证券研究报告 | 债券市场专题研究 | 债券研究 债券市场专题研究 报告日期：2025 年 08 月 23 日 以持久战心态看待债市跌破年线 ——债市策略思考 核心观点 对于长牛资产，跌破年线通常意味着较好入场点，建议投资者可以用持久战心态和防 守反击战术应对当前卡玛比率不足的债市格局。 ❑ 资产价格突破年线意味着什么？ 作为中长期趋势的锚定指标，年线（即 MA250）通常代表过去一整年的平均成本， 通常被视作市场的长期均衡价位。对债券市场而言，日线向下跌穿年线往往代表 市场情绪容易转弱，通常被解读为趋势转弱。值得注意的是，投资者在日常使用 时需特别注意"假突破"风险。若月内快速收复，则可能存在假突破风险；但有效跌 穿后未及时收回，通常导致年线转换为强阻力位。 ❑ 三类主流资产跌破年线后的走势复盘 10 年期国债期货：债券市场长期动量趋势明显，10 年期国债主力合约年线附近或 存在较强支撑。 上证指数：近年以来上证指数日线曾数次上穿/下穿年线，同时伴随着较为强势的 趋势性行情，但年线附近未出现明显支撑。 纳斯达克指数：纳指长期趋势明显，年线附近存在较强支撑位。 ❑ 以持久战心态看待债市跌破年线 对于长牛资产， ...

Core Viewpoint - The article discusses the fluctuations of the Shanghai Composite Index around the 3700-point mark, highlighting its psychological significance and the differences in market conditions compared to previous years. It emphasizes that despite the index's stagnation, the total return index has shown significant growth, indicating underlying investment opportunities [3][4][5]. Group 1: Index Performance - The Shanghai Composite Index briefly surpassed 3700 points but closed at 3666.44 points, indicating a struggle to maintain this level [3][4]. - The index has shown a slight increase of 0.31% from 3655.09 points to 3666.44 points, but the total return index has increased by 13.73% from 3666.87 points to 4170.49 points, reflecting better investment performance [7][8]. - The largest ETFs tracking the Shanghai Composite Index have surpassed their values from February 2021, indicating strong performance despite the index's struggles [10]. Group 2: Changes in Index Composition - The composition of the Shanghai Composite Index has changed significantly over the past four and a half years, with 72 stocks exiting and 763 new stocks entering, resulting in a total of 2232 constituent stocks [12][15]. - The weight of the electronics sector has increased from 4.45% to 9.47%, while the food and beverage sector has seen a significant decrease from 12.41% to 5.49% [18][19]. Group 3: Sector Contributions - The banking sector has contributed significantly to the index's performance, with a weight increase from 16.04% to 18.52%, while the food and beverage sector has been a major drag on performance [18][19][31]. - The top-performing sectors include coal (178% increase), oil and petrochemicals (116% increase), and banking (78% increase), while the worst-performing sectors include social services (-73%), beauty and personal care (-50%), and food and beverage (-42%) [30][31]. Group 4: Key Stocks Impacting the Index - Key stocks such as Agricultural Bank, Industrial and Commercial Bank, and China Petroleum have significantly influenced the index's performance, contributing to a rise of 14.64% if excluded from the analysis [32][33]. - Conversely, stocks like Kweichow Moutai and China Duty Free have negatively impacted the index, suggesting a substantial influence of individual stocks on overall performance [32][33].

Group 1 - Major indices continued to rise significantly on August 18, with the Shanghai Composite Index reaching 3731.76 points, surpassing the previous high of 3731.69 points, marking a 10-year high [1] - Brokerage stocks showed renewed strength in the morning session, indicating a bullish trend in the market [1] - The AI hardware sector experienced a historical peak, reflecting growing interest and investment in technology [1]

Group 1 - The core viewpoint of the articles indicates a significant decline in the trading activity of 30-year Treasury futures, which were once highly favored in the bond market, due to a shift in investor sentiment towards equities and commodities [2][5][8] - The "stock-bond seesaw" effect is evident, with the stock and commodity markets gaining strength while the bond market remains under pressure, leading to a reallocation of funds away from long-term bonds [3][4][5] - The overall bond market is experiencing a weak performance, particularly in long-term bonds, with the yield curve steepening and short-term yields outperforming long-term yields [4][7] Group 2 - The trading volume and open interest in long-term Treasury futures have been rising since the beginning of 2023, but the recent market dynamics have led to a decrease in their attractiveness as investors shift focus to commodities [5][6] - Institutional investors, including banks and insurance companies, are facing challenges in the current market environment, leading to a cautious approach towards increasing their positions in the bond market [7][8] - Future recovery in bond market sentiment is expected to take time, with potential signals being a decrease in risk appetite and an increase in interest rate cut expectations [8]

Group 1 - The Shanghai Composite Index has shown strong upward momentum, breaking through the 3674-point mark, indicating a positive shift in market sentiment and increased investor confidence [1][2] - Analysts suggest that the current market resembles the liquidity bull market of the second half of 2014, characterized by accelerating stock price increases and supportive policies [1] - The market is expected to continue its upward trend, with the index potentially challenging the 3800-point level, supported by improved corporate earnings and favorable macroeconomic conditions [1][2] Group 2 - The recent performance of the stock market reflects the robust recovery of the Chinese economy and the positive effects of capital market reforms [2] - Increased trading volume indicates sustained capital inflow into the market, which is expected to support stock valuations as corporate earnings outlook improves [2] - Investors are advised to remain cautious and monitor potential risks, including international market volatility and domestic policy changes, while maintaining a focus on solid fundamentals [2]

Core Viewpoint - The article discusses the importance of understanding different stock indices, particularly the Shanghai Composite Index and the Shenzhen Composite Index, for making informed investment decisions in the Chinese stock market [5][9]. Group 1: Index Characteristics - The Shanghai Composite Index includes only stocks listed on the Shanghai Stock Exchange, while the Shenzhen Composite Index includes stocks from the Shenzhen Stock Exchange and the ChiNext board [5][9]. - Historically, from 2019 to 2021, the Shenzhen stocks experienced greater price increases compared to Shanghai stocks, indicating a disparity in performance during bull markets [5][6]. - The Shanghai stocks tend to have more value-oriented characteristics, resulting in smaller price fluctuations during both bull and bear markets [6][7]. Group 2: Market Performance - The overall performance of the A-share market is better assessed by looking at both the Shanghai and Shenzhen indices, as they each represent about half of the A-share market [9]. - The CSI All Share Index, which includes all listed companies from both exchanges, saw an approximate 80% increase from 2019 to 2021, reaching over 6000 points at its peak [10].

Group 1 - The core viewpoint of the article emphasizes the recent highs in the Shanghai Composite Index, the four major banks, and the financing balance, indicating a positive market sentiment and investment opportunities [2][3][11]. - The Shanghai Composite Index has surpassed its previous high from October 8, with a closing value around 3640 points, while the "Shanghai Earnings Index" has increased by 10.8% this year, outperforming the index itself [3][6]. - The report from Goldman Sachs predicts that by 2025, cash expenditures for dividends and stock buybacks by domestic listed companies will reach a record 3.6 trillion yuan, accounting for 29% of total cash expenditures, indicating a shift towards shareholder returns [8][10]. Group 2 - The four major banks are experiencing a rebound, with Agricultural Bank of China surpassing Industrial and Commercial Bank of China in total market capitalization [11][12]. - The price-to-book (PB) ratios of the four major banks have significantly recovered, with Agricultural Bank's PB exceeding 0.9, indicating a shift in market dynamics and investor sentiment towards banking stocks [16]. - The financing balance has surpassed 2 trillion yuan, suggesting increased market activity, although it is noted that the market is active but not yet in a state of frenzy [18][20]. Group 3 - The article highlights the emergence of a new hundred billion industry ETF, particularly in the robotics and AI sectors, which have attracted significant capital inflows [23]. - Recent adjustments in bond holdings indicate a strategic shift in response to changing interest rates, with a focus on maintaining a balanced portfolio [26]. - The article concludes with a commitment to investor profitability, emphasizing the importance of transparent and understandable investment strategies [29].

Core Viewpoint - The China Securities Index (CSI) ECPI ESG Sustainable Development 40 Index has shown a slight decline recently, with a 0.45% drop reported, while it has experienced a 3.14% increase over the past month and a 5.81% increase over the past three months [1] Group 1 - The CSI ECPI ESG Sustainable Development 40 Index is composed of 40 listed companies selected based on high ESG ratings from the Shanghai 180 Corporate Governance Index [1] - The index was established on June 30, 2010, with a base value of 1000.0 points [1] - The trading volume for the index was reported at 41.786 billion yuan [1] Group 2 - The index samples are adjusted biannually, specifically on the second Friday of January and July, with a sample adjustment ratio generally not exceeding 10% [2] - In cases where the average total market value of old samples remains in the top 60% of the sample space, they will be prioritized for retention during adjustments [2] - Temporary adjustments to the index can occur if there are significant changes in the ECPI ESG ratings of the samples [2]

Core Viewpoint - The article discusses the performance of the CSI 500 USD Hedged Index, highlighting its recent growth and the methodology behind its construction [1]. Group 1: Index Performance - The CSI 500 USD Hedged Index reported a value of 5456.48 points, with a decrease of 0.37% in the Shanghai Composite Index [1]. - Over the past month, the CSI 500 USD Hedged Index has increased by 5.47%, and it has risen by 11.37% over the last three months [1]. - Year-to-date, the index has shown a growth of 10.18% [1]. Group 2: Index Methodology - The CSI 500 USD Hedged Index simulates an investment strategy where investors use USD to invest in the index while hedging against exchange rate risks through one-month forward contracts of USD to offshore RMB [1]. - The forward contracts are rolled over automatically at the end of each month, and the index is based on a reference date of December 31, 2010, with a base point of 4936.716 [1]. - The index is not subject to adjustments, maintaining its structure and methodology consistently [1].

Market Overview - The Shanghai Composite Index closed at 3595.19 points, down 0.08% [1] - The Shenzhen Component Index closed at 11212.88 points, down 0.04% [1] - The ChiNext Index closed at 2384.23 points, up 0.92% [1] - The CSI 300 Index closed at 4133.79 points, down 0.05% [1] - The STAR 50 Index closed at 1063.90 points, up 0.83% [1] - The CSI 500 Index closed at 6312.47 points, down 0.17% [1] - The CSI 1000 Index closed at 6732.20 points, up 0.03% [1] Year-to-Date Performance - The Shanghai Composite Index has increased by 7.26% year-to-date [2] - The Shenzhen Component Index has increased by 7.66% year-to-date [2] - The North Star 50 Index has increased by 40.18% year-to-date [2] - The Wind All A Index has increased by 12.22% year-to-date [2] - The STAR 50 Index has increased by 7.58% year-to-date [2] - The ChiNext Index has increased by 11.33% year-to-date [2] - The CSI 300 Index has increased by 5.05% year-to-date [2] - The CSI 500 Index has increased by 10.25% year-to-date [2] - The CSI 800 Index has increased by 6.38% year-to-date [2] - The CSI 1000 Index has increased by 13.00% year-to-date [2] - The CSI 2000 Index has increased by 21.53% year-to-date [2] - The Wind Micro盛股 Index has increased by 49.02% year-to-date [2]