Tabl e_Title 2025 年 8 月 25 日 大类资产运行周报（202500818-20250822） 风险提示：美国通胀数据改善不及预期 大类资产运行报告 全球主要资产表现 | | 近一周变动 | | --- | --- | | 新兴市场股市指数 | -0.46% | | Table_Fi rstSto ck 发达市场股市指数 主要资产涨跌幅表现 | 0.44% | | 全球债券指数 | 0.16% | | 全球国债指数 | 0.08% | | 全球信用债指数 姓名 | 0.26% | | 美元指数 | 分析师 -0.12% SAC 执业证书编号：S1111111111111 | | | Xxxxxx @essence.com.cn | | RJ/CRB 商品价格指数 | 1.51% | | | 021-68767839 | | 标普高盛商品全收益指数 | 2.12% | 丁沛舟 高级分析师 期货从业资格号：F3002969 投资咨询从业证书号：Z0012005 dingpz@essence.com.cn 010-58747724 相关报告 大类资产运行周报（20250602 -20250606 ...

Summary of Key Points from Conference Call Industry or Company Involved - The discussion revolves around the relationship between the equity market, specifically the 中证 500 Index, and the bond market, particularly the 10-year government bond yield. Core Insights and Arguments - There exists a "seesaw effect" between the stock market and the bond market, where the 中证 500 Index and the 10-year government bond yield are positively correlated. Specifically, for every 100-point increase in the 中证 500 Index, the 10-year bond yield rises by approximately 0.9 basis points [1][2][5]. - The Bernanke three-factor model effectively decomposes the yield of the 10-year government bond, achieving an R-squared value of 0.85 when fitted to data since 2016. This model uses the 7-day reverse repo rate as a proxy for short-term rates, current CPI for inflation expectations, and the difference between social financing and M2 to represent economic conditions [1][4][7]. - The relationship between the 中证 500 Index and the 10-year bond yield shows a leading effect, indicating that an increase in the stock index can lead to a rise in bond yields in the following month [2][11]. - The bond market has already absorbed the impact of the recent rise in the equity market, with an increase of about 4-5 basis points in the bond yield since mid-June [14]. - If the equity market rises by an additional 5%, it could exert an extra pressure of about 3 basis points on the bond market, pushing yields to a range of 1.70% to 1.75%. A further 10% increase in the equity market could raise yields by approximately 6 basis points, resulting in a range of 1.75% to 1.80% [2][14]. Other Important but Possibly Overlooked Content - Different equity indices have varying degrees of influence on the 10-year bond yield. The 中证 1,000 and 中证 2000 indices show weaker correlation with the bond market compared to larger indices like the 上证综指 and 深证成指 [8][9]. - The structural integrity of the model is affected by the inclusion of large-cap indices, which can disrupt the original model's structure, particularly the impact of social financing minus M2 [9]. - The current market environment has led to a notable increase in the correlation between the 中证 500 Index and the 10-year bond yield, a phenomenon not seen in the past decade. This is attributed to stable fundamental and monetary conditions [15].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - In H1 2025, the commodity market showed a narrow - range oscillation, with the CSI Commodity Futures Index rising slightly by 0.20%. Positive returns mainly came from gold, silver, and copper, while negative returns were mainly from rebar, rubber, and soda ash [2]. - The CSI Commodity Index's year - on - year sequence has bottomed out and rebounded, potentially indicating that the PPI sequence is in the process of bottoming out and rebounding. Microscopically, the sector index trends reflect certain operational pressures in the steel and chemical industries [2]. - Investors should gradually reduce their reliance on fixed - income assets and practice the methodology of stock - bond - commodity asset allocation, increasing the proportion of commodities in the portfolio [2]. - The CSI Commodity Index has shown a relatively independent and excellent performance compared to overseas indices, but the recent increase in correlation needs attention. Adding an appropriate amount of commodities to the traditional stock - commodity portfolio can significantly improve the return - risk ratio of the portfolio [2]. 3. Summary According to the Directory 3.1 Market Review - In H1 2025, the commodity market presented a narrow - range oscillation. The CSI Commodity Index rose slightly by 0.20% annually, with an amplitude of only 10.27%. It was difficult to form a long - term trend, showing an inverted V - shaped oscillation after a strong start [9]. - Driven by frequent macro - events, the commodity market was repeatedly disturbed by policies and geopolitics. With the global economy still bottoming out, the demand side was weak, especially for industrial products. Three macro black - swan events occurred in H1 [12][14]. - There were two obvious characteristics in the commodity market: the significant differentiation between agricultural and industrial products, and the further differentiation within commodities due to different types of event shocks [15]. 3.2 Index Return Attribution 3.2.1 Roll Yield Contribution - The roll yield in H1 2025 was positive overall, at 1.07%, an improvement compared to 2024, possibly suggesting that the global economic growth is bottoming out. Most months had positive roll yields, except for March which had a large negative value [20]. 3.2.2 Sector Return Contribution - In H1 2025, the trends of industrial and agricultural products diverged. The agricultural product market had a small price increase and relatively low volatility, while the industrial product market had a large price decline and relatively large amplitude fluctuations. Agricultural products outperformed industrial products in most months [23]. 3.2.3 Variety Return Contribution - At the sector level, black and energy - chemical sectors mostly made negative return contributions, while precious metals, non - ferrous metals, and agricultural products mostly made positive return contributions. At the variety level, gold, silver, and copper had large positive return contributions, while rebar, rubber, and soda ash had large negative return contributions [24]. 3.3 Macro - Micro Representativeness 3.3.1 Macro Level: The CSI Commodity Index Leads PPI by About 2 Months - The CSI Commodity Index's year - on - year sequence is highly correlated with the PPI year - on - year and can lead by about 2 months. Recently, the commodity index's year - on - year sequence has bottomed out and rebounded, perhaps indicating that the PPI sequence is bottoming out and rebounding [25]. 3.3.2 Micro Level: The Sector Index Moves in Sync with the Industry's Total Profits - The year - on - year sequence of the sub - sector index is highly correlated with the year - on - year sequence of the corresponding industry's total profits. The energy - chemical futures index is in the process of bottoming out, and the steel futures index is still finding its bottom [29]. 3.4 Comparison of Major Asset Classes - In the long - term, the commodity market has similar returns but lower risks compared to the equity market. In H1 2025, the commodity market's risk indicators were still better than those of the equity market [38][39]. - The current risk - free interest rate is quite low, and the investment cost - performance of bonds has declined significantly. Investors should gradually practice the methodology of major asset allocation and increase the proportion of commodities in the portfolio [40]. - Since 2024, the correlation between the commodity market and the equity market has been increasing. In H1 2025, the correlation remained relatively high, but it decreased rapidly at the end of June [43]. 3.5 Comparison with Overseas Indices - In the long - term, the CSI Commodity Index has obvious advantages in both returns and risks compared to overseas mainstream commodity indices. In H1 2025, it still had better performance in risk control [47][48]. - The correlation between the CSI Commodity Index and overseas mainstream commodity indices increased rapidly in early April and remained high in Q2, mainly due to the impact of the tariff shock [50]. 3.6 Application Cases - Adding an appropriate amount of commodities to the traditional stock - commodity portfolio can significantly improve the return - risk ratio of the portfolio. Replacing half of the stocks in the traditional 40 - 60 stock - bond portfolio with commodities can significantly reduce the portfolio's volatility and drawdown while keeping the returns similar [54][60].

Market Overview - The Shanghai Composite Index closed at 3472, with a gain of 1.40% and a price-to-earnings ratio of 14.3 [1] - The STAR Market 50 Index closed at 985, down 0.35% with a price-to-earnings ratio of 48.3 [1] - The Shanghai 180 Index closed at 8764, gaining 1.38% with a price-to-earnings ratio of 11.7 [1] - The Shanghai 380 Index closed at 5541, up 1.04% with a price-to-earnings ratio of 19.6 [1] Trading Volume - The total trading volume for main board stocks reached 222.20 billion [2] - Bond trading volume was significant at 1192.18 billion, while repurchase agreements totaled 1125.20 billion [2] - The trading volume for the STAR Market stocks was 51.19 billion [2] Market Capitalization - The total market capitalization for main board stocks is 48.3 trillion [3] - The STAR Market stocks have a market capitalization of 699.22 billion [3] - The total bond custody value is 18214.9 billion [3] Fund and ETF Data - The total fund market value is 3306.5 billion, with ETF shares totaling 1772.2 billion [4] - The ETF market value is 3159.3 billion, with a total of 1736.8 billion ETF shares [4] Stock Connect - The trading volume for the Shanghai-Hong Kong Stock Connect was 266.6 billion for Shanghai stocks and 304.7 billion for Hong Kong stocks [5] Options Market - There are 500 listed contracts in the stock options market, with a weekly transaction value of 661.56 billion [6] - The total open interest in options is 550.31 million [6] IPO and Financing Activities - In the main board, there were 77 refinancing cases raising 13.76 billion, while the STAR Market had 22 refinancing cases raising 2.23 billion [7] - A total of 159 bonds were issued, raising 93.2 billion [7] Project Dynamics - The main board has received a total of 215 applications, with 69 already reviewed [8] - The STAR Market has received 969 applications, with 649 already reviewed [10] Regulatory Overview - From June 30 to July 4, the Shanghai Stock Exchange processed 60 bond issuance applications totaling 2340.63 billion [11] - The exchange issued 17 regulatory letters and conducted investigations into 139 cases of abnormal trading behavior [12][13]

1. Report Industry Investment Rating - No information provided in the given content 2. Core Viewpoints of the Report - From June 23 to June 27, 2025, with the significant easing of the Middle - East geopolitical situation and the US "Big and Beautiful" bill passing the Senate's procedural vote, the dollar index declined weekly. Globally, stocks and bonds rose while commodities fell significantly. In China, the stock market rose, the bond market fluctuated, and commodities declined. The market's focus shifted to the global macro - economy, and attention should be paid to the progress of US tariff negotiations as the 90 - day tariff exemption period approaches its end [3][6][26] 3. Summary According to Related Catalogs 3.1 Global Major Asset Overall Performance: Stocks and Bonds Rise, Commodities Fall Significantly - **Global Stock Market Overview: Major Stock Markets Rise Universally** - From June 23 to June 27, the cooling of risk - aversion sentiment boosted equity assets. Major global stock markets generally rose, with US stocks leading in gains. Emerging markets underperformed developed markets, and the VIX index remained low. For example, MSCI US rose 3.45% weekly, MSCI Europe rose 3.04%, and MSCI Asia - Pacific rose 3.15% [8][11][12] - **Global Bond Market Overview: Expectations of Dollar Interest Rate Cuts Increase** - Fed Chairman Powell's remarks in the congressional hearing raised expectations of dollar interest rate cuts, causing the yields of medium - and long - term US bonds to decline. The 10 - year US bond yield dropped 9BP to 4.29% weekly. Globally, high - yield bonds > credit bonds > government bonds. For instance, the global high - yield bond index rose 1.10% weekly [15] - **Global Foreign Exchange Market Overview: The Dollar Index Declines Weekly** - Due to the decline in market risk - aversion sentiment and the increase in expectations of dollar interest rate cuts, the dollar index dropped significantly, once falling below the 97 - integer mark. Most non - US currencies appreciated against the dollar, and the RMB exchange rate rose. The dollar index fell 1.52% weekly [16] - **Global Commodity Market Overview: International Oil Prices Drop Sharply** - The easing of geopolitical tensions led to a significant weekly decline in international oil prices and a subsequent correction in international gold prices. Most major agricultural products fell, while non - ferrous metal prices rose. For example, the S&P GSCI Energy Index dropped 10.69% weekly [19][20] 3.2 Domestic Major Asset Performance: Stock Market Rises, Bond Market Fluctuates, Commodities Fall - **Domestic Stock Market Overview: Major A - share Broad - based Indexes Rise Weekly** - With the easing of international geopolitical conflicts, major A - share broad - based indexes rose. The average daily trading volume of the two markets increased compared to the previous week. Growth - style stocks performed outstandingly. Sectors such as comprehensive finance and computer led in gains, while the petroleum and petrochemical sector performed poorly. The Shanghai Composite Index rose 1.91% weekly [22] - **Domestic Bond Market Overview: The Bond Market Fluctuates Narrowly** - From June 23 to June 27, the central bank's net injection in the open - market operations was 126.72 billion yuan. The capital situation was relatively stable overall. The bond market fluctuated weakly. Generally, credit bonds > corporate bonds > government bonds. For example, the ChinaBond Credit Bond Total Wealth (Aggregate) Index rose 0.02% weekly [23] - **Domestic Commodity Market Overview: The Commodity Market Drops Significantly** - The domestic commodity market declined overall. Among major commodity sectors, non - ferrous metals led in gains, while the energy sector performed poorly. For example, the Nanhua Non - Ferrous Metals Index rose 2.71% weekly, while the Nanhua Energy Index dropped 8.78% weekly [24] 3.3 Major Asset Price Outlook: Pay Attention to the Progress of US Tariff Policy - The market's focus has shifted to the global macro - economy. As the 90 - day US tariff exemption period nears its end, attention should be paid to the progress of tariff negotiations [26]

1. Index Trends - On June 26, the Shanghai Composite Index fell by 0.22% to close at 3448.45 points, with a trading volume of 603.095 billion yuan; the Shenzhen Component Index fell by 0.48% to close at 10343.48 points, with a trading volume of 980.056 billion yuan [1]. - The CSI 1000 Index fell by 0.45%, with a trading volume of 343.746 billion yuan. The opening price was 6272.44, the closing price was 6247.79, the highest price was 6310.54, and the lowest price was 6244.78 [1]. - The CSI 500 Index fell by 0.41%, with a trading volume of 235.224 billion yuan. The opening price was 5868.29, the closing price was 5838.25, the highest price was 5885.25, and the lowest price was 5835.34 [1]. - The SSE 50 Index fell by 0.34%, with a trading volume of 87.101 billion yuan. The opening price was 2740.23, the closing price was 2738.47, the highest price was 2747.61, and the lowest price was 2734.95 [1]. 2. Impact of Sector Movements on Indexes - The CSI 1000 Index dropped 28.37 points from the previous closing price. Sectors such as automobiles, electronics, and pharmaceuticals significantly dragged down the index [2]. - The CSI 500 Index dropped 24.3 points from the previous closing price. The banking sector significantly boosted the index, while sectors such as power equipment, pharmaceuticals, and electronics significantly dragged it down [2]. - The SSE 300 Index dropped 14.05 points from the previous closing price. Sectors such as banking, communications, and food and beverages significantly boosted the index, while sectors such as power equipment, automobiles, and non - bank finance significantly dragged it down [2]. - The SSE 50 Index dropped 9.26 points from the previous closing price. Sectors such as banking, food and beverages, and public utilities significantly boosted the index, while sectors such as electronics, pharmaceuticals, and non - bank finance significantly dragged it down [2]. 3. Stock Index Futures Basis and Annualized Opening Costs - For IM contracts, IM00 had an average daily basis of - 45.13, IM01 had - 100.83, IM02 had - 162.62, and IM03 had - 331.27 [12]. - For IC contracts, IC00 had an average daily basis of - 35.8, IC01 had - 76.94, IC02 had - 119.69, and IC03 had - 235.25 [12]. - For IF contracts, IF00 had an average daily basis of - 26.42, IF01 had - 38.77, IF02 had - 43.57, and IF03 had - 74.93 [12]. - For IH contracts, IH00 had an average daily basis of - 24.19, IH01 had - 28.38, IH02 had - 27.35, and IH03 had - 26.96 [12]. 4. Stock Index Futures Roll - over Point Differences and Annualized Costs - For IM contracts, data on roll - over point differences and their annualized costs at different time points are provided, such as at 09:45, IM00 - 01 was - 53.1193, IM00 - 02 was - 158.791, etc. [22]. - For IC contracts, data on roll - over point differences and their annualized costs at different time points are provided, such as at 09:45, IC00 - 01 was - 26.1467, IC00 - 02 was - 90.0318, etc. [24]. - For IF contracts, data on roll - over point differences and their annualized costs at different time points are provided, such as at 09:45, IF00 - 01 was - 5.99267, IF00 - 02 was - 13.4098, etc. [29]. - For IH contracts, data on roll - over point differences and their annualized costs at different time points are provided, such as at 09:45, IH00 - 01 was - 1.29644, IH00 - 02 was 1.559889, etc. [28]

1. Report Industry Investment Rating - No investment rating information is provided in the report. 2. Core Viewpoints of the Report - From June 16th to June 20th, the Fed's June FOMC meeting kept rates unchanged, the Middle - East geopolitical situation further escalated, the US dollar index rose weekly, stocks and bonds were weak, and commodities continued to rise. In general, commodities > bonds > stocks in terms of USD - denominated assets [3][6]. - In China, from June 16th to June 20th, the year - on - year growth rate of industrial added value of large - scale industries in May was lower than expected, the year - on - year growth rate of total retail sales of consumer goods in May was higher than expected, and the year - on - year growth rate of urban fixed - asset investment from January to May was 3.7%, lower than expected. The year - on - year decline of national real estate development investment from January to May was 10.7%. The stock market declined, and the bond market and commodities rose. Generally, commodities > bonds > stocks [3]. - The market will focus on the Middle - East situation in the short term. The price fluctuations of related large - scale assets, especially energy prices, may increase. It is necessary to closely monitor the situation [3][23]. 3. Summary by Relevant Catalogs 3.1 Global Large - scale Asset Overall Performance - **Global Stock Market**: From June 16th to June 20th, the Middle - East situation increased market risk - aversion, and most global stock markets declined. European stocks performed poorly, and emerging markets were slightly more resilient than developed markets. The VIX index fluctuated weekly [8]. - **Global Bond Market**: From June 16th to June 20th, the Fed's June FOMC meeting maintained the target range of the federal funds rate at 4.25% - 4.5%, in line with market expectations. The divergence of Fed officials' monetary policy expectations increased. Medium - and long - term US bond yields declined, and the 10 - year US bond yield fell 3BP to 4.38% weekly. The bond market fluctuated weekly. Globally, high - yield bonds > credit bonds > government bonds [13]. - **Global Foreign Exchange Market**: From June 16th to June 20th, the US macro data was generally stable, market risk - aversion increased, and the US dollar index rose weekly. Most major non - US currencies depreciated against the US dollar, and the RMB exchange rate fluctuated narrowly. The US dollar index rose 0.63% weekly [14]. - **Global Commodity Market**: The escalation of the geopolitical situation supported the high - level operation of international oil prices. Precious metal prices declined, and the prices of major agricultural products and non - ferrous metals showed mixed trends [16]. 3.2 Domestic Large - scale Asset Performance - **Domestic Stock Market**: From June 16th to June 20th, the geopolitical situation continued to affect equity assets, and most major broad - based A - share indexes declined. The average daily trading volume of the two markets decreased compared with the previous week. In terms of style, large - cap blue - chips were relatively more resilient. Among sectors, banks had the highest gains, while pharmaceuticals and textile and apparel underperformed. The Shanghai Composite Index fell 0.51% weekly [18]. - **Domestic Bond Market**: From June 16th to June 20th, the central bank's open - market operations had a net withdrawal of 799 billion yuan. The capital market remained stable overall. The bond market fluctuated strongly weekly. Generally, government bonds > credit bonds > corporate bonds [21]. - **Domestic Commodity Market**: The domestic commodity market rose overall. Among major commodity sectors, energy had the highest gains, while precious metals underperformed [22]. 3.3 Large - scale Asset Price Outlook - The market will continue to focus on the Middle - East situation in the short term. The price fluctuations of related large - scale assets, especially energy prices, may increase. It is necessary to closely monitor the situation [23].

Market Overview - The Shanghai Composite Index closed at 3385, with a gain of 1.13% and a price-to-earnings ratio of 13.9 [1] - The STAR Market 50 Index closed at 992, up by 1.50%, with a price-to-earnings ratio of 48.0 [1] - The Shanghai 180 Index closed at 8573, increasing by 0.73%, with a price-to-earnings ratio of 11.4 [1] - The Shanghai 380 Index closed at 5446, rising by 1.71%, with a price-to-earnings ratio of 17.3 [1] Trading Volume - The total trading volume for the main board stocks was 152.76 billion [2] - The trading volume for the STAR Market stocks was 34.13 billion [2] - Bond trading volume reached 9,882.55 billion, while repurchase agreements totaled 94,837.7 billion [2] Market Capitalization - The total market capitalization of main board stocks is 46.5 trillion [3] - The total market capitalization of STAR Market stocks is 6,791.8 billion [3] Bond Market - The total bond custody reached 180,874 billion, with a market value of 31,821 billion [4] - The total number of bond shares is 1,753.2 million [4] Stock Options - There are 524 listed contracts for stock options, with a total weekly transaction value of 3,935.53 billion [6] - The total open interest for stock options is 553.66 million [7] IPO and Financing Activities - In the main board, there was 1 IPO raising 4.07 billion and 37 refinancing activities raising 1.86 billion [8] - In the STAR Market, there were 14 refinancing activities raising 0.2 billion [8] - A total of 147 bonds were issued, raising 96.8 billion [8] Regulatory Overview - From June 3 to June 6, 2025, the Shanghai Stock Exchange processed 37 bond issuance applications totaling 1,407.88 billion [10] - During the same period, 12 regulatory letters were sent, and 4 announcements were requested for correction [11]