Core Insights - The report emphasizes the improvement of the Black-Litterman (BL) model through the integration of nested cycle theory, which enhances the Sharpe ratio and win rate of asset portfolios, recommending an increase in A-shares and US Treasuries while gradually reducing US stock positions for 2026 [2][3][10]. Group 1: BL Model Overview - The BL model combines market implied equilibrium returns with investor subjective views weighted by confidence levels, resulting in more robust expected returns for asset allocation [8][10]. - The model addresses the high sensitivity of traditional mean-variance models to parameters and incorporates subjective investor views, making it more practical [10][11]. Group 2: Impact of Nested Cycle Theory - The improvement of the BL model is primarily based on subjective views derived from nested cycle theory, which assesses the performance of major asset classes under different cycle phases [10][11]. - The model outputs significantly enhance the Sharpe ratio of portfolios, allowing for better risk-adjusted returns [10][12]. Group 3: Asset Class Outlook for 2026 - The report forecasts a gradual shift to a de-stocking phase for major economies in 2026, suggesting an increase in allocations to A-shares and US Treasuries while reducing US stock positions [2][3][10]. - The model's asset return predictions will be based on historical average data from the transition from passive to active de-stocking phases [25][26]. Group 4: Performance of Asset Classes - Historical data indicates that during the passive de-stocking phase, equities outperform other asset classes with an average annual return of 27.74% and a win rate of 60% [17][18]. - In the active re-stocking phase, equities and commodities show strong performance, with equities achieving an average return of 40.01% and a win rate of 83% [17][18]. - Bonds perform best during the active de-stocking and passive re-stocking phases, with average returns of 10.28% and 3.61%, respectively [17][18]. Group 5: Model Implementation Steps - The BL model involves several steps: calculating prior expected returns, inputting subjective views, calculating posterior expected returns, and optimizing the asset allocation [21][22][23]. - The model's implementation requires historical return data and subjective forecasts from investment managers, with constraints on asset allocation ratios [30][31].

Core Viewpoint - European bond yields mostly declined on December 3, with varying changes across different countries' 10-year government bonds [1] Group 1: Yield Changes - The UK 10-year government bond yield decreased by 2.2 basis points to 4.446% [1] - The French 10-year government bond yield increased slightly by 0.1 basis points to 3.490% [1] - The German 10-year government bond yield fell by 0.2 basis points to 2.745% [1] - The Italian 10-year government bond yield dropped by 1.8 basis points to 3.444% [1] - The Spanish 10-year government bond yield decreased by 0.4 basis points to 3.217% [1]

美国国债周三走高，受美国早间发布的弱于预期的11月ADP私营部门就业数据推动。尽管随后遭遇阻 力，但收盘仍接近日间最佳水平。市场对美联储下周降息的预期依然完好，消化的12月10日美联储政策 会议降息25个基点的可能性约为90%。 纽约时间下午3点刚过，收益率全线下跌2-3个基点。中期国债领涨美债，5s30s利差扩大1个基点， 2s5s30s利差收窄1.5个基点。 ADP数据公布后几分钟内，收益率触及盘中低点，该数据使得合约押注的到明年年中美联储政策利率下 降几个基点，而预期的中性利率朝着3%小幅走低。 在国债期权方面，值得注意的资金流动包括对押注30年期国债收益率到下周五升至约4.8%的期权的大 笔买入。 截至纽约时间下午3：37，美国2年期国债收益率报3.4835%； 美国5年期国债收益率报3.6225%； 美国10年期国债收益率报4.0575%； 美国30年期国债收益率报4.7268%； 美国2年和10年国债收益率差报57.198个基点； 美国5年和30年国债收益率差报110.263个基点。 新浪合作大平台期货开户 安全快捷有保障 责任编辑：丁文武 美国国债周三走高，受美国早间发布的弱于预期的11月ADP ...

Group 1 - The labor market is showing signs of weakness, as indicated by the recent ADP data, suggesting a potential deterioration in economic conditions [1] - There was a brief increase in yields, correlated with a rise in S&P futures, but this momentum was not sustained, leading to a separation in trends [2] - Overall, there has been a three basis points deterioration across all maturities, reflecting the impact of weak jobs data on the bond market [3] Group 2 - Japanese 10-year yields have reached a fresh high, indicating a significant movement in the bond market over the past 18 years [3]

英国金融时报援引多位知情人士报道称，债券投资者们针对哈塞特出任美联储主席的可能性警告美国财 政部。他们担心，哈塞特将为了取悦美国总统特朗普而降息。11月份，财长贝森特掌管的财政部曾集中 征求意见。12月2日内阁会议结束后，特朗普在白宫告诉记者们，在场的哈塞特是"潜在的美联储主 席"，他可能会在1月份宣布任命决定。北京时间12月4日02:26，美国10年期国债收益率维持超过2个基 点的跌幅，两年期美债收益率维持超过1.6个基点的跌幅。 来源：滚动播报 ...

Labor Market Concerns - There is a growing concern regarding the labor market, with indications that the layoff rate is beginning to pick up, despite previous stability in hiring and firing rates [2][3] - Upcoming reports are anticipated to confirm whether the tentative signals of increased layoffs are substantiated by comprehensive payroll and household survey data [3] Dollar Valuation and Economic Outlook - The US dollar is experiencing weakness due to a perception that the US economy is less exceptional than in the past, leading to a decline in its valuation [4][5] - The Federal Reserve is expected to ease policy further, which may contribute to continued dollar weakness [5][6] Bank of Japan (BOJ) Policy Considerations - The BOJ is considering a potential interest rate hike in December, influenced by the US economic performance and early signs of self-sustaining wage growth in Japan [10][11][12] - There is a concern regarding excessive yen weakening, prompting potential pushback from both the administration and the BOJ [12][13] Currency Trends and Investment Opportunities - The Chinese renminbi (CNY) is expected to appreciate gradually due to improved trade relations and significant growth in Chinese exports, which are seen as undervalued [16][17] - There are positive outlooks for the Chinese domestic equity market, particularly in high-tech industries, suggesting further growth potential [18][19] - Emerging markets, particularly Brazil, present investment opportunities in equities and bond markets as rate cuts are anticipated [21]

Core Viewpoint - Japan's long-term government bond yields are experiencing a significant and uncontrolled rise, with the 10-year yield approaching the critical 2% level and the 30-year yield soaring to 3.43%, indicating potential global market risks [1][4]. Group 1: Yield Trends - The 10-year government bond yield in Japan has been consistently reaching new highs, driven by a "magnet effect" around the 2% mark, with technical indicators suggesting a strong upward trend [2]. - The 30-year bond yield has shown even stronger performance, breaking through the 3.3% level and indicating substantial upward potential due to a lack of resistance above [4][6]. Group 2: Historical Context - Analysts recall the significant market drop in late October last year when Japanese rates began to rise, which coincided with a sharp decline in the Nasdaq 100 index, highlighting a historical correlation between Japanese rates and U.S. equity performance [5][8]. Group 3: Market Volatility - The current rise in Japanese bond yields is characterized by a clear trend, breaking through technical resistance levels and indicating strong upward momentum [6]. - Despite most traders not including Japanese rate changes in their daily risk assessments, this macro-level shift could significantly increase market volatility [9][11]. Group 4: Global Impact - The widening yield spread between Japanese and U.S. 10-year bonds is reshaping global capital allocation, reflecting deepening monetary policy divergence and potentially triggering large-scale cross-border capital flows [12]. - The increase in the yield spread may lead to adjustments in arbitrage trading, particularly affecting yen carry trades, which could have significant implications for global risk asset prices [12]. Group 5: Safe-Haven Assets - The gold market has begun to react to the rise in Japanese long-term yields, indicating that gold prices are sensitive to changes in Japanese government bonds and reflecting growing market concerns about potential risks [14][15]. - The movement in gold prices, whether measured in yen or dollars, signals an increase in demand for safe-haven assets, often foreshadowing broader market adjustments [15][17].

Group 1: Digital Currency Regulations - The U.S. White House has established a presidential task force on digital asset markets while banning the development of central bank digital currencies (CBDCs) within the U.S. [1] - China has intensified its crackdown on virtual currencies, with over 150 cases of money laundering related to virtual currencies reported since 2025, involving amounts exceeding 10 billion RMB [3]. - The People's Bank of China has identified stablecoins as a significant risk, with global cryptocurrency market volatility exceeding 70% in 2025, raising concerns about the transparency and safety of the underlying assets of stablecoins [3]. Group 2: U.S. Debt and Stablecoins - The U.S. federal debt is growing at nearly $2 trillion annually, surpassing $37.2 trillion, with stablecoins being seen as a new anchor for the dollar [4]. - Currently, the global stablecoin market is approximately $267.4 billion, with 95% being dollar-pegged stablecoins, which are heavily invested in short-term U.S. Treasury bonds [4]. - The "Payment Stablecoin Act" mandates that stablecoin issuers must invest 100% of their reserves in U.S. cash or short-term Treasury bonds, creating a mechanism for debt absorption that links stablecoin growth to U.S. debt demand [4]. Group 3: Historical Context and Future Outlook - The evolution of the dollar's anchoring mechanisms has transitioned from the gold standard established in 1944 to the current reliance on stablecoins, with over 98% of stablecoin market value pegged to the dollar [5]. - The U.S. is working on establishing a "digital dollar anchor," as emerging digital economic scenarios increasingly depend on this framework [5]. - The competition between the U.S. and China in the digital currency space is expected to deepen over the next five years as dollar stablecoins approach the trillion-dollar mark [8]. Group 4: Strategic Considerations for China - China's recent actions to strengthen its defenses against virtual currencies reflect strategic considerations, including the potential financial risks associated with the deep integration of U.S. stablecoins and Treasury bonds [6]. - Cross-border capital flows through virtual currencies have increased by 150% in 2024, posing new challenges for traditional regulatory measures [6]. - The internationalization of the renminbi is at a critical stage, with cross-border trade settlements in renminbi surpassing 31.5% in Q3 2024, necessitating measures to prevent stablecoin systems from creating barriers to this process [6]. Group 5: Digital Currency Initiatives in China - The pilot program for China's digital currency has expanded to 26 regions, covering various scenarios such as cross-border trade and supply chain finance [7]. - China is actively participating in the formulation of international digital currency regulations while balancing risk management and cooperation [7]. - The approval of 16 virtual asset service providers in Hong Kong since 2023 supports China's differentiated strategy of strict domestic regulation while piloting overseas [7].

Group 1 - The bond market in 2025 experienced a "fast bull and slow bear" phase, with institutional behavior and market narratives becoming key factors in market pricing [3] - For 2026, three factors are expected to provide a ceiling for interest rates: real estate data, local government debt management, and bank interest margins [3] - Low interest rates are seen as essential for stabilizing the real estate market, reducing policy costs, and managing local government debt risks [3][4] Group 2 - The policy environment is expected to provide moderate support rather than strong stimulus, with fiscal and monetary policies likely to act in concert [4] - The economic growth target for 2026 is projected to be around 4.5%-5%, with fiscal policies maintaining a deficit rate near 4% and potential expansion of policy financial tools [4] - The balance between monetary easing and fiscal efforts will be crucial for identifying opportunities in the bond market [4] Group 3 - Institutional behavior and market narratives remain at the forefront of bond market strategies, with a focus on discovering trading strategies and interpreting market sentiments [4] - The current low net interest margin and the pressure on banks to manage liabilities indicate a challenging environment for bond investments [4] - The introduction of new regulations affecting fund redemptions may lead to short-term adjustments in the bond market [4] Group 4 - The real estate market is undergoing a slow recovery, with significant time needed to achieve repair goals [20] - The downward trend in real estate prices is impacting banks' collateral values, which could lead to increased risk exposure for banks [24] - The high leverage levels in both government and household sectors limit the potential for further demand in the real estate market [23]

Group 1 - The global bond market is focusing on three main themes: European fiscal risks, a data vacuum in the US, and credit improvement in emerging markets [1] - The European Central Bank warns of increasing sovereign debt supply pressure and a shrinking scale of central bank bond purchases, leading to rising interest rate risks [1] - The probability of a rate cut in December in the US has dropped from 95% to 50% due to government shutdown, creating policy uncertainty in the market [1] Group 2 - Major bond yields globally have generally declined, with US long-term yields falling more than short-term yields, exemplified by a 5.2 basis point drop in the 30-year yield [1] - The UK 10-year bond yield saw a significant drop of 9.34 basis points, leading declines in developed markets [1] - Credit spreads have compressed significantly, with investment-grade corporate bonds dropping by 11 basis points and high-yield bonds decreasing by 29 basis points to 6.58% [1] Group 3 - The issuance of Dim Sum bonds totaled 41, with a scale of 95.383 billion yuan, where central bank bills accounted for 47.2% of the issuance [2] - The overall issuance structure is dominated by bank financial bonds, with urban investment bonds' coupon rates concentrated in the 5-7% range [2] - Offshore RMB bonds show a flattening characteristic with short-end yields rising and long-end yields falling, while the sovereign bond 10-year spread narrowed from 8.95 basis points to 5.19 basis points [2] Group 4 - The global bond market is experiencing a stable credit environment with no major sovereign rating adjustments or systemic defaults [3] - The debt of high-risk US companies increased from $271 billion to $296 billion, a rise of 9.2%, indicating accumulating refinancing pressure [3] - The net outflow from high-yield bond funds was $333 million, and from leveraged loan funds was $89 million, indicating pressure on liquidity [3] Group 5 - The strategy suggests focusing on 5-7 year medium to long-term bonds to capture the benefits of a steepening yield curve and rolling down yields, while maintaining a defensive position in AAA/AA+ rated securities [4] - The preferred regional allocation includes US investment-grade corporate bonds and emerging market sovereign debt, while caution is advised for European bonds [4]