2025 年 6 月 4 日 晨会速递 分析师点评 市场数据 总量研究 大类资产方面，本周大类资产涨跌互现，纳斯达克指数涨幅居前，十年期美国国债收 益率跌幅居前。 A 股宽基指数方面，本周宽基指数大多下跌，中证 500 涨幅居前， 中小 100 跌幅居前。 行业方面，本周行业涨跌互现，环保涨幅居前，汽车跌幅居前。 【金工】基金抱团加强，PB-ROE-50 组合超额收益显著——金融工程量化月报 20250603 截至 2025 年 5 月 30 日，沪深 300 上涨家数占比指标最近一个月环比上月上升，上 涨家数占比指标高于 50%，市场情绪较高；从动量情绪指标走势来看，近一月快线、 慢线向下，快线处于慢线下方，预计在未来一段时间内将维持谨慎观点。PB-ROE-50 策略相对中证 500、中证 800 和全市场股票池分别获得超额收益 2.39%、1.30%和 1.33%。 【债券】为什么我们不担心资金面？——2025 年 6 月 3 日利率债观察 2025 年 5 月末 10Y 国债收益率为 1.67%，较 4 月末上行了约 5bp。收益率曲线长端 的上行在很大程度上来源于投资者对资金面的担忧：一些投资者担心央 ...

Core Viewpoint - The depreciation of the RMB is under significant pressure due to the ongoing US-China trade war and Federal Reserve policies, marking the largest strain since the 2008 financial crisis [1][4]. Impact on Import Costs - The depreciation of the RMB against the USD directly increases the import costs of commodities such as oil and iron ore, with a 1% depreciation leading to a cost increase of 0.8-1.2% [4]. - In 2024, China's reliance on foreign oil is projected to reach 73%, resulting in a 15% year-on-year increase in procurement costs for energy companies, which will compress profit margins in sectors like petrochemicals and aviation [4]. - High-tech product imports, including chips and precision instruments, will also see a cost increase, with companies like SMIC facing a 12% rise in procurement costs for technical equipment [4]. Inflationary Pressures - The depreciation of the RMB is expected to cause the food and consumer goods import price index to rise by 6.3%, with essential items like beef and milk powder experiencing price increases of up to 9.8% [5]. - The Consumer Price Index (CPI) in China is projected to rise by 3.5% year-on-year in 2024, exceeding the central bank's 3% warning line, complicating monetary policy balancing between growth and inflation control [6]. Debt Implications - The depreciation of the RMB increases the repayment costs for companies and local governments with foreign debt, with a 5% depreciation translating to an additional $140 billion in debt servicing costs for the $2.8 trillion foreign debt [8][9]. - Real estate companies, such as Country Garden and Vanke, are particularly affected, with the proportion of dollar-denominated debt interest payments rising from 12% to 19%, exacerbating cash flow challenges [9]. Capital Outflow Risks - Continuous RMB depreciation poses risks of capital outflow, as foreign investment may decline and domestic capital may seek higher returns in USD-denominated assets, especially given the current high US Federal Reserve interest rates [10]. Export Dynamics - While RMB depreciation theoretically enhances export competitiveness, it may lead to a reliance on low-end manufacturing, with high-tech product export share declining by 2.3 percentage points to 28.7% in 2024 [11]. - The withdrawal of foreign R&D centers and a shift in investment towards Southeast Asia by companies like BMW and Tesla indicate a potential decline in foreign investment attractiveness due to currency volatility [11]. Structural Changes and Future Outlook - Historical trends suggest that significant currency adjustments often accompany industrial upgrades, and the current low point of the RMB may represent a pivotal moment for China to advance beyond the middle-income trap and into higher value chains [12]. - Short-term challenges are anticipated as the economy adjusts to these changes, necessitating innovation and a robust domestic supply chain to enhance resilience against external shocks [12][13].