中金研究 我们认为美联储短期或难"缩表"，但持续"扩表"与QE的门槛也明显上升。如果美联储不愿通过"扩表"支 持财政宽松，一个新的临时性货币-财政协同方式可能是美联储增加降息幅度，财政部增加短债发行， 首先推动金融去监管，然后再开启"缩表"进程。美联储最终降息幅度或超出市场预期，美元宽松交易可 能在短期回归。美债收益率曲线陡峭化叠加金融去监管，利好美国银行股票。美联储或将决定黄金牛市 的终点，但这一拐点尚未到来。中国股票与全球商品只是暂时承压，静待宽松预期回归。 我们认为不宜将沃什过往政策立场线性外推为实际政策选择，而需同时考虑政治约束、经济约束与金融 约束，审慎评估沃什各项主张的可行性，推演未来政策着力点与实施顺序。我们的推演显示，新一届美 联储的政策路径可能比当前市场定价更加鸽派，美元流动性这一主线尚未被实质性动摇，美元宽松交易 或在短期回归，中长期市场趋势将待时间验证。 短期难以推进"缩表"，但QE与持续"扩表"的门槛也明显上升。 "降息+缩表"政策组合是沃什主张中最令人困惑的一点。沃什本人解释为缩表可以降低通胀，为降息打 开空间。但是从逻辑上讲，缩表作为紧缩性货币政策，其效果不仅与降息方向相反，也与特 ...

炒股就看金麒麟分析师研报，权威，专业，及时，全面，助您挖掘潜力主题机会！ 来源：中金点睛 Abstract 摘要 资产配置的核心是通过跨资产类别的组合设计，对风险与收益进行系统化权衡。本文从目标到实现路径 介绍了资产配置的理论框架，并梳理了海内外的主流资产配置模型，并回测了在中国和全球资产配置场 景下的应用效果。回测结果显示，增强收益推荐关注Black-Litterman与均值方差模型，绝对收益风险平 衡角度推荐风险平价与波动率目标制模型。 资产配置理论框架：设立资配目标、确定资产中枢、明确投资约束、动态调整权重 框架设计维度，首先需要锚定资产配置的核心目的，可拆解为四个相辅相成的维度：收益增值、风险分 散、流动性管理、长期稳健。而各维度的权重会根据投资者的具体需求动态调整。设立目标后，配置思 路的落地路径包括：1）确定大类资产的基准权重与风险中枢；2）明确约束以满足投资偏好需求；3） 结合外部环境、内部估值与趋势信号，对权重进行动态微调。在此过程中，可运用三种不同时间维度与 目标的资产配置策略——战略资产配置、战术资产配置与动态资产配置。 整体而言，合理假设下的收益驱动模式年化收益显著，基本跑赢基准。风险驱 ...

China Bond Analytics For the quarter ended Dec 31, 2025 Shirley YauAC (852) 2800-0566 shirley.yau@jpmorgan.com J.P. Morgan Securities (Asia Pacific) Limited Alvin AuAC (852) 2800-8533 alvin.au@jpmorgan.com J.P. Morgan Securities (Asia Pacific) Limited See page 31 for analyst certification and important disclosures. www.jpmorganmarkets.com J.P. Morgan does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict of inter ...

Core Viewpoint - China is no longer the second-largest holder of U.S. Treasury bonds, reflecting a significant shift in the global financial landscape and investment strategies [2][12]. Group 1: U.S. Treasury Bonds and China's Position - The U.S. national debt has surpassed $38 trillion, with $9.2 trillion maturing by 2025, raising concerns about the long-term safety of U.S. debt among global investors [4][6]. - The high level of short-term bonds and the Federal Reserve's maintained high interest rates have resulted in annual interest payments exceeding $1 trillion, which is 1.3 times the military budget [6]. - The politicization of financial tools by the U.S., such as using the SWIFT system for pressure, has destabilized international financial markets and prompted countries to diversify their foreign exchange reserves away from U.S. dollar assets [8][10]. Group 2: China's Bond Market and Foreign Investment - China's financial market has become more accessible to foreign investors through mechanisms like "Bond Connect" and "Swap Connect," making Chinese bonds an attractive option for global asset diversification due to their relatively stable yields and manageable currency risks [10][24]. - Despite the appeal of Chinese bonds, geopolitical risks and changes in U.S.-China interest rate differentials have led some foreign investors to temporarily reduce their holdings for risk aversion and profit-taking [10][20]. - The reduction of U.S. Treasury holdings by China during the Trump administration was a strategic decision influenced by the political environment and trade tensions, with a gradual decrease from over $1.3 trillion to below $700 billion by 2025 [15][17]. Group 3: Global Financial Dynamics - The changes in U.S. and Chinese bond holdings reflect a broader adjustment in the global economic landscape and strategic rebalancing among nations [26]. - The increase in the renminbi's share in global foreign exchange reserves and the IMF's adjustment of its weight in the SDR basket indicate a solid strategic position for Chinese bonds in global diversification [24][26]. - The fluctuations in foreign investment in Chinese bonds are tactical responses to short-term factors rather than a long-term rejection of the value of Chinese debt [10][20].

Core Viewpoint - The interview with Alfred Schipke discusses the restructuring of the global order and how China can balance financial openness with security amidst rising global protectionism [1]. Group 1: Development of China's Bond Market - China's bond market ranks second globally in total size and has made significant progress over the years, enhancing its international influence [2]. - The bond market's core advantage lies in its low correlation with the U.S. Treasury market, providing valuable diversification options for global investors [2]. - Future growth of the bond market depends on attracting long-term investors, such as pension funds, and requires reforms in liquidity, credit ratings, and implicit guarantees to improve market efficiency [2]. Group 2: Financial Openness and Security - Despite geopolitical pressures, China’s gradual approach to financial openness is deemed correct, as attracting foreign investment can optimize resource allocation and promote economic growth [5]. - The focus should be on reforming the domestic market regulatory system, which will facilitate a steady progression towards financial openness as the market deepens and financial instruments diversify [5]. - The global financial system faces fragmentation risks, and international organizations can play a crucial role in preventing this by maintaining member stability and ensuring interoperability among different systems [5]. Group 3: Financial Innovations and AI in Finance - Financial innovations like the "Swap Connect" mechanism enhance international standards and facilitate foreign investment in China by helping investors manage interest rate and exchange rate risks [8]. - AI is becoming a transformative force in finance, particularly in risk assessment and company outlook analysis, providing substantial support for evaluating corporate profitability [9]. - While AI excels in processing existing quantitative information, it struggles with obtaining qualitative insights about the future, highlighting the importance of human interaction for deeper understanding [9]. Group 4: Belt and Road Initiative (BRI) and Transparency - The BRI primarily advances through bilateral financing from China, but increasing project transparency and attracting multilateral development institutions and private sector financing can promote a more diversified approach [13]. - Establishing high standards and enhancing project transparency are essential for building broader partnerships, with the Asian Infrastructure Investment Bank serving as a good example of multilateral cooperation [13].

Summary of Key Points from the Conference Call Industry Overview - The report discusses the macroeconomic environment and asset allocation strategies for 2026, focusing on the Chinese economy and its financial markets, including A-shares, bonds, and commodities. Core Insights and Arguments 1. **New Phase of Economic Cycle**: The demand-side drag on the economy is weakening, indicating a potential rebound. Leading indicators like M1 and PPI suggest the economic cycle is entering the final stage of preparation for recovery. However, the recovery will not be instantaneous, as factors like balance sheets, external demand, employment expectations, and policy pace will influence the recovery rhythm [3][13][23]. 2. **PPI Recovery**: The Producer Price Index (PPI) is expected to shift from negative to positive growth in 2026 due to factors such as increased monetary activity, potential oil price rebounds, and diminishing tail effects. This recovery is anticipated to support overall economic improvement [3][29][37]. 3. **Potential Fed Rate Cut Cycle**: The Federal Reserve may end its rate cut cycle in 2026, as the negative impact of a deteriorating labor market on monetary policy is expected to diminish. Persistent inflation suggests that the Fed's monetary policy will remain a critical factor in the economic landscape [3][55][57]. 4. **Characteristics of Chinese Asset Returns**: Chinese bonds are expected to maintain low volatility, but anticipated returns may stabilize at lower levels due to the current interest rate environment. In contrast, stock market volatility is likely to increase following high valuations [3][69][101]. Asset Allocation Strategies 1. **A-shares**: The market shows valuation differentiation, indicating potential for returns. Earnings for listed companies are improving, and this trend is expected to continue into 2026. The market is anticipated to favor growth styles in the first half of the year and value styles in the latter half, influenced by the Fed's monetary policy and domestic earnings recovery [3][85][95]. 2. **Chinese Bonds**: The attractiveness of bonds lies more in their volatility than in yield. The monetary policy will be the key driver for the bond market in 2026, with expectations of a stable policy environment that neither significantly loosens nor tightens [3][99][101]. 3. **Dollar Assets**: The macro environment, characterized by potential Fed rate stabilization and persistent inflation, poses challenges for U.S. Treasury bonds. The stock market may not face significant downturns until recession pressures become evident [3][102]. 4. **Commodities**: Commodity prices will be driven by their inherent attributes rather than financial characteristics. Factors such as U.S. inflation, the dollar credit system, and geopolitical tensions will support gold prices, although expected returns should be moderated [3][3]. Risk Factors - Risks include lower-than-expected fiscal policy effectiveness, geopolitical conflicts in regions like the Middle East, limited Fed rate cuts in 2026, and unexpected increases in U.S. tariff policies [3][3]. Additional Important Insights - The report emphasizes the importance of monitoring the economic cycle's recovery pace, which is influenced by various external and internal factors, including real estate market dynamics and youth unemployment rates [3][35][57]. - The analysis highlights the correlation between PPI and stock market performance, suggesting that a recovery in PPI could lead to a more optimistic long-term outlook for the stock market [3][39][45]. This comprehensive overview captures the essential insights and strategic recommendations for investors looking to navigate the evolving economic landscape in 2026.

Core Insights - The trend of foreign investors reducing their holdings in Chinese bonds while increasing their investments in U.S. Treasuries is noteworthy and reflects underlying economic factors [1][3][10] Group 1: Data Analysis - As of October 2025, foreign institutions held approximately 3.2 trillion yuan in Chinese bonds, a decrease of about 11.1% from 3.6 trillion yuan in the same period of 2024 [1] - In contrast, foreign investors net increased their holdings of U.S. Treasuries by approximately 280 billion dollars in the first three quarters of 2025, with a significant portion coming from Asia [1][3] Group 2: Economic Factors - The divergence in interest rate policies between China and the U.S. is a primary factor influencing this trend, with U.S. 10-year Treasury yields around 4.2% compared to China's 2.8%, creating a yield spread of 1.4 percentage points [3] - Currency fluctuations also play a critical role, as the Chinese yuan has depreciated by about 3.5% against the dollar since the beginning of 2025, impacting the total returns for foreign investors [3][10] Group 3: Investor Behavior - The reduction in Chinese bond holdings is primarily driven by hedge funds and short-term investment funds, which are more sensitive to yield changes [4] - Approximately 60% of the foreign investors reducing their Chinese bond holdings are private investment institutions, while 40% are official institutions, indicating that market-driven factors are predominant [4] Group 4: Market Fundamentals - The fundamentals of the Chinese bond market remain robust, with stable economic growth, sound fiscal conditions, and low default risk supporting the attractiveness of Chinese bonds [5][10] - The ongoing improvement of market access mechanisms, such as Bond Connect and QFII, is expected to enhance the investment environment for foreign investors [6][7] Group 5: Long-term Outlook - Historical trends suggest that the current adjustments may be temporary fluctuations within a longer-term upward trajectory of foreign participation in the Chinese bond market [4][10] - The internationalization of the yuan and its increasing use in global trade may enhance the demand for Chinese assets in the future [9] Group 6: Market Dynamics - The competition and cooperation between the Chinese and U.S. bond markets are likely to persist, fostering improvements in both markets [8] - The stability and predictability of regulatory policies are crucial for maintaining investor confidence in the Chinese bond market [8][10]

Summary of Key Points from Conference Call Industry and Company Overview - The conference call discusses the macroeconomic outlook for 2026, focusing on global economic recovery, commodity performance, and the impact of U.S.-China trade relations on investment strategies. [1][2] Core Insights and Arguments 1. **Global Economic Recovery**: The global economy is expected to shift towards recovery, with copper projected to perform best among commodities, while gold faces a risk of price correction to around $3,500. [1][2] 2. **U.S. Treasury Rates**: U.S. Treasury rates are anticipated to remain above 4% for the 10-year bonds, with the dollar index fluctuating between 100 and 105. [1][2] 3. **Technology Sector Capital Expenditure**: U.S. technology companies' capital expenditure is a critical macro variable that will determine whether the global economy enters a recovery or recession. Continued growth in capital expenditure is likely to support economic recovery. [1][5] 4. **U.S.-China Trade Dynamics**: The trade conflict between the U.S. and China is evolving into a competition in technology and security, necessitating investors to monitor policy changes closely. [4][7] 5. **Chinese Real Estate Market**: The decline in the Chinese real estate market is expected to stabilize, but its impact on the economy and asset pricing will diminish. The focus should be on managing non-performing assets in the financial sector. [1][8][9] 6. **Chinese Stock Market Outlook**: The potential for a bull market in Chinese stocks depends on liquidity easing, industry logic support, and stable fundamentals, with PPI growth being a key indicator. [1][14] 7. **Investment Opportunities**: In the event of global recovery, commodities like copper will present significant investment opportunities, while in a recession scenario, U.S. Treasuries and gold will be favored. [2][18] Other Important Insights 1. **Impact of Subsidy Reductions**: The tapering of subsidies for home appliances and automobiles is expected to negatively affect economic growth in 2026, although its impact on capital market pricing is considered limited. [16] 2. **CPI Data and Consumer Expectations**: Recent CPI data shows seasonal volatility in food prices, with core inflation remaining stable. The overall consumer trend is expected to improve, but strong performance remains challenging. [17] 3. **Future of U.S. Monetary Policy**: The Federal Reserve's monetary policy will be influenced more by economic demand than by the individual chairperson's style, with a focus on maintaining growth amid trade tensions. [20] 4. **Gold Market Trends**: The outlook for gold prices is expected to decline to around $3,500 in 2026, influenced by the dynamics of technology capital expenditure and U.S. monetary policy. [23] 5. **Long-term Technology Sector Development**: The competition in the technology sector between the U.S. and China is likely to drive increased capital expenditure, fostering overall economic recovery. [11] This summary encapsulates the key points discussed in the conference call, providing insights into the macroeconomic landscape, industry trends, and investment strategies for 2026.

Core Viewpoint - Recent data indicates that foreign capital is significantly reducing its holdings in Chinese bonds, with a notable decline attributed to rising U.S. Treasury yields and currency fluctuations, which may impact China's financial market [1][3][4]. Group 1: Foreign Capital Reduction - As of October 2025, foreign institutions held 29,765 billion yuan in Chinese bonds, a decrease of 2,843 billion yuan or 8.7% since the beginning of the year, marking the longest net outflow in five years [1]. - The yield on 10-year U.S. Treasury bonds reached 4.8%, compared to approximately 2.6% for Chinese bonds, creating a 2.2 percentage point yield advantage that attracts international capital [1][3]. - Approximately 62% of surveyed international investors indicated that currency fluctuations are a primary factor in their decision to adjust their holdings in Chinese bonds [3][4]. Group 2: Global Monetary Policy and Economic Factors - The divergence in monetary policy, with the U.S. maintaining a stringent stance while China has implemented three interest rate cuts in 2025, has widened the interest rate differential, further encouraging capital flow to the U.S. [4]. - China's GDP growth slowed to 4.6% year-on-year in Q3 2025, which, while still higher than many global economies, has led to cautious sentiment among foreign investors regarding Chinese bonds [4]. Group 3: Impact on Financial Markets - Foreign holdings of Chinese bonds accounted for approximately 2.1% of the total bond market as of October 2025, down from a peak of 3.5% in 2023, suggesting that while the outflow has some impact, it is unlikely to cause severe disruption [6]. - The outflow of capital may exert some pressure on the renminbi, but China's foreign exchange reserves stood at $3.24 trillion as of September 2025, providing a solid foundation to manage currency fluctuations [6]. Group 4: Long-term Outlook - The internationalization of China's bond market is increasing, with Chinese bonds included in major international indices, which may provide a more stable source of foreign investment in the long run [7]. - A survey of 50 major asset management firms revealed that about 67% believe the proportion of Chinese bonds in their global asset allocation will increase over the next five years [7].

Core Viewpoint - China's bond market is becoming an important option for foreign institutions as the country accelerates its financial opening, with various investment channels influencing foreign investment behavior [1][2]. Overview of Foreign Investment Channels in China's Bond Market - The QFII system, established in 2002, was the first major channel for foreign institutions to invest in China's capital market, initially having high entry barriers which have been gradually relaxed [3]. - The RQFII system, launched in 2011, supports the internationalization of the RMB by allowing foreign institutions to invest in the domestic market using RMB funds, with recent expansions in its scope [4]. - CIBM Direct, initiated in 2016, allows foreign institutions to enter the interbank bond market without prior approval, becoming a major channel for foreign investment [5]. - The "Bond Connect," established in 2017, facilitates access to the interbank bond market through Hong Kong, simplifying the process for foreign investors and enhancing market participation [6]. Comparison of Foreign Institutions' Investment Behavior - Different channels attract various types of foreign institutions, with QFII primarily attracting large international financial institutions, while RQFII is favored by institutions holding offshore RMB [7][8]. - CIBM Direct has broadened the types of foreign institutions participating, including central banks and sovereign wealth funds, while "Bond Connect" has attracted a wider range of institutions, including smaller asset management firms [8][9]. Investment Scale and Trends - As of August 2025, foreign institutions held approximately 3.83 trillion yuan in interbank bonds, with CIBM Direct accounting for 77.08% of the holdings, while "Bond Connect" represented about 22.92% [9][10]. - The trading volume through "Bond Connect" has surpassed that of CIBM Direct, indicating a more active trading behavior among smaller institutions [9]. Preference for Bond Types - Foreign institutions generally prefer interest rate bonds, particularly government and policy bank bonds, with government bonds holding a 72.6% share of their holdings as of August 2025 [10][11]. Preference for Bond Maturity - Investment strategies vary by channel, with QFII and RQFII focusing on flexible duration strategies, while CIBM Direct participants, such as central banks, prefer medium to long-term bonds [12]. Factors Influencing Investment Behavior - Foreign institutions' investment decisions are influenced by policy regulations, market conditions, investor attributes, and limitations of each investment channel [13][14]. - The regulatory environment, including entry barriers and operational processes, significantly impacts the depth and breadth of foreign investment [14]. - Market conditions, such as macroeconomic stability and interest rate differentials, also play a crucial role in shaping investment behavior [15]. Conclusion and Policy Recommendations - To enhance the attractiveness of China's bond market for foreign investors, recommendations include improving asset quality, streamlining cross-border custody standards, and optimizing tax processes [20][21][22][23].