, 2025, the 2 - year Treasury yields of the United States, the United Kingdom, Germany, etc. were 3.560, 3.960, 2.000 respectively. There were also different changes in different time - spans [3]. Dollar Exchange Rates Against Major Emerging - Market Currencies - Exchange Rates and Changes: On September 16, 2025, the dollar - to - Brazilian real exchange rate was 5.297, and there were percentage changes in the latest, weekly, monthly, and yearly periods. For instance, the latest change was -0.37%, and the yearly change was -5.40% [3]. Stock Indices of Major Economies - Index Values and Changes: On September 16, 2025, the S&P 500 was 6606.760, the Dow Jones Industrial Average was 45757.900, etc. There were percentage changes in the latest, weekly, monthly, and yearly periods. For example, the latest change in the S&P 500 was -0.13%, and the yearly change was 22.16% [3]. Credit Bond Indices - Index Changes: The latest, weekly, monthly, and yearly changes of credit bond indices such as the US investment - grade credit bond index, the euro - zone investment - grade credit bond index, etc. were presented. For example, the latest change in the US investment - grade credit bond index was 0.04%, and the yearly change was 4.72% [3] Stock Index Futures Trading Data Index Performance - Closing Prices and Changes: The closing prices of A - shares, CSI 300, SSE 50, etc. were 3861.87, 4523.34, 2947.82 respectively, with corresponding percentage changes [4]. Valuation - PE Ratios and Changes: The PE (TTM) ratios of CSI 300, SSE 50, and others were 14.09, 11.80, 34.32 respectively, with环比 changes [4]. Risk Premium - Risk Premium and Changes: The risk premiums (1/PE - 10 - year interest rate) of S&P 500 and German DAX were -0.39 and 2.50 respectively, with环比 changes [4]. Fund Flows - Fund Flow Values: The latest values and 5 - day average values of fund flows in A - shares, the main board, etc. were provided. For example, the latest value of A - share fund flow was -305.93 [4]. Trading Volumes - Trading Volumes and Changes: The latest trading volumes of the Shanghai and Shenzhen stock markets, CSI 300, etc. were 23414.02, 6137.28, etc., with环比 changes [4]. Main Contract Basis and Premium/Discount - Basis and Premium/Discount: The basis and percentage of premium/discount of IF, IH, IC were given. For example, the basis of IF was -6.54, and the percentage was -0.14% [4] Treasury Bond Futures Trading Data Closing Prices and Changes - Closing Prices and Percentage Changes: The closing prices of Treasury bond futures T00, TF00, T01, TF01 were 108.000, 105.795, 107.680, 105.680 respectively, with corresponding percentage changes [5]. Fund Interest Rates - Interest Rates and Daily Changes: The R001, R007, and SHIBOR - 3M interest rates were 1.4778%, 1.4998%, 1.5530% respectively, with daily changes in basis points [5]

Core Viewpoint - Global market risk appetite continues to rise, with US stocks reaching historical highs as investors focus on upcoming retail data and prepare for the widely expected first interest rate cut by the Federal Reserve this year [1]. Group 1: Market Performance - Asian stock markets have reached record highs, while European stocks opened mixed, and US stock index futures are collectively rising [1][2]. - The S&P 500 index has surpassed the 6600-point mark [2]. - The MSCI Asia stock index has achieved a historical high and is on track for its best consecutive gains in nearly five years [3]. Group 2: Economic Indicators - August retail sales data is expected to grow by 0.2%, which will provide critical reference for Federal Reserve decision-making [1]. - There is a general expectation of a 25 basis point rate cut on Wednesday, with some investors considering the possibility of a 50 basis point cut [1]. Group 3: Bond Market - US Treasury prices have risen, with the 10-year yield dropping by 1 basis point to 4.03% as investors bet on an impending rate cut cycle by the Federal Reserve [4][6]. - The 10-year Treasury yield is reported at 4.029%, reflecting a slight decrease [6]. Group 4: Commodity Market - Spot gold has increased by $7, currently reported at $3694 per ounce, approaching the $3700 mark [6]. Group 5: Currency Market - The US dollar has fallen to its lowest level against all major currencies since July [9].

Core Insights - The article presents a comprehensive market monitoring dashboard covering multiple asset classes, including stocks, forex, commodities, and cryptocurrencies, providing traders with indicators for trend, reversal, volatility, and overbought/oversold conditions [1]. Asset Classification - The assets are categorized into four main classes: Equity, FX, Commodities, and Crypto, each with specific indicators for analysis [2]. Key Assets and Recent Changes - Key assets to focus on include: - **Equity**: SP500_US and Nasdaq100_US are highlighted for their significant volatility and potential for trend continuation or reversal [1]. - **China Stocks**: CSI300_China and SSE_China are noted for their low valuations and potential rebound, albeit with high volatility [1]. - **Forex**: USDJPY and USDCNY are emphasized due to significant central bank policy differences, while EURUSD and GBPUSD are suitable for macro hedging [1]. - **Commodities**: Gold and CrudeWTI are driven by safe-haven demand and inflation expectations, while CopperHG and Soybean are sensitive to economic cycles and Chinese demand [1]. - **Cryptocurrency**: BTCUSD and ETHUSD are recognized for their high volatility and suitability for swing trading [1]. Potential Trading Opportunities - Trading opportunities are identified based on specific numerical indicators, such as extreme Sigma values indicating potential rebounds or trend continuations [3]. Suggested Operational Framework - Strategies include: - **Rebound Opportunities**: Identifying assets with low Sigma values and reversal signals for potential rebounds [4]. - **Trend Continuation**: Following assets where EMA20 is above EMA100, indicating an upward trend [4]. - **Volatility Strategies**: Utilizing high VolRank and rising ATR% for options strategies or breakout trades [4]. Risk Considerations - Risks include: - **Overbought Risks**: High Sigma values indicating potential short-term overheating [4]. - **Trend Reversal Risks**: Signals indicating potential reversals, especially with high deviation [4]. - **Liquidity/Volatility Risks**: Extreme market conditions requiring position control [4]. Multi-Asset Comparison and Risk Management - Emphasis on comparing assets within the same category and using multiple indicators for comprehensive analysis [4]. - Risk management is prioritized, with all trades requiring stop-loss measures based on volatility and drawdown metrics [4]. - The technical analysis should be complemented with macroeconomic factors such as central bank policies and geopolitical events [4].

Core Viewpoint - The article discusses the relationship between volatility and risk, emphasizing that while volatility is often equated with risk, it can also represent potential returns depending on the investor's perspective [6][34]. Group 1: Academic Perspective on Volatility - Volatility is defined as risk in traditional finance, where it represents the uncertainty of future returns [7][9]. - The Sharpe Ratio is highlighted as a key metric for evaluating fund performance, taking into account the risk taken to achieve returns [8][10]. - Historical volatility is used to quantify risk, with higher volatility indicating greater risk and necessitating higher expected returns [11][12]. Group 2: Practical Perspective on Volatility - Warren Buffett and other value investors argue against equating volatility with risk, focusing instead on the risk of permanent capital loss [15][18]. - The article presents a dichotomy where risk-averse investors view volatility as something to avoid, while risk-seeking investors see it as an opportunity for profit [23][34]. - Different investment strategies are discussed, including those that embrace volatility for potential gains, such as grid trading and trend trading [31][32]. Group 3: Trading Perspective on Volatility - Volatility can be viewed as a tradable commodity, with options pricing reflecting historical volatility [26][27]. - The article explains that risk is a commodity that can be bought and sold, with different strategies catering to varying attitudes towards volatility [25][28]. - The concept of "volatility = returns" is explored, indicating that higher volatility can lead to greater profit opportunities for certain investors [22][24]. Group 4: Conclusion on Volatility - The article concludes that volatility is an inherent aspect of the financial world, influencing investor behavior and creating opportunities for profit [39][40]. - It emphasizes the importance of understanding what can be controlled and what cannot in the context of volatility and investment strategies [38][39].

Core Viewpoint - The article highlights that the current market dynamics, driven by ETFs, quantitative trading, QE, and 0DTE options, are creating a bubble that is likely to burst, with a Shiller CAPE ratio of 38 indicating an inevitable market reset [2][9][14] Group 1: Market Dynamics - The S&P 500 is projected to reach 6512 points in 2025, with a 25% increase in the year, primarily driven by momentum rather than earnings [3] - The Shiller CAPE ratio is at 38, significantly above the historical average of 17, indicating a severe disconnection between valuation and earnings growth, which is only 7-10% [3][9] - The market is experiencing a similar scenario to the lead-up to the 1987 "Black Monday," where momentum and technical risks are overlapping [7][8] Group 2: Momentum Factors - Four key momentum factors are identified as driving the market: index ETFs, quantitative funds, QE liquidity, and 0DTE options [4] - The total assets under management (AUM) of U.S. ETFs reached $12.2 trillion in 2025, a 74% increase from $7 trillion in 2020, with significant inflows into large-cap stocks [4] - Quantitative hedge funds achieved an 11% return in the first half of 2025, with momentum strategy ETFs rising by 15.5%, indicating a strong reliance on price trends [5] - The Federal Reserve's balance sheet is projected to be $6.2 trillion in 2025, still 55% higher than pre-pandemic levels, contributing to a liquidity-driven market environment [6] - Retail trading volume has surged, with retail investors accounting for 10-36% of market activity in 2025, and 0DTE options making up 61% of S&P 500 options volume [6] Group 3: Historical Comparisons - The article draws parallels between the current market conditions and those of 1987, noting that both periods exhibit high CAPE ratios and reliance on momentum-driven trading strategies [9][12] - Historical data shows that when CAPE exceeds 30, markets typically experience a 20-30% decline, suggesting a similar outcome is likely in 2025 [9] Group 4: Investment Implications - The article suggests that value stocks, particularly in sectors like energy and finance, may outperform momentum stocks in the current environment, similar to post-1987 trends [13] - Diversifying assets and returning to fundamental analysis are emphasized as key strategies to navigate the current momentum-driven market [13][14]

Group 1: Market Overview - The global financial market experienced a unique rally where both risk and safe-haven assets rose simultaneously, driven by weak labor market data in the US, paving the way for potential interest rate cuts by the Federal Reserve [1] - Major global stock indices saw significant gains, with the S&P 500 rising approximately 1.6% for the week, marking its best weekly performance of the month and reaching historical highs [1][3] - European stock markets also recorded gains, albeit more modestly, influenced by improved global risk sentiment and the European Central Bank's decision to maintain interest rates [1] Group 2: Regional Market Performance - The Nikkei 225 index in Japan reached a new historical high, benefiting from positive global risk sentiment and a weaker yen, which favored export-oriented companies [2] - Semiconductor and AI-related stocks were key drivers of the Nikkei's rise, reflecting strong performance in these sectors [2] Group 3: Commodity Market Dynamics - Gold emerged as a standout performer, breaking historical highs due to expectations of Fed rate cuts, a weaker dollar, and declining real yields, supported by ongoing central bank purchases and geopolitical uncertainties [2] - The oil market exhibited mixed trends, influenced by concerns over economic slowdown and OPEC+ production increases, while a weaker dollar and ongoing geopolitical tensions provided some support [2]

Core Viewpoint - The Russell 2000 index, which includes some of the riskiest stocks in the market, has seen a significant surge recently, with multiple Wall Street strategists believing that this rally is just beginning [1] Group 1: Market Performance - The Russell 2000 index has risen nearly 10% since the end of July, outpacing the S&P 500 index by two times [1] - Analysts predict that the Russell 2000 index could rise another 20% over the next year, while the S&P 500 index is expected to increase by 11% [1] - Despite the recent surge, the Russell 2000 index's cumulative gain in 2025 still lags behind that of the S&P 500 index [1] Group 2: Economic Factors - The anticipated interest rate cuts by the Federal Reserve are expected to significantly lower the financing costs for companies within the Russell 2000 index, thereby enhancing their profit margins [1] - The recent inflation and employment data have reinforced optimistic sentiments, leading investors to believe that the Federal Reserve will initiate interest rate cuts soon [2] Group 3: Analyst Insights - Morgan Stanley's Michael Wilson noted that the Fed's rate cuts could propel the bull market into its "next phase," benefiting small-cap stocks [5] - Over 60% of companies in the Russell 2000 index exceeded earnings expectations for Q2 2024, with average revenue surpassing expectations by 130 basis points [5] - Analysts from Manulife John Hancock Investments highlighted that small-cap stocks have been undervalued compared to other stock categories [5] Group 4: Valuation and Investor Sentiment - The Russell 2000 index's price-to-earnings ratio is slightly above its long-term average, but still presents a lower valuation pressure compared to large-cap stocks [6] - The options market indicates increasing investor confidence in the continued rise of small-cap stocks, with a more bullish positioning compared to the S&P 500 index [6] - Passive funds have started to flow into U.S. small-cap stocks, although there is a caution that signs of economic recovery are needed for sustained growth [6] Group 5: Strategic Recommendations - Barclays analysts recommend prioritizing investments in technology and small-cap stocks due to their strong earnings momentum, suggesting that small-cap stocks are facing significant opportunities [7]

Report Summary 1. Report Date - The report was released on September 12, 2025, by the macro team of the research center [2] 2. Global Asset Market Performance 2.1 Government Bond Yields - **10 - year Government Bond Yields**: Yields showed various changes across different economies. For example, the US 10 - year yield on September 11, 2025, was 4.022, with a latest change of - 0.025, a one - week change of - 0.140, a one - month change of - 0.264, and a one - year change of 0.190 [3] - **2 - year Government Bond Yields**: The US 2 - year yield on September 11, 2025, was 3.540, with a latest change of 0.050, a one - week change of - 0.120, a one - month change of - 0.070, and a one - year change of - 0.370 [3] 2.2 Exchange Rates - **USD against Major Emerging Economies' Currencies**: The USD/Brazilian Real exchange rate on September 11, 2025, was 5.389, with a latest change of - 0.37%, a one - week change of - 1.06%, a one - month change of - 0.52%, and a one - year change of - 4.52% [3] - **Renminbi**: The on - shore RMB exchange rate on September 11, 2025, was 7.119, with a latest change of - 0.03%, a one - week change of - 0.32%, a one - month change of - 0.88%, and a one - year change of - 0.04% [3] 2.3 Stock Indices - **Major Economies' Stock Indices**: The S&P 500 index on September 11, 2025, was 6587.470, with a latest change of 0.85%, a one - week change of 1.31%, a one - month change of 1.84%, and a one - year change of 19.15% [3] - **Other Stock Indices**: The Hang Seng Index on September 11, 2025, was 26086.320, with a latest change of - 0.43%, a one - week change of 4.10%, a one - month change of 2.22%, and a one - year change of 47.79% [3] 2.4 Credit Bond Indices - The US investment - grade credit bond index on September 11, 2025, was 3529.910, with a latest change of 0.28%, a one - week change of 1.28%, a one - month change of 2.09%, and a one - year change of 5.49% [3][4] 3. Stock Index Futures Trading Data 3.1 Index Performance - The closing price of the A - share index was 3875.31, with a change of 1.65% [5] 3.2 Valuation - The PE (TTM) of the CSI 300 was 14.18, with a环比 change of 0.24 [5] 3.3 Risk Premium - The risk premium (1/PE - 10 - year interest rate) of the S&P 500 was - 0.37, with a环比 change of 0.00 [5] 3.4 Fund Flows - The latest value of fund flows into A - shares was 1342.66, and the 5 - day average was 30.55 [5] 4. Government Bond Futures Trading Data - The closing price of the T00 government bond futures was 107.880, with a change of - 0.31% [6] 5. Other Stock Indices - The Malaysian index on September 11, 2025, was 1582.850, with a latest change of - 0.50%, a one - week change of 0.30% [9]

Group 1 - Emerging markets are becoming more attractive due to expectations of interest rate cuts by the Federal Reserve, low local inflation, and relatively low public debt [1] - Emerging market stock prices are currently 65% lower than those in the US, presenting various investment opportunities across different markets and sectors [1] - Actual interest rates in emerging markets remain high, comparable to the highest levels since the financial crisis, which will be beneficial as the US enters a rate-cutting cycle [1] Group 2 - Political risk has become a dominant concern in emerging markets, especially with upcoming elections in countries like Indonesia, South Africa, Mexico, and India [2] - Developed countries are facing increasing political risks due to rising debt levels and budget constraints, with the US experiencing heightened political uncertainty [2] - Emerging market bonds appear to offer more safe-haven value compared to developed market bonds [2] Group 3 - Recent trends show that emerging market stock performance has outpaced that of the US stock market for the first time since 2017 [4] - The total debt of developing countries is projected to be about 75% of their annual economic output, significantly lower than the 125% for G7 developed countries [4] - Indonesia and Vietnam have public debt ratios of 40% and 33% respectively, which are much lower than those of certain developed countries [4] - Low inflation and ample foreign exchange reserves strengthen the fiscal prudence of emerging markets, providing central banks with the ability to manage market volatility [4] - There is a growing realization that the perception of emerging markets as inherently riskier may not be accurate [4]

| 11 75 22 111 | | --- | | Contract of the county SURE PLAN | | | 研究中心宏观团队 2025/09/11 | 全 球 资 产 市 场 表 现 | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 主要经济体10年期国债收益率 | | | | | | | | | | | 美国 | 英国 | 法国 | 德国 | 意大利 | 西班牙 | 瑞士 | 希腊 | | 2025/09/10 | 4.047 | 4.632 | 3.461 | 2.650 | 3.464 | 3.234 | 0.215 | 3.315 | | 最新变化 | -0.041 | 0.010 | -0.007 | -0.008 | -0.014 | -0.012 | 0.005 | -0.004 | | 一周变化 | -0.171 | -0.115 | -0.079 | -0.089 | -0.148 | -0.111 | -0.057 | -0.122 | | 一月变化 | -0.18 ...